阿尔及利亚商业银行流动性风险的银行特定决定因素:2005-2020年面板数据分析

Fatma Benchenna
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摘要

本研究旨在通过测试阿尔及利亚商业银行流动性风险的决定因素和流动性问题的解释因素,监测一组导致流动性风险和促成流动性问题发生的因素。本研究旨在强调商业银行的流动性在融资投资中产生利润的重要性,以及保持适当水平以满足流动性需求的必要性。利用2005-2020年阿尔及利亚9家银行样本的面板数据,研究发现,利用流动资产占总资产指数比率对阿尔及利亚商业银行流动性问题的流动性风险的解释变量为:资产收益率、净资产收益率和资本充足率,解释能力为59.44%。固定效应模型的分析结果表明,资产收益率与流动性风险呈负相关关系。净资产收益率、资本充足率与流动性风险之间存在显著正相关。银行规模、贷款损失拨备与总贷款比率和流动性风险之间存在负相关关系,但在统计上不显著。该研究建议,为了增加资产规模,应相应增加流动资产,以防范阿尔及利亚银行的流动性风险。此外,研究中没有解决其他决定因素,这需要进一步研究阿尔及利亚银行流动性风险的决定因素。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Bank- specific determinants of liquidity risk for commercial banks in Algeria: Panel data analysis during 2005-2020
This study aims to monitor a group of factors that cause liquidity risks and contribute to the occurrence of liquidity problems by testing the determinants of liquidity risk and the explanatory factors of the liquidity problem in Algerian commercial banks. This study seeks to highlight the importance of commercial banks’ liquidity in financing investments to generate profits and the need to maintain appropriate levels to meet liquidity needs. Using panel data for a sample of nine Algerian banks during the period 2005–2020, the study found that the explanatory variables of the liquidity risks that cause liquidity problems in Algerian commercial banks by using the liquid assets to total assets index ratio are: return on assets, return on equity, and capital adequacy ratio, with an explanatory capacity of 59.44%. Analysis of the results of the fixed effect model showed an inverse correlation between the return on assets and liquidity risks. There was a statistically significant positive relationship between the return on equity, capital adequacy ratio, and liquidity risk. There was a negative, but not statistically significant, relationship between bank size, the loan loss provisions to total loans ratio, and liquidity risk. The study recommends that to increase the volume of assets, there should be a corresponding increase in liquid assets as a precaution against liquidity risks in Algerian banks. Also, other determinants are not addressed in the study, which requires further research into the determinants of liquidity risk in Algerian banks.
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