Liquidity risk and credit risk: a relationship based on the interaction between liquid asset ratio, non-performing loans ratio and systemic liquidity risk

Malandrakis, Ioannis

doi:10.1504/ijferm.2014.065651

Cited by 5 publications

(6 citation statements)

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“…al., 2018). This is consistent with the approaches described in Malandrakis (2014) 8 and Papadopoulos et al (2016). 9 Systemic liquidity risk is represented by a dummy variable, which takes values 0 (no-systemic liquidity risk) before 2010 and 1 (systemic liquidity risk exists) after 2010.…”

Section: Methodssupporting

confidence: 93%

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Non-Performing Loans, Governance Indicators and Systemic Liquidity Risk: Evidence From Greece

2019

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In this study we propose a new determinant of non-performing loans for the case of the Greek banking sector. We employ aggregate yearly data for the period 1996-2016 and we conduct a Principal Component Analysis for all the Worldwide Governance Indicators (WGI) for Greece, aiming to isolate the common component and thus to create the GOVERNANCE indicator. We find that the GOVERNANCE indicator is a significant determinant of Greek banks' non-performing loans indicating that both political and governance factors impact on the level of the Greek non-performing loans. An additional variable that also has a statistically significant impact on the level of Greek non-performing loans, when combined with WGI in the dynamic specification of our model, is systemic liquidity risk. Our results could be of interest to policy makers and regulators as a macro prudential policy tool.

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Section: Methodssupporting

confidence: 93%

“…Berger and DeYoung, 1997;Espinoza and Prasad, 2010;Louzis et. al., 2012;Malandrakis, 2014;Anastasiou et. al., 2016;Anastasiou et.…”

Section: Methodsmentioning

confidence: 99%

Non-Performing Loans, Governance Indicators and Systemic Liquidity Risk: Evidence From Greece

2019

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“…Both policymakers and academics grant more attention to this topic after the international financial crisis of 2008 (Berríos, 2013; Chen et al, 2018; Partovi & Matousek, 2019). Also, the link or the interaction between these two significant risks has received only limited attention (Malandrakis, 2014; Imbierowicz & Rauch, 2014; Hertrich, 2015; Cai & Zhang, 2017).…”

Section: Related Literaturementioning

confidence: 99%

“…Similarly, Malandrakis (2014) used a dataset related to small‐sized Greek banks over the period 2007–2012 to investigate the relationship between liquidity risk and credit risk. In this study, liquidity risk is measured by the liquid asset ratio, while the nonperforming loans ratio measures credit risk.…”

Section: Related Literaturementioning

confidence: 99%

Is there a threshold effect in the liquidity risk–non‐performing loans relationship? APSTRapproach forMENAbanks

2020

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This study analyzes the nonlinear relationship between liquidity risk and nonperforming loans (NPLs) for a sample of MENA banks over the period 2004-2017. Results of the Panel Smooth Transition Regression model indicate that there is a threshold effect in the liquidity risk and NPLs relationship. More specifically, we found that above the threshold of 73.10% for loans to deposits ratio, liquidity risk significantly increases the level of NPLs. However, below the threshold of 87.61% for liquid assets to deposits and short-term funding ratio, the NPLs are also significantly and positively correlated with the liquidity risk. Furthermore, we found that NPLs are more sensitive to bank performance, bank capital, bank size, international financial crisis, and the inflation rate. However, no significant effect was found for the impact of ownership concentration and board characteristics either below or above the thresholds.

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“…Berger and DeYoung, 1997;Espinoza and Prasad, 2010;Louzis et. al., 2012;Malandrakis, 2014;Anastasiou et. al., 2016;Anastasiou et.…”

Section: Methodsmentioning

confidence: 99%

Non-Performing Loans, Governance Indicators and Systemic Liquidity Risk: Evidence from Greece

2019

View full text Add to dashboard Cite

Liquidity risk and credit risk: a relationship based on the interaction between liquid asset ratio, non-performing loans ratio and systemic liquidity risk

Cited by 5 publications

References 0 publications

Non-Performing Loans, Governance Indicators and Systemic Liquidity Risk: Evidence From Greece

Non-Performing Loans, Governance Indicators and Systemic Liquidity Risk: Evidence From Greece

Is there a threshold effect in the liquidity risk–non‐performing loans relationship? APSTRapproach forMENAbanks

Non-Performing Loans, Governance Indicators and Systemic Liquidity Risk: Evidence from Greece

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