Bank Liquidity Creation: A New Global Dataset for Developing and Emerging Countries

Article


D’Avino, C., Girardin, E. and Shabani, M. 2021. Bank Liquidity Creation: A New Global Dataset for Developing and Emerging Countries. Review of World Economics. https://doi.org/10.1007/s10290-021-00434-1
AuthorsD’Avino, C., Girardin, E. and Shabani, M.
Abstract

The pre-Global Financial Crisis build-up, followed by the post-crisis collapse, in bank liquidity creation in developed countries is well-documented (Berger and Bowman, 2009). Comparable analyses on developing and emerging countries (DECs) have been severely hindered by the lack of detailed bank-by-bank balance sheet data. This paper proposes a new, high-frequency, Aggregate Bank Liquidity Creation (A-BLC) measure for 114 DECs on a comparable cross-country basis, which relies on macroeconomic, country-wide, banking systems’ balance sheet data. The A-BLC database allows us to assess the extent of bank fragility arising from illiquidity associated with intermediation at the banking system level for every DEC, at a monthly frequency over the period 2001-2016. Our measure captures more accurately than other measures proposed in the literature the evolution of bank liquidity creation in the DECs. Stylised facts and panel-regression analysis suggest a sharp pre-crisis build-up and post-crisis fall in liquidity creation in DECs, larger then that observed for developed countries. In addition, financial depth and stability appear as particularly important drivers of A-BLC in DECs.

JournalReview of World Economics
ISSN1610-2886
Year2021
PublisherSpringer
Accepted author manuscript
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Anyone
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Digital Object Identifier (DOI)https://doi.org/10.1007/s10290-021-00434-1
Publication dates
Online03 Aug 2021
Publication process dates
Accepted20 Jul 2021
Deposited17 Sep 2021
FunderAgence Nationale de la Recherche
Copyright holder© 2021 Springer
Additional information

This is a post-peer-review, pre-copyedit version of an article published in Review of World Economics. The final authenticated version is available online at: https://doi.org/10.1007/s10290-021-00434-1

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