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A Multifactorial Analysis of Bank Liquidity in the Euro Area

Author

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  • Dan Costin NIŢESCU

    (The Bucharest University of Economic Studies)

  • Florin Alexandru DUNA

    (The Bucharest University of Economic Studies)

Abstract

The paper reflects a multifactorial analysis examining the inter-correlations between bank liquidity and a selection of macroeconomic and bank-related indicators, within the Euro Area 19 countries. In the first two parts of the paper, we present relevant developments, from a bank liquidity perspective, as well as findings from other relevant research. The third part includes our empirical study, which is based on the use of two multiple regressions: one dedicated to analyzing the correlations between bank liquidity and macroeconomic indicators (GDP, inflation, unemployment) and the other examining the correlations between bank liquidity and bank-related indicators (Bank deposits to GDP, Bank capital to total assets, provisions to NPL’s,). The fourth part highlights the results of the empirical study and the paper ends with a section of concluding remarks.

Suggested Citation

  • Dan Costin NIŢESCU & Florin Alexandru DUNA, 2018. "A Multifactorial Analysis of Bank Liquidity in the Euro Area," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 153-167, September.
    • Handle: RePEc:rjr:romjef:v::y:2018:i:3:p:153-167
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    References listed on IDEAS

    as
    1. Evan Gatev & Til Schuermann & Philip E. Strahan, 2009. "Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions," The Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 995-1020, March.
    2. Dinger, Valeriya, 2009. "Do foreign-owned banks affect banking system liquidity risk?," Journal of Comparative Economics, Elsevier, vol. 37(4), pages 647-657, December.
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    4. Fabio Ghironi, 2018. "Macro needs micro," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 34(1-2), pages 195-218.
    5. David Vines & Samuel Wills, 2018. "The financial system and the natural real interest rate: towards a ‘new benchmark theory model’," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 34(1-2), pages 252-268.
    6. Grace, Therese & Hallissey, Niamh & Woods, Maria, 2015. "The Instruments of Macro-Prudential Policy," Quarterly Bulletin Articles, Central Bank of Ireland, pages 90-105, January.
    7. Randall Wright, 2018. "On the future of macroeconomics: a New Monetarist perspective," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 34(1-2), pages 107-131.
    8. Allen, Franklin & Santomero, Anthony M., 2001. "What do financial intermediaries do?," Journal of Banking & Finance, Elsevier, vol. 25(2), pages 271-294, February.
    9. Bouwman, Christa H. S., 2013. "Liquidity: How Banks Create It and How It Should Be Regulated," Working Papers 13-32, University of Pennsylvania, Wharton School, Weiss Center.
    10. David Vines & Samuel Wills, 2018. "The rebuilding macroeconomic theory project: an analytical assessment," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 34(1-2), pages 1-42.
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    Cited by:

    1. Dan Costin NIŢESCU & Florin Alexandru DUNĂ & Adriana Daniela CIUREL, 2020. "Banking sector and bank liquidity – key actors within financial crises?," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(623), S), pages 147-168, Summer.

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    More about this item

    Keywords

    bank liquidity; unemployment; inflation; NPLs; Euro area;
    All these keywords.

    JEL classification:

    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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