Home > Research > Publications & Outputs > Liquidity Creation Through Efficient M&As

Research

Associated organisational units

Electronic data

  • 1-s2.0-S0378426617301073-main

    Rights statement: This is the author’s version of a work that was accepted for publication in Journal of Banking and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking and Finance, 83, 2017 DOI: 10.1016/j.jbankfin.2017.05.005

    Accepted author manuscript, 963 KB, PDF document

    Available under license: CC BY-NC-ND: Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License

Links

Text available via DOI:

Keywords

View graph of relations

Liquidity Creation Through Efficient M&As: A Viable Solution for Vulnerable Banking Systems? Evidence From a Stress Test Under a Panel VAR methodology

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Published

Standard

Liquidity Creation Through Efficient M&As: A Viable Solution for Vulnerable Banking Systems? Evidence From a Stress Test Under a Panel VAR methodology. / Baltas, Konstantinos N.; Kapetanios, George; Tsionas, Efthymios et al.
In: Journal of Banking and Finance, Vol. 83, 10.2017, p. 36-56.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Baltas, KN, Kapetanios, G, Tsionas, E & Izzeldin, M 2017, 'Liquidity Creation Through Efficient M&As: A Viable Solution for Vulnerable Banking Systems? Evidence From a Stress Test Under a Panel VAR methodology', Journal of Banking and Finance, vol. 83, pp. 36-56. https://doi.org/10.1016/j.jbankfin.2017.05.005

APA

Baltas, K. N., Kapetanios, G., Tsionas, E., & Izzeldin, M. (2017). Liquidity Creation Through Efficient M&As: A Viable Solution for Vulnerable Banking Systems? Evidence From a Stress Test Under a Panel VAR methodology. Journal of Banking and Finance, 83, 36-56. https://doi.org/10.1016/j.jbankfin.2017.05.005

Vancouver

Baltas KN, Kapetanios G, Tsionas E, Izzeldin M. Liquidity Creation Through Efficient M&As: A Viable Solution for Vulnerable Banking Systems? Evidence From a Stress Test Under a Panel VAR methodology. Journal of Banking and Finance. 2017 Oct;83:36-56. Epub 2017 Jun 6. doi: 10.1016/j.jbankfin.2017.05.005

Author

Baltas, Konstantinos N. ; Kapetanios, George ; Tsionas, Efthymios et al. / Liquidity Creation Through Efficient M&As : A Viable Solution for Vulnerable Banking Systems? Evidence From a Stress Test Under a Panel VAR methodology. In: Journal of Banking and Finance. 2017 ; Vol. 83. pp. 36-56.

Bibtex

@article{d11524939b1141de9e45bda6109bdd9b,
title = "Liquidity Creation Through Efficient M&As: A Viable Solution for Vulnerable Banking Systems? Evidence From a Stress Test Under a Panel VAR methodology",
abstract = "According to the “cost efficiency - liquidity creation” hypothesis (CELCH), introduced in this paper, a rise in a bank{\textquoteright}s cost efficiency level increases its liquidity creation. By employing a novel stress test scenario under a panel VAR methodology, the CELCH and the direction of causality between liquidity creation and cost efficiency are tested. Moreover, using new measures of liquidity creation (Berger and Bouwman, 2009), the question of whether potential bank mergers and acquisitions (M&As) can enhance liquidity creation and generate additional credit channels in the economy is addressed. The robustness of potential consolidation scenarios are evaluated and compared through the use of new “half-life” measures (Chortareas and Kapetanios, 2013). In line with CELCH, the positive impact of cost efficiency on liquidity creation is shown. The empirical evidence further suggests that potential consolidation activity can enhance the flow of credit in the economy. Bank shocks seem to have the most persistent effect on both liquidity creation and cost efficiency. Finally, doubts are cast on the strategies followed by policy authorities regarding the recent wave of M&As in the banking sector.",
keywords = "Bank distress, Liquidity risk, Efficiency, Capital structure, Regulation, M&As, PVAR",
author = "Baltas, {Konstantinos N.} and George Kapetanios and Efthymios Tsionas and Marwan Izzeldin",
note = "This is the author{\textquoteright}s version of a work that was accepted for publication in Journal of Banking and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking and Finance, 83, 2017 DOI: 10.1016/j.jbankfin.2017.05.005",
year = "2017",
month = oct,
doi = "10.1016/j.jbankfin.2017.05.005",
language = "English",
volume = "83",
pages = "36--56",
journal = "Journal of Banking and Finance",
issn = "0378-4266",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - Liquidity Creation Through Efficient M&As

T2 - A Viable Solution for Vulnerable Banking Systems? Evidence From a Stress Test Under a Panel VAR methodology

AU - Baltas, Konstantinos N.

AU - Kapetanios, George

AU - Tsionas, Efthymios

AU - Izzeldin, Marwan

N1 - This is the author’s version of a work that was accepted for publication in Journal of Banking and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking and Finance, 83, 2017 DOI: 10.1016/j.jbankfin.2017.05.005

PY - 2017/10

Y1 - 2017/10

N2 - According to the “cost efficiency - liquidity creation” hypothesis (CELCH), introduced in this paper, a rise in a bank’s cost efficiency level increases its liquidity creation. By employing a novel stress test scenario under a panel VAR methodology, the CELCH and the direction of causality between liquidity creation and cost efficiency are tested. Moreover, using new measures of liquidity creation (Berger and Bouwman, 2009), the question of whether potential bank mergers and acquisitions (M&As) can enhance liquidity creation and generate additional credit channels in the economy is addressed. The robustness of potential consolidation scenarios are evaluated and compared through the use of new “half-life” measures (Chortareas and Kapetanios, 2013). In line with CELCH, the positive impact of cost efficiency on liquidity creation is shown. The empirical evidence further suggests that potential consolidation activity can enhance the flow of credit in the economy. Bank shocks seem to have the most persistent effect on both liquidity creation and cost efficiency. Finally, doubts are cast on the strategies followed by policy authorities regarding the recent wave of M&As in the banking sector.

AB - According to the “cost efficiency - liquidity creation” hypothesis (CELCH), introduced in this paper, a rise in a bank’s cost efficiency level increases its liquidity creation. By employing a novel stress test scenario under a panel VAR methodology, the CELCH and the direction of causality between liquidity creation and cost efficiency are tested. Moreover, using new measures of liquidity creation (Berger and Bouwman, 2009), the question of whether potential bank mergers and acquisitions (M&As) can enhance liquidity creation and generate additional credit channels in the economy is addressed. The robustness of potential consolidation scenarios are evaluated and compared through the use of new “half-life” measures (Chortareas and Kapetanios, 2013). In line with CELCH, the positive impact of cost efficiency on liquidity creation is shown. The empirical evidence further suggests that potential consolidation activity can enhance the flow of credit in the economy. Bank shocks seem to have the most persistent effect on both liquidity creation and cost efficiency. Finally, doubts are cast on the strategies followed by policy authorities regarding the recent wave of M&As in the banking sector.

KW - Bank distress

KW - Liquidity risk

KW - Efficiency

KW - Capital structure

KW - Regulation

KW - M&As

KW - PVAR

U2 - 10.1016/j.jbankfin.2017.05.005

DO - 10.1016/j.jbankfin.2017.05.005

M3 - Journal article

VL - 83

SP - 36

EP - 56

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

SN - 0378-4266

ER -