Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/317190 
Year of Publication: 
2021
Citation: 
[Journal:] Organizations and Markets in Emerging Economies [ISSN:] 2345-0037 [Volume:] 12 [Issue:] 2 [Year:] 2021 [Pages:] 377-398
Publisher: 
Vilnius University Press, Vilnius
Abstract: 
The paper explores the impact of uncertainty on bank liquidity hoarding, particularly providing new insights on the nature of the impact by bank-level heterogeneity. We consider the cross-sectional dispersion of shocks to key bank variables to estimate uncertainty in the banking sector and include all banking items to construct a comprehensive measure of bank liquidity hoarding. Using a sample of Vietnamese banks during 2007-2019, we document that banks tend to increase total liquidity hoarding in response to higher uncertainty; this pattern is still valid for on- and off-balance sheet liquidity hoarding. Further analysis with bank-level heterogeneity indicates that the impact of banking uncertainty on liquidity hoarding is significantly stronger for weaker banks, i. e., banks that are smaller, more poorly capitalized, and riskier. In testing the "search for yield" hypothesis to explain the linkage between uncertainty and bank liquidity hoarding, we do not find it to be the case. Our findings remain extremely robust after multiple robustness tests.
Subjects: 
banking uncertainty
cross-sectional dispersion
emerging market
liquidity hoarding
search for yield
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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