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Liquidity Mismatch, Bank Borrowing Decision and Distress: Empirical Evidence from Italian Credit Co-Operative Banks

In: Liquidity Risk, Efficiency and New Bank Business Models

Author

Listed:
  • Gianfranco Vento

    (Guglielmo Marconi University in Rome)

  • Andrea Pezzotta

    (Federcasse)

  • Stefano Colli

    (Federcasse)

Abstract

Since the 2007–2008 financial crisis liquidity risk has become one of the top priorities for regulators and new liquidity requirements have been introduced. Despite the importance of liquidity risk and the progress in addressing it there is no consensus about how to measure it and how to do so in a such a way as to provide information about (endogenous) systemic liquidity risk. This work aims to implement the “Liquidity Mismatch Index” proposed by Brunnermeier et al. (2011) to measure the mismatch between market liquidity of assets and the funding liabilities, using a sample of Italian co-operative banks. It investigates the main determinants of this mismatch, how it correlates with other bank characteristics and whether it provides useful information about borrowing decisions and distress of banks.

Suggested Citation

  • Gianfranco Vento & Andrea Pezzotta & Stefano Colli, 2016. "Liquidity Mismatch, Bank Borrowing Decision and Distress: Empirical Evidence from Italian Credit Co-Operative Banks," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Santiago Carbó Valverde & Pedro Jesús Cuadros Solas & Francisco Rodríguez Fernández (ed.), Liquidity Risk, Efficiency and New Bank Business Models, chapter 10, pages 273-299, Palgrave Macmillan.
    • Handle: RePEc:pal:pmschp:978-3-319-30819-7_10
    DOI: 10.1007/978-3-319-30819-7_10
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    Cited by:

    1. Hou, Xiaohui & Yang, Rui, 2024. "Bank digital transformation and liquidity mismatch: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 581-597.
    2. Simona Galletta & Sebastiano Mazzù, 2019. "Liquidity Risk Drivers and Bank Business Models," Risks, MDPI, vol. 7(3), pages 1-18, August.

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