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A Study of the Relationship between Bank Procyclical Leverage and Liquidity
Pages: 57-72+148
Year: Issue:  8
Journal: The Journal of Quantitative & Technical Economics

Keyword:  Bank LeverageProcyclicalLiquidity;
Abstract: This paper studies the bank procyclical leverage and its influencing factors,also establishes a panel simultaneous equation to invest the interaction relationship between procyclical leverage and banks’ liquidity.The empirical results indicate:the leverage of commercial banks in China is procyclical,but there are differences in different types of banks.The state-owned commercial banks’ leverage is not obviously procyclical,while for the small size commercial banks,the leverage is more procyclicality than the average.Loan proportion and deposit proportion have an asymmetric relationship with the bank procyclical leverage;increasing loan proportion will accelerate leverage procyclical,while increasing deposit proportion will mitigate leverage procyclical.
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