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The bank liquidity smile across exchange rate regimes

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  • Irina Bunda
  • Jean-Baptiste Desquilbet

Abstract

Combining panel data on bank liquidity at the individual level and data on their macroeconomic environment, for a sample of commercial banks in emerging countries between 1995 and 2004, we show that there exists a 'bank liquidity smile across exchange rate regimes'. In extreme regimes at both ends of the line, i.e. for pure floating exchange rate regimes at one end and currency boards and dollarised economies at the other end, bank assets are more liquid than in intermediate regimes.

Suggested Citation

  • Irina Bunda & Jean-Baptiste Desquilbet, 2008. "The bank liquidity smile across exchange rate regimes," International Economic Journal, Taylor & Francis Journals, vol. 22(3), pages 361-386.
  • Handle: RePEc:taf:intecj:v:22:y:2008:i:3:p:361-386 DOI: 10.1080/10168730802287952
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    Cited by:

    1. FERROUHI, El Mehdi & LEHADIRI, Abderrassoul, 2013. "Liquidity Determinants of Moroccan Banking Industry," MPRA Paper 59888, University Library of Munich, Germany.
    2. Jana Lastuvkova, 2015. "Dimensions of liquidity and their factors in the Slovenian banking sector," MENDELU Working Papers in Business and Economics 2015-55, Mendel University in Brno, Faculty of Business and Economics.
    3. Pavla Vodová, 2014. "Determinants Of Commercial Bank Liquidity In Hungary," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 9(3), pages 64-71, January.
    4. Mohamed Aymen Ben Moussa, 2015. "The Determinants of Bank Liquidity: Case of Tunisia," International Journal of Economics and Financial Issues, Econjournals, vol. 5(1), pages 249-259.
    5. Pavla VODOVÁ, 2013. "Liquidity Ratios of Polish Commercial Banks," European Financial and Accounting Journal, University of Economics, Prague, vol. 2013(3).
    6. Shrestha, Prakash Kumar, 2012. "Banking systems, central banks and international reserve accumulation in East Asian economies," Economics Discussion Papers 2012-48, Kiel Institute for the World Economy (IfW).
    7. repec:prg:jnlpep:v:preprint:id:529 is not listed on IDEAS
    8. Pavla Klepková Vodová & Daniel Stavárek, 2015. "Factors Affecting Sensitivity of Czech and Slovak Commercial Banks to Bank Run," Working Papers 0020, Silesian University, School of Business Administration.
    9. Muhammad Farhan Malik & Amir Rafique, 2013. "Commercial Banks Liquidity in Pakistan: Firm Specific and Macroeconomic Factors," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 16(48), pages 139-154, June.
    10. Jana Lastuvkova, 2014. "Liquidity management strategies in the Czech banking sector," MENDELU Working Papers in Business and Economics 2014-47, Mendel University in Brno, Faculty of Business and Economics.
    11. Shrestha, Prakash Kumar, 2013. "Banking Ssystems, central banks and international reserve accumulation in East Asian economies," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 7, pages 1-29.
    12. repec:eee:quaeco:v:66:y:2017:i:c:p:302-313 is not listed on IDEAS
    13. Pavla Vodová, 2015. "To Lend or to Borrow on the Interbank Market: What Matters for Commercial Banks in the Visegrad Countries," Prague Economic Papers, University of Economics, Prague, pages 662-677.
    14. Khemais Zaghdoudi & Abdelaziz Hakimi, 2017. "The Determinants of Liquidity Risk: Evidence from Tunisian Banks," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(2), pages 1-5.
    15. Jean-Loup SOULA, 2015. "Measuring heterogeneity in bank liquidity risk: who are the winners and the losers?," Working Papers of LaRGE Research Center 2015-09, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
    16. Brooke Alexandra Maeda, 2015. "Flight to Liquidity on the Tokyo Stock Exchange during the 2008 Share Market Crashes," International Journal of Economics and Financial Issues, Econjournals, vol. 5(3), pages 790-801.
    17. Jana Lastuvkova, 2015. "Determinants of the Slovak bank liquidity flows," MENDELU Working Papers in Business and Economics 2015-51, Mendel University in Brno, Faculty of Business and Economics.

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