Bank Capital Ratio, Prudential Regulation and Liquidity Risk Taking: Behavior of Tunisian Banks in a Simultaneous Approach

摘要

We analyze in this article the simultaneous incidence which connects the variations of the ratio of capital and the level of the risk-taking of liquidity, under the regulatory pressure regarding bank liquidity and solvency. To reach this goal, we used a model with two simultaneous equations developed by Aggarwal and Jacques (1998) and inspired from the contribution of Dietsch and Tillov (2014), in datum of panel during period 1990-2012 by using the technique of estimation of 3SLS on ten Tunisian universal banks. Our results show that the institutional conditions show a negative association with the change of the level of solvency of these establishments. Every variation of the level of the risk of liquidity implies no adjustment of the level of the ratio of the capital. This behavior leads to predict the existence of a certain carelessness towards this risk supported by the intervention of the Central Bank of Tunisia to insure a balance of finance at the level of the short-term operations of the interbank availability. On the other hand, our results testify of the importance of the pillows of liquidity to keep a minimum level of liquidity which is going to serve to protect these establishments, lenders or borrowers on the interbank market, counter possible shocks at the level of their availability. Besides, the results show the existence of a certain instability at the level of the banking behavior in an environment regulated regarding risk of liquidity.