Liquidity Mismatch Index and Bank Performancedoi:10.5430/IJFR.V12N5P277Godfrey MarozvaSciedu Press
With the change of macroeconomic situation, the maturity mismatch of China's commercial banks in asset and liability management is becoming more and more serious. In particular, the maturity mismatch of inter-bank business has a profound impact on not only the operation of banks, but also on th...
Entire countries—and their economies—can become engulfed in this situation. For the economy as a whole, a liquidity crisis means that the two main sources of liquidity in the economy—bank loans and the commercial paper market—become suddenly scarce. Banks reduce the number of loans they make...
Banks' liquidity risk naturally arises from certain aspects of their day-to-day operations. For example, banks may fund long-term loans (like mortgages) with short-term liabilities (like deposits). Thismaturity mismatchcreates liquidity risk if depositors withdraw funds suddenly. The mismatch between...
The pre-Global Financial Crisis build-up, followed by the post-crisis collapse, in bank liquidity creation in developed countries is well-documented (Berger and Bowman, Berger and Bouwman, Review of Financial Studies 22:3779–3837, 2009). Comparable analyses on developing and emerging countries (...
The role of liquidity in the banking industry is increasingly under the spotlight since the Global Financial Crisis (GFC) in 2007. Prior evidence offers co
4.5. Liquidity mismatch index Bai et al. (2018) propose a more complex measure of liquidity creation, called the Liquidity Mismatch Index (LMI). Similar to the Berger and Bouwman (2009) measure, the LMI captures the liquidity of both asset (market liquidity) as well as liability side (fundi...
Liquidity Mismatch Index and Bank Performance Zou, The recognition and control on liquidity risk of deposit and loan maturity mismatch from the macro-prudential prespective, J. The Theory and Practice... G Marozva - Sciedu Press 被引量: 0发表: 2021年 ...
PLUS (b) Add-on (for "maturity mismatch") = (i) Greater of zero and greatest net cumulative outflow on any day in the 30-day period, minus (ii) Greater of zero and net cumulative outflow as of the 30th day of the 30-day period. 20 LCR: HQLA – Numerator Level 1 ...
Liquidity mismatch—the risk of a bank being unable to fund increases in assets or meet its obligations as they come due—increased in the U.S. banking sector durCooke, J.B.Koch, ChristofferMurphy, AnthonySocial Science Electronic Publishing...