Research Article

[Retracted] Basel III Liquidity Risk Measures and Bank Failure

Table 4

Descriptive statistics of LCR, NSFR, GSR, and BDR for Class I and II banks.

Parameter
Basel III liquidity standards Traditional liquidity risk measures
LCR NSFR GSR BDR

Mean (0.748720, 0.773430) (0.937550, 0.959670) (0.142136, 0.144023) (0.023750, 0.024136)
Median (0.748840, 0.774060) (0.940000, 0.962500) (0.148500, 0.150500) (0.024000, 0.025000)
Maximum (1.026760, 1.061340) (0.992690, 1.016400) (0.166000, 0.168000) (0.044000, 0.045000)
Minimum (0.540400, 0.514560) (0.879840, 0.900900) (0.112000, 0.114000) (0.011000, 0.011000)
Std. Dev. (0.027670, 0.143466) (0.023357, 0.023991) (0.016247, 0.016286) (0.007644, 0.007864)
Skewness (0.027670, −0.029454) (0.005426, −0.004725) (−0.248100, −0.241821) (0.333869, 0.304656)
Kurtosis (1.825270, 1.855696) (3.167401, 3.133101) (1.782049, 1.782182) (2.846654, 2.832527)

Jarque-Bera (2.535599, 2.406985) (0.051591, 0.032643) (3.170968, 3.147815) (0.860545, 0.732065)
Probability (0.281450, 0.300144) (0.974534, 0.983811) (0.204849, 0.207234) (0.650332, 0.693480)

Sum (32.94368, 34.03091) (41.25221, 42.22550) (6.254000, 6.337000) (1.045000, 1.062000)
Sum Sq. Dev. (0.794993, 0.885043) (0.023458, 0.024750) (0.011351, 0.011405) (0.002512, 0.002659)

Observations (44, 44) (44, 44) (44, 44) (44, 44)