AMBIENTUM BIOETHICA BIOLOGIA CHEMIA DIGITALIA DRAMATICA EDUCATIO ARTIS GYMNAST. ENGINEERING EPHEMERIDES EUROPAEA GEOGRAPHIA GEOLOGIA HISTORIA HISTORIA ARTIUM INFORMATICA IURISPRUDENTIA MATHEMATICA MUSICA NEGOTIA OECONOMICA PHILOLOGIA PHILOSOPHIA PHYSICA POLITICA PSYCHOLOGIA-PAEDAGOGIA SOCIOLOGIA THEOLOGIA CATHOLICA THEOLOGIA CATHOLICA LATIN THEOLOGIA GR.-CATH. VARAD THEOLOGIA ORTHODOXA THEOLOGIA REF. TRANSYLVAN
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STUDIA OECONOMICA - Ediţia nr.2 din 2022 | |||||||
Articol: |
AN EMPIRICAL ANALYSIS OF THE RELATIONSHIP BETWEEN CAPITAL, MARKET RISKS, AND LIQUIDITY SHOCKS IN THE BANKING INDUSTRY. Autori: RAVINDER RENA, ALBERT V. KAMUINJO. |
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Rezumat: DOI: 10.2478/subboec-2022-0010 Published Online: 2022-08-30 Published Print: 2022-08-30 pp. 67-83 VIEW PDF FULL PDF Abstract: This study explores the relation between capital, market risks and banks’ liquidity conditions. In estimating the SVAR regression model, Granger causality, impulse-response functions and forecast error variance decomposition were employed and used for estimation of the results. The data sample comprised of commercial banks over the 2009 to 2018 period. The empirical results showed that liquidity shocks are caused by a combination of structural shocks. The Granger causality, impulse-response functions and forecast error variance decomposition documented that sensitivity to market risk is the key factor affecting liquidity conditions in the banking sector in the long run. In addition, the empirical results showed that capital adequacy has minimal impact on liquidity conditions in the short run. The reforming rate to sensitivity to market risk policies, capital adequacy policies and liquidity policy measures can be valuable policy tools to minimize liquidity shortages and avoid insolvent banks. JEL classification: C40, C52, E51, E58, G32; Keywords: capital; market risks; liquidity shocks; banking industry; financial stability |
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