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Tuesday 15 November 2016

Liquidity in the Banking Sector

Laurent Salé, Doctorant du programme ESCP Europe, soutiendra sa thèse le 24 novembre 2016 à 14h, dans le cadre de l'Ecole Doctorale de Management Panthéon-Sorbonne.

Titre : "Liquidity in the Banking Sector"

sous la direction de Pr. Franck BANCEL
Jury :
Rapporteurs :                       
M. Hervé ALEXANDRE, Professeur des Universités, Université de Paris IX Dauphine
M. Alexis COLLOMB, Professeur des Universités, Conservatoire National des Arts et Métiers

Suffragants :
M. Jean Paul LAURENT, Professeur des Universités, Université Paris I Panthéon Sorbonne.
M. Laurent QUIGNION, Head of Economie Bancaire, Group Economic Research, BNP Paribas.


1st Article: Why do banks hold cash?
This paper investigates the determinants of bank cash holding by using international data for the period 1981-2014. The results do not seem to provide support for the substitutability hypothesis regarding the substitutive relation between cash and debt levels. Further, using the GMM-system estimation method, we find no support for the dynamic optimal cash model, suggesting that cash management in the banking sector is bounded by number of constraints that make it difficult for the agents to optimize their utility.

2nd Article: Does an increase in capital negatively impact banking liquidity creation?
From a dataset composed of a panel of 940 listed banks based in European, American and Asian countries, this paper documents the evolution of bank liquidity creation over a 35-year period (1981-2014).
The empirical evidence confirms that risk and equity levels play a significant and negative role. Overall, the negative effects of equity increases on bank liquidity creation are more significant than corresponding positive effects on risk management, suggesting that capital requirements imposed to support financial stability negatively affect liquidity creation. These findings have broad implications for policymakers.

3rd Article: Positive effects of Basel III on banking liquidity creation
This paper estimates the effect of the Basel III regulatory framework on banking liquidity creation. The results are based on a panel data set of U.S. banks that represent approximately 60% of U.S. loans and deposits over a 7-year period (from 2009 to 2015) in addition to difference-in-difference and standard survival methods. All components of Basel III taken together, there is empirical evidence that Basel III has a positive effect on banking liquidity creation in the US market in particular for major banks. These findings have broad implications for policy makers.

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