Banks' Advantage in Hedging Liquidity Risk: Theory and Evidence from the Commercial Paper Market

Bank Organization, Market Structure and Risk Taking: Theory and Evidence from U.S. Commercial Banks

This paper examines (1) the change in commercial banks’ risk taking as states in the United States removed restrictions on bank branching within state borders and (2) the channels through which the removal of these restrictions affects bank risk taking. I find that, after the liberalization of branching restrictions, banks that do not expand their branch network into other markets decrease risk...

Corporate Governance and Liquidity Creation: Evidence from Iranian Banks

This paper examines the impact of internal bank governance on bank liquidity creation in Iran during 2010-2017. We analyze whether banks with larger size and liquidity levels creates higher levels of liquidity. The results using panel GMM method show that corporate governance has a positive effect on liquidity creation; of course, it is not significant. Also, this effect is not affecting by ban...

The Effect Of Capital Buffer On The Relationship Between Liquidity Risk And Market and Book Risk Taking Of The Banks

  This research examines the effect of the Capital Buffer, on banks as a regulatory and controlling factor on the relationship between liquidity risk and banks' risk aversion. In this study, eight banks were surveyed for the period of 2011-2014. In order to measure the Capital Buffer criterion, the legal deposit rates of central bank of the Islamic Republic of Iran has been used. For measuring...

Dynamic Cross Hedging Effectiveness between Gold and Stock Market Based on Downside Risk Measures: Evidence from Iran Emerging Capital Market

This paper examines the hedging effectiveness of gold futures for the stock market in minimizing variance and downside risks, including value at risk and expected shortfall using data from the Iran emerging capital market during four different sub-periods from December 2008 to August 2018. We employ dynamic conditional correlation models including VARMA-BGARCH (DCC, ADCC, BEKK, and ABEKK) and c...

Effects Of Risk Parameters (Credit, Operational, Liquidity And Market Risk) On Banking System Efficiency (Studying 15 Top Banks In Iran)