IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Liquidity And The Business Cycle: Empirical Evidence From The Greek Banking Sector

  • Sophocles Vogiazas
  • Constantinos Alexiou

In the aftermath of the global financial turmoil the negative market sentiment and the challenging macroeconomic environment in Greece have severely affected the banking sector, which faces funding and liquidity challenges, deteriorating asset quality, and weakening profitability. This paper aims to investigate how banks’ liquidity interacted with solvency and the business cycle during the period 2004-2010. To this end a panel of 17 Greek banks is utilized which, in conjunction with cointegrating techniques and one-way static and dynamic panel models, explores the presence and the strength of the relationship between banks’ liquidity and the business cycle, while allowing for the role of banks’ solvency. Addressing the liquidity risk of the Greek banking sector and the liquidity-solvency nexus remains largely an uncharted area. The results generated provide clear-cut evidence on the linkages between banks’ market liquidity and the business cycle, as reflected in the real GDP and the effective exchange rate. Yet the results display a transmission channel that runs from banks’ solvency to liquidity and from country risk to bank risk.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://ea.ekof.bg.ac.rs/pdf/199/279.pdf
Download Restriction: no

Article provided by Faculty of Economics, University of Belgrade in its journal Economic Annals.

Volume (Year): 58 (2013)
Issue (Month): 199 (October - December)
Pages: 109-126

as
in new window

Handle: RePEc:beo:journl:v:58:y:2013:i:199:p:109-126
Contact details of provider: Postal: KAMENICKA 6 - 11000 BEOGRAD
Phone: (381 11) 302122
Fax: (381 11) 639 560
Web page: http://www.ekof.bg.ac.rs/
Email:


More information through EDIRC

Order Information: Web: http://ea.ekof.bg.ac.rs/ Email:


References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Kishan, Ruby P & Opiela, Timothy P, 2000. "Bank Size, Bank Capital, and the Bank Lending Channel," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 32(1), pages 121-41, February.
  2. Roman Horváth & Jakub Seidler & Laurent Weill, 2012. "Bank Capital and Liquidity Creation : Granger Causality Evidence," Working Papers 318, Institut für Ost- und Südosteuropaforschung (Institute for East and South-East European Studies).
  3. Katerina Smídková & Jan Babecky & Ales Bulir, 2010. "Sustainable Real Exchange Rates in the New Eu Member States; What Did the Great Recession Change?," IMF Working Papers 10/198, International Monetary Fund.
  4. Vahram Stepanyan & Kai Guo, 2011. "Determinants of Bank Credit in Emerging Market Economies," IMF Working Papers 11/51, International Monetary Fund.
  5. Douglas W. Diamond & Raghuram G. Rajan, 1998. "Liquidity risk, liquidity creation and financial fragility: a theory of banking," Proceedings, Federal Reserve Bank of San Francisco, issue Sep.
  6. Darren Pain, 2003. "The provisioning experience of the major UK banks: a small panel investigation," Bank of England working papers 177, Bank of England.
  7. Allen N. Berger & Christa H. S. Bouwman, 2009. "Bank Liquidity Creation," Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3779-3837, September.
  8. Jeffrey A. Frankel & George Saravelos, 2010. "Are Leading Indicators of Financial Crises Useful for Assessing Country Vulnerability? Evidence from the 2008-09 Global Crisis," NBER Working Papers 16047, National Bureau of Economic Research, Inc.
  9. Dimitrios P. Louzis & Aggelos T. Vouldis & Vasilios L. Metaxas, 2010. "Macroeconomic and bank-specific determinants of non-performing loans in Greece: a comparative study of mortgage, business and consumer loan portfolios," Working Papers 118, Bank of Greece.
  10. Bhattacharya Sudipto & Thakor Anjan V., 1993. "Contemporary Banking Theory," Journal of Financial Intermediation, Elsevier, vol. 3(1), pages 2-50, October.
  11. Graciela Kaminsky & Saul Lizondo & Carmen M. Reinhart, 1998. "Leading Indicators of Currency Crises," IMF Staff Papers, Palgrave Macmillan, vol. 45(1), pages 1-48, March.
  12. Daniel C. Hardy & Ceyla Pazarbasioglu, 1999. "Determinants and Leading Indicators of Banking Crises: Further Evidence," IMF Staff Papers, Palgrave Macmillan, vol. 46(3), pages 1.
  13. C. J. Polychroniou, 2011. "An Unblinking Glance at a National Catastrophe and the Potential Dissolution of the Eurozone: Greece’s Debt Crisis in Context," Economics Working Paper Archive wp_688, Levy Economics Institute.
  14. Mario Quagliariello, . "Banks' Performance over the Business Cycle: A Panel Analysis on Italian Intermediaries," Discussion Papers 04/17, Department of Economics, University of York.
  15. C.J. Polychroniou, 2011. "An Unblinking Glance at a National Catastrophe and the Potential Dissolution of the Eurozone: Greece’s Debt Crisis in Context," Research Briefs greece_research_brief_sep, Political Economy Research Institute, University of Massachusetts at Amherst.
  16. Westerlund, Joakim, 2003. "A Panel Data Test of the Bank Lending Channel in Sweden," Working Papers 2003:16, Lund University, Department of Economics.
  17. Pedroni, Peter, 1999. " Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 653-70, Special I.
  18. Arellano, Manuel & Bond, Stephen, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Wiley Blackwell, vol. 58(2), pages 277-97, April.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:beo:journl:v:58:y:2013:i:199:p:109-126. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Goran Petrić)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.