摘要：Liquidity coverage and net stable funding ratios are liquidity risk measures highlighted by Basel III banking regulation. This paper estimates these measures by using 2002 to 2012 global liquidity data for LIBOR-based banks in 36 countries. Furthermore,the paper compares the aforementioned Basel III liquidity risk measures to the more traditional non performing assets ratio,return-on-assets,LIBOR-OISS,Basel II Tier 1 capital ratio,government securities ratio and brokered deposits ratio. Moreover,we use a hazard model to show that Basel III liquidity risk measures have low predicting power in relation to bank failure. Also,their traditional counterparts are better in this respect. In fact,we prove that higher liquidity coverage and net stable funding ratios are associated with higher bank failure rates. We also find that LIBOR?OISS (proxy for market-wide liquidity risk) accurately predicted 2009 and 2010 bank failures while other liquidity risk measures (proxies for idiosyncratic liquidity risk) were not as reliable.
