Systemic liquidity risk index for Moroccan banking sector

Firano Zakaria

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper a new measure of the banking liquidity based on the liquid assets. On the basis of balance-sheet of the banks of the sample, we could detect the cycles of liquidity which characterize the Moroccan banking system and this between 2001 and 2010. The various results obtained made it possible to detect two cycles of liquidity, the first indicating one period of over liquidity, characterized by an abundance of the cushions of liquidities, the other testifying to a contraction in the mattress of liquidity of the banking system. While falling under a prudential macro approach, we were interested in the relation being able to link, the development of the liquidity and the various fluctuations of the macroeconomic framework. For this purpose, we identified several macroeconomic variables likely to influence the development of the banking liquidity, in particular, the economic growth, credit growth, exchange reserve, interbank interest rates, and return of stock market of Casablanca.

Keywords: systemic risk; macro prudential approach and liquidity risk (search for similar items in EconPapers)
JEL-codes: G1 G2 (search for similar items in EconPapers)
Date: 2014
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Published in ACRN Journal of Finance and Risk Perspectives 2.3(2014): pp. 67-82

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:95344

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