This study investigates the relationship between climate risk and bank liquidity creation (LC) in MENA using a dual threshold–quantile method, complimented by a quantile-on-quantile  approach. Using data from 126 banks in 19 MENA countries over the period 2006–2022, we find  that climate risk has a positive effect on LC only above a certain threshold. Furthermore, this effect  shows heterogeneity, varying across different levels of both climate risk and LC. Our findings  contribute to the literature by providing empirical evidence on the complex interplay between  climate risk and banking liquidity under varying economic conditions.