Modelling the dynamics of Liquidity risk and bank profitability. A case of U.S. commercial banks
Loading...
Date
Authors
Chepkemoi, Getrude
Journal Title
Journal ISSN
Volume Title
Publisher
Strathmore University
Abstract
This study examines the effects of liquidity risk on bank profitability in different time horizons in
the United States of America's commercial banking sector over the years 2011 to 2020. The effects
are studied using data obtained from 10 commercial banks in the United States of America. Both
the two-step system GMM and the generalized least squares methods are applied. The results from
two-step system GMM show that liquidity risk negatively impacts bank profitability across all
horizons. The random effects estimator on the other hand does not show any robust impacts of
liquidity risk on bank profitability.
Description
Submitted in partial fulfillment of the requirements for the Degree of Bachelor of Business Science Financial Economics at Strathmore University