Transmission of liquidity shock to bank credit: Evidence from the deposit insurance reform in Japan

Imai, Masami; Takarabe, Seitaro

doi:10.1016/j.jjie.2011.02.005

Cited by 7 publications

(3 citation statements)

References 52 publications

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“…In aggregate-level modeling, however, deposits are usually avoided due to the possibility of spurious correlation that does not adequately reflect structural relationships (Hülsewig et al, 2004). At the same time, when the deposits trend may be considered with certainty as exogenous, this indicator is appropriate for the purpose of loan supply modeling (for examples, see Khwaja and Mian, 2008;Paravisini, 2008;and Imai and Takarabe, 2009). Given that the CBR's forex purchases and fiscal policy measures have direct effect on money stock in Russia, we see the supposition of exogeneity as plausible.…”

Section: Model Specification and Data Issuesmentioning

confidence: 99%

Identifying Structural Shocks Behind Loan Supply Fluctuations in Russia

Deryugina

Ponomarenko

2011

SSRN Journal

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We examine the drivers behind loan supply fluctuations in Russia using Bayesian vector autoregressive model with sign restrictions on impulse response functions. We identify two types of structural innovations: loan supply shock and monetary stance shock. We find that contractionary shocks of both types contributed significantly and in the roughly equal measure to the decrease of bank lending after the Lehman Brothers collapse.

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Section: Model Specification and Data Issuesmentioning

confidence: 99%

Identifying Structural Shocks Behind Loan Supply Fluctuations in Russia

Deryugina

Ponomarenko

2011

SSRN Journal

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“…Scientific research (Andries & Billon, 2010;Angkinand & Wihlborg, 2010;Bijlsma & Van Der Wiel, 2015;Forssbaeck, 2011;Gómez-Fernández-Aguado, Partal-Ureña, & Trujillo-Ponce, 2014;Imai & Takarabe, 2011;Lin, 2015;Prean & Stix, 2011) emphasised that the deposit insurance system not only contributes to the protection of depositors, but also affects their own bank decisions and the entire banking system, which is especially important in the case of the common European Union financial system. The common risk-based E.U.…”

Section: Introductionmentioning

confidence: 99%

The importance of systemic risk assessment in a risk-based common European Union deposit insurance system: case of Lithuania

Lakštutienė

Barkauskaitė

Witkowska

2018

Economic Research-Ekonomska Istraživanja

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The financial crisis has shown that the deposit insurance system did not help to maintain depositors' confidence and financial stability for the whole banking sector. In order to ensure equal protection to depositors in all European Union countries, the European Commission presented the common European Union risk-based deposit insurance system model in 2015. In this model, the individual risk of each bank should be measured. However, there are discussions in scientific literature that the amount of systemic risk of the banks should be measured. In the current economy it is very important to measure the arising amount of systemic risk in the banking sector, but even the new E.U. common deposit insurance system model of 2015 does not take systemic risk assessment into account. The aim of the research is to evaluate the risk-based common European deposit insurance system impact on deposit insurance premiums to Lithuanian banks: not only individual banks' risks, but the systemic risk as well. The most appropriate systemic risk assessment method was selected according to different scientific researchers and strong Lithuanian banking sector concentration. The results showed that inclusion of the systemic risk assessment in risk-based deposit insurance system helps to have more accurate bank risk assessment.

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“…They reported that banks decrease their regulatory capital ratios when they encountered higher illiquidity as defined in the Basel III accords or when they created more liquidity. Imai and Takarabe (2011) investigated the causal impacts of liquidity shocks on credit supply by the endogenous relationship between loan demand and liquidity position of banks. They reported that during the period of transition from a blanket guarantee to a partial guarantee, weak banks influenced from a large outflow of partially insured time deposits.…”

Section: Introductionmentioning

confidence: 99%

A study on effect of bank resources and consumption on liquidity

Panahian¹,

Ghodrati²,

Parvishi³

2014

10.5267/j.msl

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Liquidity management in banks is a conflict between risk and return. On the one hand, the lack of liquidity, in addition to imposing heavy costs of providing resources (including borrowings from the central bank at elevated rates), may also lead banks to face with bankruptcy. On the other hand, the maintenance of excessive liquidity than needed will destroy investment opportunities and potential profitability. Therefore, for proper liquidity management, it is necessary to understand the factors affecting this sector to be able to exert control on each of the elements, and to prevent the incidence of problems or even crisis thereby optimize the bank profitability as far as possible. This study aimed to analyze the resources, expenses, and liquidity operating as the main activity parameters in Bank Shahr. During the study timeframe (2010 until the end of 2012), every 15 days was selected as the sample community, which were selected due to a 15-day trend analysis using census method and not by random sampling. The related data concerning each of the items, i.e. resources, expenses, and liquidity were collected and analyzed by linear regression based on time or periods of time. The above items were compared through analysis of the relative contribution to the total ratio and correlation analysis. The results showed that the growing trends of resources and expenses almost coincide and followed a specific trend and, in general, the growing trend of the resources was rising with a higher slope compared with those of expenses and liquidity. In addition, the growing trend of liquidity was almost identical throughout the entire period of study and no unusual trend was observed.

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Transmission of liquidity shock to bank credit: Evidence from the deposit insurance reform in Japan

Cited by 7 publications

References 52 publications

Identifying Structural Shocks Behind Loan Supply Fluctuations in Russia

Identifying Structural Shocks Behind Loan Supply Fluctuations in Russia

The importance of systemic risk assessment in a risk-based common European Union deposit insurance system: case of Lithuania

A study on effect of bank resources and consumption on liquidity

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