An Empirical Study on Liquidity Risk and Its Determinants in Bosnia and Herzegovina PDF Download
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Author: Mehmed Ganic
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
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Book Description
This paper presents the research of liquidity risk and its determinants in banking sector of Bosnia and Herzegovina (B&H). The aim of this paper is to examine banks' exposure to liquidity risk in the context of 17 out of 28 commercial banks in B&H, by using data in the period 2002-2012. In the empirical part of the research the multiple regression analysis will be applied with the aim to test the statistical significance and explanatory power of selected variables using various data analysis techniques. For the purpose of analysis of the subject matter and the aim of the research, our paper is organized as follows: After background information about trends in liquidity position of banking sector in B&H and its development is provided in Section 1, Section 2 provides a brief overview of the conducted researches in recent years related to the determinants of the commercial banks' liquidity. Section 3 describes models and variables used in the models & hypotheses. Section 4 analyzes and interprets the empirical findings the impact of explanatory variables on banks' exposure to liquidity risk. Finally, the research conducted in this study showed that most of the analyzed variables had a certain influence on determining the level of banks' exposure to liquidity risk Based on this research the commercial banks should further decide which a variable needs to be used in order to achieve desired level of liquidity.
Author: Mehmed Ganic
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
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Book Description
This paper presents the research of liquidity risk and its determinants in banking sector of Bosnia and Herzegovina (B&H). The aim of this paper is to examine banks' exposure to liquidity risk in the context of 17 out of 28 commercial banks in B&H, by using data in the period 2002-2012. In the empirical part of the research the multiple regression analysis will be applied with the aim to test the statistical significance and explanatory power of selected variables using various data analysis techniques. For the purpose of analysis of the subject matter and the aim of the research, our paper is organized as follows: After background information about trends in liquidity position of banking sector in B&H and its development is provided in Section 1, Section 2 provides a brief overview of the conducted researches in recent years related to the determinants of the commercial banks' liquidity. Section 3 describes models and variables used in the models & hypotheses. Section 4 analyzes and interprets the empirical findings the impact of explanatory variables on banks' exposure to liquidity risk. Finally, the research conducted in this study showed that most of the analyzed variables had a certain influence on determining the level of banks' exposure to liquidity risk Based on this research the commercial banks should further decide which a variable needs to be used in order to achieve desired level of liquidity.
Author: Pavla Vodová
Publisher: LAP Lambert Academic Publishing
ISBN: 9783659493607
Category :
Languages : en
Pages : 224
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Book Description
This monograph focuses on the liquidity risk of commercial banks in the Visegrad countries in the period from 2000 to 2011. This risk is comprehensively evaluated with several different methods: six liquidity ratios, panel data regression analysis with fixed effects, probit model and scenario analysis. The liquidity position, net position on the interbank market and strategy of liquidity risk management differ significantly in individual Visegrad countries. The capital adequacy is the most important determinant of bank liquidity. However, some other factors such as size of the bank, credit portfolio quality or macroeconomic development are significant as well. All three tested stress scenarios would have a negative influence on bank liquidity. A run on the bank would have most serious impact on the bank liquidity in all Visegrad countries. The use of committed loans is the second most severe scenario for Czech and Slovak banks and a crisis confidence in the interbank market for Hungarian and Polish banks.
Author: Krzysztof Jajuga
Publisher: Springer
ISBN: 3030155811
Category : Business & Economics
Languages : en
Pages : 214
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Book Description
This volume features a selection of contributions presented at the 2018 Wroclaw Conference in Finance, which cover a wide range of topics in finance and financial economics, e.g. financial markets; monetary policy; corporate, personal and public finance; and risk management and insurance. Reflecting the diversity and richness of research areas in the field, the papers discuss both fundamental and applied finance, and offer a detailed analysis of current financial-market problems, including specifics of the Polish and Central European markets. They also examine the results of advanced financial modeling. Accordingly, the proceedings offer a valuable resource for researchers at universities and policy institutions, as well as graduate students and practitioners in economics and finance at both private and government organizations.
Author: Abdourahmane Sarr
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 72
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Book Description
This paper provides an overview of indicators that can be used to illustrate and analyze liquidity developments in financial markets. The measures include bid-ask spreads, turnover ratios, and price impact measures. They gauge different aspects of market liquidity, namely tightness (costs), immediacy, depth, breadth, and resiliency. These measures are applied in selected foreign exchange, money, and capital markets to illustrate their operational usefulness. A number of measures must be considered because there is no single theoretically correct and universally accepted measure to determine a market's degree of liquidity and because market-specific factors and peculiarities must be considered.
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 1463943679
Category : Business & Economics
Languages : en
Pages : 36
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Book Description
In this paper we identify some of the main factors behind systemic risk in a set of international large-scale complex banks using the novel CoVaR approach. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find no evidence that a larger size increases systemic risk within the class of large global banks. We also show that the sensitivity of system-wide risk to an individual bank is asymmetric across episodes of positive and negative asset returns. Since short-term wholesale funding emerges as the most relevant systemic factor, our results support the Basel Committee's proposal to introduce a net stable funding ratio, penalizing excessive exposure to liquidity risk.
Author: Ms.Corinne Delechat
Publisher: International Monetary Fund
ISBN: 1557754004
Category : Business & Economics
Languages : en
Pages : 43
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Book Description
Banks’ liquidity holdings are comfortably above legal or prudential requirements in most Central American countries. While good for financial stability, high systemic liquidity may nonetheless hinder monetary policy transmission and financial markets development. Using a panel of about 100 commercial banks from the region, we find that the demand for precautionary liquidity buffers is associated with measures of bank size, profitability, capitalization, and financial development. Deposit dollarization is also associated with higher liquidity, reinforcing the monetary policy and market development challenges in highly dollarized economies. Improvements in supervision and measures to promote dedollarization, including developing local currency capital markets, would help enhance financial systems’ efficiency and promote intermediation in the region.
Author: El Bachir Boukherouaa
Publisher: International Monetary Fund
ISBN: 1589063953
Category : Business & Economics
Languages : en
Pages : 35
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Book Description
This paper discusses the impact of the rapid adoption of artificial intelligence (AI) and machine learning (ML) in the financial sector. It highlights the benefits these technologies bring in terms of financial deepening and efficiency, while raising concerns about its potential in widening the digital divide between advanced and developing economies. The paper advances the discussion on the impact of this technology by distilling and categorizing the unique risks that it could pose to the integrity and stability of the financial system, policy challenges, and potential regulatory approaches. The evolving nature of this technology and its application in finance means that the full extent of its strengths and weaknesses is yet to be fully understood. Given the risk of unexpected pitfalls, countries will need to strengthen prudential oversight.
Author: Mr.Francisco F. Vazquez
Publisher: International Monetary Fund
ISBN: 1463933142
Category : Business & Economics
Languages : en
Pages : 33
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Book Description
This paper analyzes the evolution of bank funding structures in the run up to the global financial crisis and studies the implications for financial stability, exploiting a bank-level dataset that covers about 11,000 banks in the U.S. and Europe during 2001?09. The results show that banks with weaker structural liquidity and higher leverage in the pre-crisis period were more likely to fail afterward. The likelihood of bank failure also increases with bank risk-taking. In the cross-section, the smaller domestically-oriented banks were relatively more vulnerable to liquidity risk, while the large cross-border banks were more susceptible to solvency risk due to excessive leverage. The results support the proposed Basel III regulations on structural liquidity and leverage, but suggest that emphasis should be placed on the latter, particularly for the systemically-important institutions. Macroeconomic and monetary conditions are also shown to be related with the likelihood of bank failure, providing a case for the introduction of a macro-prudential approach to banking regulation.
Author: Ms.TengTeng Xu
Publisher: International Monetary Fund
ISBN: 1484393805
Category : Business & Economics
Languages : en
Pages : 54
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Book Description
We analyze how bank profitability impacts financial stability from both theoretical and empirical perspectives. We first develop a theoretical model of the relationship between bank profitability and financial stability by exploring the role of non-interest income and retail-oriented business models. We then conduct panel regression analysis to examine the empirical determinants of bank risks and profitability, and how the level and the source of bank profitability affect risks for 431 publicly traded banks (U.S., advanced Europe, and GSIBs) from 2004 to 2017. Results reveal that profitability is negatively associated with both a bank’s contribution to systemic risk and its idiosyncratic risk, and an over-reliance on non-interest income, wholesale funding and leverage is associated with higher risks. Low competition is associated with low idiosyncratic risk but a high contribution to systemic risk. Lastly, the problem loans ratio and the cost-to-income ratio are found to be key factors that influence bank profitability. The paper’s findings suggest that policy makers should strive to better understand the source of bank profitability, especially where there is an over-reliance on market-based non-interest income, leverage, and wholesale funding.
Author: Kyuil Chung
Publisher: International Monetary Fund
ISBN: 1475514557
Category : Business & Economics
Languages : en
Pages : 49
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Book Description
This paper examines how the financial activities of non-financial corporates (NFCs) in international markets potentially affects domestic monetary aggregates and financial conditions. Monetary aggregates reflect, in part, the activities of NFCs, who channel capital market financing into the domestic banking system, thereby influencing funding conditions and credit availability. Periods of capital inflows are also those when the domestic currency is appreciating, and such periods of rapid exchange rate appreciation coincide with increases in the central bank’s foreign exchange reserves, increasing the stock of narrow money. The paper examines economic significance of cross-country panel data on monetary aggregates and other measures of non-core bank liabilities. Non-core liabilities that reflect the activities of NFCs reflect broad credit conditions and predict global trade and growth.
