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Liquidity Risk Determinants For Gcc

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  • Yousfi, Ridha

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."

Suggested Citation

  • Yousfi, Ridha, 2024. "Liquidity Risk Determinants For Gcc," MPRA Paper 126783, University Library of Munich, Germany, revised 01 Feb 2025.
    • Handle: RePEc:pra:mprapa:126783
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    References listed on IDEAS

    as
    1. Berger, Allen N. & Bouwman, Christa H.S., 2017. "Bank liquidity creation, monetary policy, and financial crises," Journal of Financial Stability, Elsevier, vol. 30(C), pages 139-155.
    2. Markus K. Brunnermeier & Lasse Heje Pedersen, 2009. "Market Liquidity and Funding Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 22(6), pages 2201-2238, June.
    3. DeYoung, Robert & Torna, Gökhan, 2013. "Nontraditional banking activities and bank failures during the financial crisis," Journal of Financial Intermediation, Elsevier, vol. 22(3), pages 397-421.
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    JEL classification:

    • G34 - Financial Economics - - Corporate Finance and Governance - - - Mergers; Acquisitions; Restructuring; Corporate Governance

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