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A reduction in banks' funding liquidity risk increases bank risk as evidenced by higher risk-weighted assets, greater liquidity creation and lower Z-scores.
For banks' overall risk, we examine the Z-scores (a measure of their distance to default), liquidity creation (financial intermedi- ation risk) as well as the standard deviation of bank stock returns.
They argue that banks reduce their regulatory capital when they have a greater involvement in liquidity creation and are faced with a lower net stable funding ratio.
Nonetheless, if banks reduce their capital hold- ings in times of higher liquidity creation and lower their net stable funding, bank riskiness should be dependent on both capital and funding liquidity.
The correlation coefficients of the bank risk proxies, ratios of risk-weighted assets to total assets, loan loss provisions to total as- sets and liquidity creation to total assets, with the proportion of to- tal deposits to total assets are −0.01, −0.04 and 0.33, respectively.
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