We investigate the relationship between bank liquidity creation and recessions in the U.S. For the 1984-2010 sample, we find that (i) lower bank on-balance sheet liquidity creation signals recessions four quarters into the future; (ii) off-balance sheet liquidity creation is not a robust predictor of recessions at longer forecast horizons; (iii) off-balance sheet liquidity creation falls in tandem with on-balance sheet liquidity creation one quarter prior to recessions, and aggregate, on- and off-balance sheet bank liquidity creation continue to decline during and up to five quarters after recessions; and (iv) liquidity creation of larger banks contains more information about future recessions than that of smaller ones. (C) 2018 Elsevier B.V. All rights reserved.
Bank liquidity creation and recessions / Chatterjee, Ujjal K.. - In: JOURNAL OF BANKING & FINANCE. - ISSN 0378-4266. - 90:(2018), pp. 64-75. [10.1016/j.jbankfin.2018.03.002]
Bank liquidity creation and recessions
Ujjal K. Chatterjee
2018-01-01
Abstract
We investigate the relationship between bank liquidity creation and recessions in the U.S. For the 1984-2010 sample, we find that (i) lower bank on-balance sheet liquidity creation signals recessions four quarters into the future; (ii) off-balance sheet liquidity creation is not a robust predictor of recessions at longer forecast horizons; (iii) off-balance sheet liquidity creation falls in tandem with on-balance sheet liquidity creation one quarter prior to recessions, and aggregate, on- and off-balance sheet bank liquidity creation continue to decline during and up to five quarters after recessions; and (iv) liquidity creation of larger banks contains more information about future recessions than that of smaller ones. (C) 2018 Elsevier B.V. All rights reserved.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione
