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Author: Yalemselam Worku
Publisher: LAP Lambert Academic Publishing
ISBN: 9783659468490
Category :
Languages : en
Pages : 92
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Book Description
Banks play a crucial role in the overall development of a given country. Though liquidity risk is one of the main risk of commercial banks and affects the development of the financial system as a whole, there is almost no or little attempt was done to examine its determinants in Ethiopian commercial banks. Thus, this study attempted to find out determinants of liquidity risk in Ethiopian commercial banks covering a six years period (2007-2012) on ten sample commercial banks using secondary data. Both bank specific and macroeconomic liquidity risk determinants were investigated employing the fixed effect panel data regression model. The study revealed that bank size, capital adequacy, dependency on external fund and liquidity of assets have a negative statistically significant relationship with liquidity risk. However, according to the fixed effect panel data regression model profitability, RGDP growth, inflation and lending interest rate are found to be not powerful variables to influence liquidity risk of Ethiopian commercial banks in the test period. Generally, in this study bank specific variables have more significant effect than macroeconomic variables.
Author: Yalemselam Worku
Publisher: LAP Lambert Academic Publishing
ISBN: 9783659468490
Category :
Languages : en
Pages : 92
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Book Description
Banks play a crucial role in the overall development of a given country. Though liquidity risk is one of the main risk of commercial banks and affects the development of the financial system as a whole, there is almost no or little attempt was done to examine its determinants in Ethiopian commercial banks. Thus, this study attempted to find out determinants of liquidity risk in Ethiopian commercial banks covering a six years period (2007-2012) on ten sample commercial banks using secondary data. Both bank specific and macroeconomic liquidity risk determinants were investigated employing the fixed effect panel data regression model. The study revealed that bank size, capital adequacy, dependency on external fund and liquidity of assets have a negative statistically significant relationship with liquidity risk. However, according to the fixed effect panel data regression model profitability, RGDP growth, inflation and lending interest rate are found to be not powerful variables to influence liquidity risk of Ethiopian commercial banks in the test period. Generally, in this study bank specific variables have more significant effect than macroeconomic variables.
Author: Roberto Ruozi
Publisher: Springer Science & Business Media
ISBN: 3642295819
Category : Business & Economics
Languages : en
Pages : 59
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Book Description
The recent turmoil on financial markets has made evident the importance of efficient liquidity risk management for the stability of banks. The measurement and management of liquidity risk must take into account economic factors such as the impact area, the timeframe of the analysis, the origin and the economic scenario in which the risk becomes manifest. Basel III, among other things, has introduced harmonized international minimum requirements and has developed global liquidity standards and supervisory monitoring procedures. The short book analyses the economic impact of the new regulation on profitability, on assets composition and business mix, on liabilities structure and replacement effects on banking and financial products.
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: 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: Waeibrorheem Waemustafa
Publisher:
ISBN:
Category :
Languages : en
Pages : 7
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Book Description
The fundamental function of banking remains unchanged throughout the the history of banking theory. The management of risk, asset and liability remain the core function of banking. The early signal of banking crisis can be observed from the volatility of liquidity risk. Hence, this study attempted to investigate the influence of external and internal factors affecting liquidity risk of Islamic and conventional banks. This study employs time series regression analysis of Islamic banks and conventional banks from 2000 to 2010. The study found that Islamic banks maintain higher liquidity compared to conventional banks. The multivariate regression analysis shows that 4 out of 14 bank-specific factors and one macroeconomic factor significantly influence the liquidity risk of Islamic bank whereas conventional banks show that 5 out of 13 bank-specific factors are significant to liquidity risk.
Author: Muhammed Habib Dolgun
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 3110580152
Category : Business & Economics
Languages : en
Pages : 180
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Book Description
Despite noticeable growth in Islamic banking and finance literature in recent years, very few published books in this area deal with supervisory and regulatory issues in Islamic banking – theoretically or empirically – and none with the critical issue of risks involved in liquidity management of Islamic banks. This unique book is the first of its kind in dealing with challenges these financial institutions face in the absence of interest rate mechanism and debt-based financial instruments. The book examines critically issues involve in managing the risk of liquidity management for these types of institutions, including those stemming from Basel requirements. It then offers an alternative regulatory framework more appropriately suited for such banks without compromising safety and security. The book's unique features and innovative dimensions diagnostically differentiate between Islamic banks and conventional banks as related to liquidity management risks. It proposes a risk-sharing regulatory framework that, once implemented, would mitigate risks posed by balance-sheet mismatches. The book aims to assist regulators, supervisors, Islamic finance practitioners, academicians and other relevant stakeholders.
Author: Anatun Nur Nasuha Mudzaffar
Publisher:
ISBN:
Category :
Languages : en
Pages : 26
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Book Description
Liquidity risk is one of the important risk in financial risk management. It is important to even a small firm until to the big financial institutions like bank. It has become increasingly important to measure, manage and assess the impact of liquidity risk on the economics of every firm. liquidity risk has been crucial for financial institutions and for the stability of the financial system. The financial crisis has promoted the adoption of much more advanced liquidity risk management policies and liquidity risk measurement methodologies. This study attempted to investigate the influence of firm-specific factors and macro-economic factors affecting liquidity risk of Bosideng International Holding Limited. This study employs time series regression analysis this firm from 2012 to 2016. The analysis shows that firm-specific factors (average collection period) and macro-economic factor (company's beta) influence the liquidity risk of the firms. This study suggest that the firms should manage their account receivable efficiently by establishing a clear credit.
Author: Frederic S. Mishkin
Publisher: University of Chicago Press
ISBN: 0226531937
Category : Business & Economics
Languages : en
Pages : 379
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Book Description
Since banking systems play a crucial role in maintaining the overall health of the economy, the adverse effects of poorly supervised systems may be quite severe. Without some form of vigilant external oversight, banking systems could fall prey to excessive risk taking, moral hazard, and corruption. Prudential supervision provides that oversight, using government regulation and monitoring to ensure the soundness of the banking system and, by extension, the economy at large. The contributors to this thoughtful volume examine the current state of prudential supervision, focusing on fundamental issues and key pragmatic concerns. Why is prudential supervision so important? What kinds of excess must it guard against? What particular forms does it take? Which of these are the most effective deterrents against mismanagement and system overload in today's rapidly shifting financial climate? The contributors foresee a continued movement beyond simple regulatory rules in banking and toward a more active evaluation and supervision of a bank's risk management practices.
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: Allen N. Berger
Publisher: Academic Press
ISBN: 0128005319
Category : Business & Economics
Languages : en
Pages : 296
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Book Description
Bank Liquidity Creation and Financial Crises delivers a consistent, logical presentation of bank liquidity creation and addresses questions of research and policy interest that can be easily understood by readers with no advanced or specialized industry knowledge. Authors Allen Berger and Christa Bouwman examine ways to measure bank liquidity creation, how much liquidity banks create in different countries, the effects of monetary policy (including interest rate policy, lender of last resort, and quantitative easing), the effects of capital, the effects of regulatory interventions, the effects of bailouts, and much more. They also analyze bank liquidity creation in the US over the past three decades during both normal times and financial crises. Narrowing the gap between the "academic world" (focused on theories) and the "practitioner world" (dedicated to solving real-world problems), this book is a helpful new tool for evaluating a bank's performance over time and comparing it to its peer group. - Explains that bank liquidity creation is a more comprehensive measure of a bank's output than traditional measures and can also be used to measure bank liquidity - Describes how high levels of bank liquidity creation may cause or predict future financial crises - Addresses questions of research and policy interest related to bank liquidity creation around the world and provides links to websites with data and other materials to address these questions - Includes such hot-button topics as the effects of monetary policy (including interest rate policy, lender of last resort, and quantitative easing), the effects of capital, the effects of regulatory interventions, and the effects of bailouts
