Canadian Bank Capital and Liquidity Creation

被引：0
|
作者：
Garg, Madhu [1 ]
Kryzanowski, Lawrence [2 ]
Zhang, Jie [1 ]
机构：
[1] Trent Univ, Trent Sch Business, 1600 West Bank Dr, Peterborough, ON K9L 0G2, Canada
[2] Concordia Univ, John Molson Sch Business, 1455 De Maisonneuve Blvd West, Montreal, PQ H3G 1M8, Canada
来源：
ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES | 2024年
关键词：
Liquidity creation; Tier 1 capital ratio; Big Six; COVID-19 & DSB; Non-deposit funding restrictions; FINANCIAL INTERMEDIATION; RISK; PERFORMANCE; COMPETITION; CRISIS; IMPACT;
D O I：
10.1111/ajfs.12493
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We find a significantly positive relationship between the Tier 1 capital ratio and on-balance-sheet liquidity creation for Canadian Big Six banks, implying that large banks in Canada can take risk due to risk absorption by using capital to fund illiquid assets. Our results are robust to the 2018 initiation of a domestic stability buffer (DSB) of total risk-weighted assets for Pillar 2 risks, core deposits financing, non-deposit funding restrictions, and bank mergers and acquisitions. The positive relation (regulatory capital ratio with liquidity creation) becomes significantly negative during the 2007-9 Global Financial Crisis and COVID-19 pandemic.
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页数：38
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