This article investigates the reciprocal relationship between credit risk (CR) and liquidity risk (LR) in Tunisian banks from 2000 to 2018 using Seemingly Unrelated Regression (SUR) and Panel Smooth Transition Regression (PSTR) models. Linear analysis reveals a positive relationship between CR and LR in both directions. Non-linear analysis identifies threshold effects: below thresholds of 9.87% for Non-Performing Loans (NPLs) and 102% for the Loan-to-Deposit ratio (LTD), the relationship is negative; above these thresholds, the effect is positive, but only significant for CR's impact on LR. These findings suggest policy implications for managing these risks in the Tunisian banking sector.

Jihen Bouslimi, Abdelaziz Hakimi, Taha Zaghdoudi, Kais Tissaoui