Bank liquidity and exposure to industry shocks: evidence from Ukraine

Jose Arias, Oleksandr Talavera*, Andriy Tsapin

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

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Abstract

This paper examines the link between bank liquidity and exposure to industry-level shocks. Using a unique dataset of borrower industry affiliations, we propose a new measure of industry-level shocks calculated at the bank level. We construct bank-specific loan portfolio weights for each industry and apply them to two industry-level indices. Our estimates reveal the negative link between bank liquidity and industry shocks. The sensitivity of liquidity to bank exposure is higher for more liquid, better capitalized, and smaller banks, which may be explained by their ability to displace funds, either for precautionary reasons or for loan financing.

Original languageEnglish
Article number100942
Number of pages20
JournalEmerging Markets Review
Volume53
Early online date28 Jun 2022
DOIs
Publication statusPublished - 17 Nov 2022

Keywords

  • Bank liquidity
  • Bank shock exposure
  • Industry-level shocks
  • Lending behaviour

ASJC Scopus subject areas

  • Business and International Management
  • Economics and Econometrics

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