The dependency of the banks' assets and liabilities: evidence from Germany
Developments in risk-transfer instruments and risk management techniques in the last two decades have fundamentally changed how banks manage their assets and liabilities. In this document we show that, for all three sectors of German universal banks (private commercial banks, savings banks, and cooperative banks), asset-liability dependency declined over the period 1994-2007, the decline was strongest for those banks that use more than sector-average amounts of derivatives. Only in the case of private commercial banks, we do find that lower regulatory capital has coincided with higher asset-liability dependencies. Over our sample period, the difference has diminished since poorly-capitalized private commercial banks have reduced their asset-liability dependencies more intensively than their well-capitalized counterparts. Moreover, we find that profitability matters for the asset-liability dependency but not in the same way for all three sectors. Asset-liability dependency is lower for private commercial banks with higher provision income, savings banks with lower ROE volatilities and cooperative banks with higher ROEs.
|Date of creation:||2009|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 0 69 / 95 66 - 34 55
Fax: 0 69 / 95 66 30 77
Web page: http://www.bundesbank.de/
More information through EDIRC
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.:
- Robert DeYoung & Tara Rice, 2004. "Noninterest Income and Financial Performance at U.S. Commercial Banks," The Financial Review, Eastern Finance Association, vol. 39(1), pages 101-127, 02.
- 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.
- Elijah Brewer, III & Bernadette A. Minton & James T. Moser, 1996.
"Interest-rate derivatives and bank lending,"
Working Paper Series, Macroeconomic Issues
WP-96-13, Federal Reserve Bank of Chicago.
- Brent Ambrose & Michael LaCour-Little & Anthony Sanders, 2005. "Does Regulatory Capital Arbitrage, Reputation, or Asymmetric Information Drive Securitization?," Journal of Financial Services Research, Springer, vol. 28(1), pages 113-133, October.
- Simonson, Donald G. & Stowe, John D. & Watson, Collin J., 1983. "A Canonical Correlation Analysis of Commercial Bank Asset/Liability Structures," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(01), pages 125-140, March.
- 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.
- Elijah Brewer & William E. Jackson & James T. Moser, 2001. "The value of using interest rate derivatives to manage risk of U.S. banking organizations," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 49-66.
- Evan Gatev & Til Schuermann & Philip E. Strahan, 2009.
"Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions,"
Review of Financial Studies,
Society for Financial Studies, vol. 22(3), pages 995-1020, March.
- Evan Gatev & Til Schuermann & Philip E. Strahan, 2006. "Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions," NBER Working Papers 12234, National Bureau of Economic Research, Inc.
- Rafael Repullo, 2002.
"Capital requirements, market power, and risk-taking in banking,"
809, Federal Reserve Bank of Chicago.
- Repullo, Rafael, 2004. "Capital requirements, market power, and risk-taking in banking," Journal of Financial Intermediation, Elsevier, vol. 13(2), pages 156-182, April.
- Repullo, Rafael, 2003. "Capital Requirements, Market Power and Risk-Taking in Banking," CEPR Discussion Papers 3721, C.E.P.R. Discussion Papers.
- Mark G. Guzman, 2001. "Bank competition in the new economy," Southwest Economy, Federal Reserve Bank of Dallas, issue Mar, pages 1, 6-9.
- Philip Strahan, 2008. "Liquidity Production in 21st Century Banking," NBER Working Papers 13798, National Bureau of Economic Research, Inc.
- James Harvey & Kenneth Spong, 2001. "The decline in core deposits : what can banks do?," Financial Industry Perspectives, Federal Reserve Bank of Kansas City, issue Dec, pages 35-48.
- Panzar, John C & Rosse, James N, 1987. "Testing for "Monopoly" Equilibrium," Journal of Industrial Economics, Wiley Blackwell, vol. 35(4), pages 443-56, June.
- Gorton, Gary B. & Pennacchi, George G., 1995.
"Banks and loan sales Marketing nonmarketable assets,"
Journal of Monetary Economics,
Elsevier, vol. 35(3), pages 389-411, June.
- Gary Gorton & George Pennacchi, 1990. "Banks and Loan Sales: Marketing Non-Marketable Assets," NBER Working Papers 3551, National Bureau of Economic Research, Inc.
- Bannier, Christina E. & Hänsel, Dennis N., 2007. "Determinants of banks' engagement in loan securitization," Frankfurt School - Working Paper Series 85, Frankfurt School of Finance and Management.
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
- Martin CihÃ¡k & Klaus Schaeck, 2007. "Banking Competition and Capital Ratios," IMF Working Papers 07/216, International Monetary Fund.
- Hempell, Hannah S., 2002. "Testing for Competition Among German Banks," Discussion Paper Series 1: Economic Studies 2002,04, Deutsche Bundesbank, Research Centre.
- Xavier Vives, 2001. "Competition in the Changing World of Banking," Oxford Review of Economic Policy, Oxford University Press, vol. 17(4), pages 535-547.
- Wilkens, Marco & Memmel, Christoph & Entrop, Oliver & Zeisler, Alexander, 2008. "Analyzing the interest rate risk of banks using time series of accounting-based data: evidence from Germany," Discussion Paper Series 2: Banking and Financial Studies 2008,01, Deutsche Bundesbank, Research Centre.
When requesting a correction, please mention this item's handle: RePEc:zbw:bubdp2:200914. 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: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.