TY - JOUR

T1 - The dependency of the banks’ assets and liabilities

T2 - Evidence from Germany

AU - Memmel, Christoph

AU - Schertler, Andrea Gisela

PY - 2012/9

Y1 - 2012/9

N2 - Two decades of developments in risk-transfer instruments may have fundamentally changed the extent to which banks practice on-balance sheet term and liquidity transformation. These changes should be deliberated in on-balance sheet asset-liability dependencies. By using correlation analyses, we investigate asset-liability dependency for all three sectors of German universal banks from 1994 to 2007 and find that it declined over our sample period. We also investigate whether asset-liability dependency varies systematically with a bank's affinity for using risk-transfer instruments, regulatory capital, and profitability and document several differences between the three sectors of German universal banks.

AB - Two decades of developments in risk-transfer instruments may have fundamentally changed the extent to which banks practice on-balance sheet term and liquidity transformation. These changes should be deliberated in on-balance sheet asset-liability dependencies. By using correlation analyses, we investigate asset-liability dependency for all three sectors of German universal banks from 1994 to 2007 and find that it declined over our sample period. We also investigate whether asset-liability dependency varies systematically with a bank's affinity for using risk-transfer instruments, regulatory capital, and profitability and document several differences between the three sectors of German universal banks.

KW - Management studies

KW - Asset-liability dependency

KW - Correlation analysis

UR - http://www.scopus.com/inward/record.url?scp=84865437530&partnerID=8YFLogxK

U2 - 10.1111/j.1468-036X.2010.00543.x

DO - 10.1111/j.1468-036X.2010.00543.x

M3 - Journal articles

VL - 18

SP - 602

EP - 619

JO - European Financial Management

JF - European Financial Management

SN - 1354-7798

IS - 4

ER -