Liquidity Risk Determinants For Gcc

Yousfi, Ridha (2024): Liquidity Risk Determinants For Gcc.

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."

• Item Type: MPRA Paper
• Language: English
• Keywords: Liquidity Risk, Capital Adequacy, Bank Size, Net Interest Margin, GMM, Basel III, Risk Substitution
• Subjects: G - Financial Economics > G3 - Corporate Finance and Governance > G34 - Mergers ; Acquisitions ; Restructuring ; Corporate Governance

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