Impact of credit risk (NPLs) and capital on liquidity risk of Malaysian banks

We investigate the relationship between bank liquidity risk and credit risk and the impact of bank capital on liquidity risk.Using 19 Malaysian commercial banks data over 2002-2011 and applying dynamic panel data GMM estimation after controlling for bank-specific and macroeconomic variables, empiric...

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Main Authors: Ali, Azlan, Hajja, Yaman, Hussain, Hafezali
格式: Conference or Workshop Item
語言:English
出版: 2015
主題:
在線閱讀:http://repo.uum.edu.my/17579/1/252-ICAS2015%20252-256.pdf
http://repo.uum.edu.my/17579/
http://www.icas.my/index.php/proceedings/3-icas-2015-proceedings/123-impact-of-credit-risk-npls-and-capital-on-liquidity-risk-of-malaysian-banks
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總結:We investigate the relationship between bank liquidity risk and credit risk and the impact of bank capital on liquidity risk.Using 19 Malaysian commercial banks data over 2002-2011 and applying dynamic panel data GMM estimation after controlling for bank-specific and macroeconomic variables, empirical results document a positive relationship between liquidity and credit risk and a non-linear U-shaped relationship between bank capital and liquidity risk.