Liquidity Risk in the Mena Region Banking Sector: Does Bank Type Make a Difference?

ElMassah, Suzanna; Bacheer, Shereen Mostafa; Sayed, Ola Al

doi:10.1353/jda.2019.0009

Cited by 6 publications

(2 citation statements)

References 13 publications

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“…In this context, the study of Ghosh (2014) shows that a higher number of delinquent loans compels banks in the GCC to improve their liquidity positions during the postcrisis period and access external sources of liquidity. This agrees with the recent study of El-Massah et al (2019), which shows that Islamic banks with a lower asset quality try to hedge their credit risk by maintaining more liquid assets.…”

Section: Estimation Resultssupporting

confidence: 92%

Does the deposit structure affect Islamic bank’s maturity transformation activities? The implications of IFSB liquidity guidelines

Ayed¹,

Lamouchi²,

Alawi³

2021

IMEFM

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Purpose The purpose of this study is to investigate factors influencing the net stable funding ratio (NSFR) in the Islamic banking system. More specifically, the authors analyze the impact of the deposit structure on the liquidity ratio using the two-step generalized method of moments approach during the 2000–2014 period. Design/methodology/approach Based on IFSB-12 and the GN-6, the authors calculated the NSFR for 35 Islamic banks operating in the Middle East and North Africa (MENA) region. Findings The findings of this study show the following: first, ratio of profit-sharing investment accounts have a positive impact on the NSFR, while ratio of non profit-sharing investment accounts increase the maturity transformation risk; second, the results highlight that asset risk, bank capital and the business cycle have a positive impact on the liquidity ratio, while the returns on assets, bank size and market concentration have a negative impact; and third, these results support the IFSB’s efforts in developing guidelines for modifying the NSFR to enhance the liquidity risk management of institutions offering Islamic financial services. Research limitations/implications The most prominent limitation of this research is the availability of data. Practical implications These results will be useful for authorities and policy makers seeking to clarify the implications of adopting the liquidity requirement for banking behavior. Originality/value This study contributes to the knowledge in this area by improving our understanding of liquidity risk management during liquidity stress periods. It analyzes the modified NSFR that was adopted by the IFSB. Besides, this study fills a gap in the literature. Previous studies have used the conventional ratios to determinate the main factors of the maturity transformation risk in a full-fledged Islamic bank based on an early version of NSFR. Finally, most studies focus on the NSFR as proposed by the Basel Committee, whereas the authors investigate the case of the dual-banking system in the emerging economies of seven Arab countries in the MENA region.

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Section: Estimation Resultssupporting

confidence: 92%

Does the deposit structure affect Islamic bank’s maturity transformation activities? The implications of IFSB liquidity guidelines

Ayed¹,

Lamouchi²,

Alawi³

2021

IMEFM

View full text Add to dashboard Cite

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“…Martins et al [ 29 ] showed that there is a positive relationship between bank stock returns and entity estate returns after controlling for general market conditions and interest rate changes. El-Massah et al [ 30 ] studied the exchange rate risk of the banking industry in central and northeast Africa, and their findings indicate that the magnitude of the impact of exchange rate risk on banks is significantly associated with the type of bank. He et al [ 31 ] used regressions and systemic risk indices to study risk propagation among Chinese financial markets and concluded that the focus of the prevention and control of Chinese financial systemic risk should be on the stock and fund markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Dynamic Banking Systemic Risk Accumulation under Multiple-Risk Exposures

Fan

Tang

2022

Entropy

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Much of the existing research on banking systemic risk focuses on static single-risk exposures, and there is a lack of research on multiple-risk exposures. The reality is that the banking system is facing an increasingly complex environment, and dynamic measures of multiple-risk integration are essential. To reveal the risk accumulation process under the multi-risk exposures of the banking system, this article constructs a dynamic banking system as the research object and combines geometric Brownian motion, the BSM model, and the maximum likelihood estimate method. This article also aims to incorporate three types of exposures (interbank lending market risk exposures, entity industry credit risk exposures, and market risk exposures) within the same framework for the first time and builds a model of the dynamic evolution of banking systemic risk under multiple exposures. This study included the collection of a large amount of real data on banks, entity industries, and market risk factors, and used the ΔCoVaR model to evaluate the systemic risk of the China banking system from the point of view of the accumulation of risk from different exposures, revealing the dynamic process of risk accumulation under the integration of multiple risks within the banking system, as well as the contribution of different exposures to banking systemic risk. The results showed that the banking systemic risk of China first increased and then decreased with time, and the rate of risk accumulation is gradually slowing down. In terms of the impact of different kinds of exposures on system losses, the credit risk exposure of the entity industry had the greatest impact on the banking systemic risk among the three kinds of exposures. In terms of the contribution of the interbank lending market risk to the systemic risk, the Bank of Communications, China Everbright Bank, and Bank of Beijing contributed the most. In terms of the contribution of the bank–entity industry credit risk to the systemic risk, the financial industry, accommodation and catering industry, and manufacturing industry contributed the most. Considering the contribution of market risk to the systemic risk, the Shanghai Composite Index, the Hang Seng Composite Index, and the Dow Jones Index contributed the most. The research in this paper enriches the existing banking systemic risk research perspective and provides a reference for the regulatory decisions of central banks.

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Propagation of online consumer perceived negativity: Quantifying the effect of supply chain underperformance on passenger car sales

Singh

Jenamani

Thakkar³

et al. 2021

Journal of Business Research

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Liquidity Risk in the Mena Region Banking Sector: Does Bank Type Make a Difference?

Cited by 6 publications

References 13 publications

Does the deposit structure affect Islamic bank’s maturity transformation activities? The implications of IFSB liquidity guidelines

Does the deposit structure affect Islamic bank’s maturity transformation activities? The implications of IFSB liquidity guidelines

Dynamic Banking Systemic Risk Accumulation under Multiple-Risk Exposures

Propagation of online consumer perceived negativity: Quantifying the effect of supply chain underperformance on passenger car sales

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