The determinants of Bank Profitability: Does Liquidity Creation matter?
Journal Title: Journal of Economics and Financial Analysis - Year 2018, Vol 2, Issue 2
Abstract
Using a panel data set of 4995 banks across 11 developed and emerging countries during the period (2011-2015), this report analyses the amount of liquidity created by banks, how liquidity creation, bank-specific and the macroeconomic factors affecting bank profitability. The results show evidence of increased creation of liquidity over the period. By applying the panel data fixed effect technique, banks that create more liquidity, are set up to have lower profitability. As well as, Asset management, bank size and capital ratio are positively correlated with bank profitability. While, credit quality and operating efficiency affect bank’s profits negatively. Additionally, macroeconomic factors have different impact on profitability indicators in each market. Our findings may help decision makers inside and outside bank to determine important factors affecting bank profitability.
Authors and Affiliations
Ahmad SAHYOUNI, Man WANG
Keywords
Related Articles
- EP ID EP262892
- DOI -
- Views 161
- Downloads 0
Interest Rate Swaptions: A Review and Derivation of Swaption Pricing Formulae
In this paper we outline the European interest rate swaption pricing formula from first principles using the Martingale Representation Theorem and the annuity measure. This leads to an expression that allows us to apply...
Nonparametric NAR-ARCH Modelling of Stock Prices by the Kernel Methodology
This paper analyses cyclical behaviour of Orange stock price listed in French stock exchange over 01/03/2000 to 02/02/2017 by testing the nonlinearities through a class of conditional heteroscedastic nonparametric models...
The determinants of Bank Profitability: Does Liquidity Creation matter?
Using a panel data set of 4995 banks across 11 developed and emerging countries during the period (2011-2015), this report analyses the amount of liquidity created by banks, how liquidity creation, bank-specific and the...
Does it take two to tango: Interaction between Credit Default Swaps and National Stock Indices
This paper investigates both short and long-run interaction between BIST-100 index and CDS prices over January 2008 to May 2015 using ARDL technique. The paper documents several findings. First, ARDL analysis shows that...
A Modified Risk Parity Method for Asset Allocation
We propose a return based modification of the portfolio variance matrix for asset allocation using risk parity. The modification is based upon a single scalar parameter which can be tuned to tailor the allocation for des...