Do banks actively manage their liquidity?

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• 作者：Robert DeYoung^a ; Karen Y. Jang^b ; ^{yjjang@ku.edu" class="auth_mail" title="E-mail the corresponding author}
• 关键词：G21 ; G28
• 刊名：Journal of Banking & Finance
• 出版年：2016
• 出版时间：May 2016
• 年：2016
• 卷：66
• 期：Complete
• 页码：143-161
• 全文大小：548 K

文摘

We test whether and how U.S. commercial banks actively managed their liquidity positions between 1992 and 2012, prior to the implementation of the Basel III liquidity rules. On average, the data are consistent with a liquidity management regime in which banks targeted the traditional loans-to-core deposits (LTCD) ratio. Perhaps surprisingly, the data are also consistent on average with the net stable funding ratio (NSFR), a regulatory liquidity ratio that was not formally introduced by the Bank for International Settlements until 2010. We find evidence of LTCD and (implicit) NSFR targeting at banks of all sizes, but concordance is strongest for small banks and weakest for so-called SIFI banks. As banks increase in size, they set lower liquidity targets—often in violation of the coming Basel III standards—but manage those targets more efficiently.