Bank liquidity creation and recessions

被引：28
|
作者：
Chatterjee, Ujjal K. [1 ]
机构：
[1] Amer Univ Sharjah, Sch Business Adm, Dept Finance, POB 26666, Sharjah, U Arab Emirates
来源：
JOURNAL OF BANKING & FINANCE | 2018年 / 90卷
关键词：
Treasury yield curve; Bank liquidity creation; Recessions; Financial stability; Monetary Policy; MARKET LIQUIDITY; FINANCIAL INTERMEDIATION; TERM STRUCTURE; TIME-SERIES; GROWTH; STOCK; DEREGULATION; CREDIT;
D O I：
10.1016/j.jbankfin.2018.03.002
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We investigate the relationship between bank liquidity creation and recessions in the U.S. For the 1984-2010 sample, we find that (i) lower bank on-balance sheet liquidity creation signals recessions four quarters into the future; (ii) off-balance sheet liquidity creation is not a robust predictor of recessions at longer forecast horizons; (iii) off-balance sheet liquidity creation falls in tandem with on-balance sheet liquidity creation one quarter prior to recessions, and aggregate, on- and off-balance sheet bank liquidity creation continue to decline during and up to five quarters after recessions; and (iv) liquidity creation of larger banks contains more information about future recessions than that of smaller ones. (C) 2018 Elsevier B.V. All rights reserved.
引用
收藏
页码：64 / 75
页数：12
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