This study addresses the critical challenge of predicting liquidity risk in the banking sector, as emphasized by the Basel Committee on Banking Supervision. Liquidity risk serves as a key metric for evaluating a bank's short-term resilience to liquidity shocks. Despite limited prior research,...

When capital in the banking system becomes depleted, the degree to which financial intermediation and the macroeconomy are adversely affected is likely to depend on the financial and macroeconomic environment. However, existing studies either assume that the effects of bank capital shocks are...