Liquidity Risk Determinants For Gcc

Ridha Yousfi

MPRA Paper from University Library of Munich, Germany

Abstract: This study empirically investigates the determinants of bank liquidity risk by analyzing a dynamic panel dataset of 1025 bank observations using Generalized Method of Moments (GMM) regression. The results reveal a critical dichotomy: the drivers of liquidity risk are highly dependent on its measurement. We identify one form of liquidity risk (liquidrisk1) as more transient and sensitive to external factors like bank size and macroeconomic conditions (GDP). In stark contrast, a second measure (liquidrisk2) exhibits strong persistence and is primarily driven by bank-specific strategic choices, providing evidence of "liquidity inertia."

Keywords: Liquidity Risk; Capital Adequacy; Bank Size; Net Interest Margin; GMM; Basel III; Risk Substitution (search for similar items in EconPapers)
JEL-codes: G34 (search for similar items in EconPapers)
Date: 2024-01-01, Revised 2025-02-01
References: Add references at CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/126783/1/MPRA_paper_126783.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:126783

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().