英文摘要 |
We develop a model of bank risk-taking to explore the relationship between bank liquidity risk and credit risk, in which banks receive deposits as funding and may improve the likelihood of success of their long-term risky loans by devoting monitoring efforts. The results show that this relationship depends on the probability of liquidity shock. When the probability of liquidity shock is low, the banks invest only in long-term risky loans, and then the bank liquidity risk and credit risk are positively correlated; however, when the probability is high, they are inclined to hold long-term risky loans and full liquidity reserves, and then the bank liquidity risk and credit risk are uncorrelated. Moreover, more loan market competition and higher deposit rates increase both bank liquidity risk and credit risk. Both the bank liquidity risk and credit risk are decreasing in adequate capital requirements when imposing capital regulation that requires the banks to use equity capital. We also extend our model to discuss the roles of deposit insurance, the federal funds market, liquidity requirements, and the imperfect deposit market, respectively. |