Purpose

This study investigates the inter-relationships among liquidity creation, bank capital and credit risk in selected emerging economies between 2012 and 2016.

Design/methodology/approach

A three-step procedure as proposed by Berger and Bouwman (2009) is used to measure liquidity creation. Thereafter, a simultaneous equations model with the generalized method of moments (GMM) estimator is used to examine the links between liquidity creation, bank capital and credit risk.

Findings

The findings indicate that bank capital and credit risk affect each other positively after controlling for liquidity creation. Also, the findings show a negative impact of credit risk on liquidity creation while our findings do not find any evidence to confirm the reverse relationship between them. Furthermore, the findings demonstrate a two-way negative relationship between liquidity creation and bank capital in these emerging economies. Finally, the results indicate a positive relationship between capital and credit risk, especially in the case of small banks in the sample.

Practical implications

The findings suggest that the trade-off between the benefits of financial stability induced by tightening capital requirements and those of improved liquidity creation has crucial implications for policymakers and bank regulators in making the banking system more resilient. A positive impact of capital on credit risk emphasizes that the authorities in selected emerging economies should put more attention on small banks to ensure their exposures under target control.

Originality/value

This is the first study that examines the dynamic interrelationships among liquidity creation, bank capital and credit risk in the Asia–Pacific region.

中文翻译：

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流动性创造、银行资本和信用风险之间的相互关系：来自亚太新兴经济体的证据

目的

本研究调查了 2012 年至 2016 年选定新兴经济体的流动性创造、银行资本和信用风险之间的相互关系。

设计/方法/方法

Berger 和 Bouwman (2009) 提出的三步程序用于衡量流动性创造。此后，使用具有广义矩量法 (GMM) 估计量的联立方程模型来检查流动性创造、银行资本和信用风险之间的联系。

发现

研究结果表明，在控制流动性创造后，银行资本和信用风险相互影响。此外，调查结果显示信用风险对流动性创造有负面影响，而我们的调查结果没有找到任何证据来证实它们之间的反向关系。此外，研究结果表明，这些新兴经济体的流动性创造与银行资本之间存在双向负相关关系。最后，结果表明资本和信用风险之间存在正相关关系，特别是在样本中的小银行的情况下。

实际影响

研究结果表明，收紧资本要求所带来的金融稳定的好处与改善流动性创造的好处之间的权衡对于政策制定者和银行监管机构提高银行体系的弹性具有重要意义。资本对信用风险的积极影响强调，部分新兴经济体当局应更加关注小银行，确保其风险暴露在目标控制之下。

原创性/价值

这是第一项研究亚太地区流动性创造、银行资本和信用风险之间动态相互关系的研究。