IDEAS home Printed from https://ideas.repec.org/h/ito/pchaps/219636.html
   My bibliography  Save this book chapter

More Credits, Less Cash: A Panel Cointegration Approach

In: Linear and Non-Linear Financial Econometrics -Theory and Practice

Author

Listed:
  • Sureyya Dal

Abstract

In this study, the long-run relation among credit expansion and liquidity risk was analyzed by using data of 20 banks in Turkish banking sector for the period 2014.Q1-2017.Q4. In the analysis, dynamic panel cointegration methodology which depends on cross-sectional dependence and homogeneity was adopted in order to determine whether there is a long-run relation between variables. As a result of the cointegration analysis, a long-run relation was found between liquidity risk and credit expansion. Also, the result indicates that credit expansion positively affects liquidity risk. This result suggests that the banks may constrain their credit growth in the long term in order to decrease liquidity risk.

Suggested Citation

  • Sureyya Dal, 2021. "More Credits, Less Cash: A Panel Cointegration Approach," Chapters, in: Mehmet Kenan Terzioglu & Gordana Djurovic & Martin M. Bojaj (ed.), Linear and Non-Linear Financial Econometrics -Theory and Practice, IntechOpen.
    • Handle: RePEc:ito:pchaps:219636
    DOI: 10.5772/intechopen.93778
    as

    Download full text from publisher

    File URL: https://www.intechopen.com/chapters/73478
    Download Restriction: no
    File URL: https://libkey.io/10.5772/intechopen.93778?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    panel data models; financial econometrics; banks; financial risk; risk management; cointegration analysis;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ito:pchaps:219636. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Slobodan Momcilovic (email available below). General contact details of provider: http://www.intechopen.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.