O impacto do risco de liquidez e do risco de crédito na estabilidade bancária: uma evidência entre países

Abstract

This paper assesses whether there is a significant effect of liquidity risk and credit risk on the financial stability of banks in 27 countries located on the following continents: Europe, South America and Africa. This study also evaluates whether: (i) the interaction between these risks affects the financial stability of the banks under analysis; (ii) the size of banks intensifies the effects of such risks; (iii) the market concentration intensifies the effects of the referenced risks. For estimations, the System-GMM method of Blundell and Bond (1998) was used. The data were obtained from Bankscope, the Heritage foundation and is from the World Development Indicator and comprises the period, post-crisis, from 2011 to 2015. The results show that credit risk is the main factor influencing the stability of banks, and the liquidity risk is less important. These results reveal that perhaps the banks have begun to better manage their liquidity problems and that there is a need to improve the techniques of credit granting analysis and also the techniques of monitoring customers in the post-loan. In addition, the interactions of liquidity risk and credit risk with the size of banks and the market concentration did not have significant effects, so that are no heterogeneous effects of the influence of credit risk on banking stability.