The dependency of the banks’ assets and liabilities: Evidence from Germany

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Authors

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.

Original languageEnglish
JournalEuropean Financial Management
Volume18
Issue number4
Pages (from-to)602–619
Number of pages18
ISSN1354-7798
DOIs
Publication statusPublished - 09.2012

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