{"title":"流动性风险的决定因素:来自印度商业银行的经验证据","authors":"Tisa Maria Antony","doi":"10.21511/bbs.18(3).2023.09","DOIUrl":null,"url":null,"abstract":"Liquidity risk is a significant financial threat that must be handled carefully. Underestimation or mismanagement of liquidity risk may lead to severe financial losses or even bank failures. Therefore, timely and adequately estimating liquidity risk and examining factors that affect liquidity risk are essential. On that account, this paper aims to examine the determinants of liquidity risk for Indian commercial banks from 2013 to 2022. For this purpose, the study has employed a panel data regression model with pooled OLS, fixed effect, and random effect methods and has considered bank-specific and macroeconomic variables. The findings show that liquidity risk is affected by both bank-specific variables and macroeconomic variables. Bank-specific variables, such as bank age, have a negative impact on liquidity risk at the 1 percent significance using pooled OLS, FE, and RE models. In contrast, bank size and bank capitalization positively impacted liquidity risk. However, the operational efficiency of banks was found to have no significant impact on liquidity risk using both the liquid asset to total assets ratio and the loan to deposit ratio. In addition, the results show that macroeconomic variables such as GDP and inflation have a positive impact on liquidity risk. The study’s findings are expected to assist various stakeholders in making appropriate policies, decisions and managing their liquidity risk.","PeriodicalId":53480,"journal":{"name":"Banks and Bank Systems","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2023-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Determinants of liquidity risk: Empirical evidence from Indian commercial banks\",\"authors\":\"Tisa Maria Antony\",\"doi\":\"10.21511/bbs.18(3).2023.09\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Liquidity risk is a significant financial threat that must be handled carefully. Underestimation or mismanagement of liquidity risk may lead to severe financial losses or even bank failures. Therefore, timely and adequately estimating liquidity risk and examining factors that affect liquidity risk are essential. On that account, this paper aims to examine the determinants of liquidity risk for Indian commercial banks from 2013 to 2022. For this purpose, the study has employed a panel data regression model with pooled OLS, fixed effect, and random effect methods and has considered bank-specific and macroeconomic variables. The findings show that liquidity risk is affected by both bank-specific variables and macroeconomic variables. Bank-specific variables, such as bank age, have a negative impact on liquidity risk at the 1 percent significance using pooled OLS, FE, and RE models. In contrast, bank size and bank capitalization positively impacted liquidity risk. However, the operational efficiency of banks was found to have no significant impact on liquidity risk using both the liquid asset to total assets ratio and the loan to deposit ratio. In addition, the results show that macroeconomic variables such as GDP and inflation have a positive impact on liquidity risk. The study’s findings are expected to assist various stakeholders in making appropriate policies, decisions and managing their liquidity risk.\",\"PeriodicalId\":53480,\"journal\":{\"name\":\"Banks and Bank Systems\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-08-15\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Banks and Bank Systems\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.21511/bbs.18(3).2023.09\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"Social Sciences\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Banks and Bank Systems","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.21511/bbs.18(3).2023.09","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"Social Sciences","Score":null,"Total":0}
Determinants of liquidity risk: Empirical evidence from Indian commercial banks
Liquidity risk is a significant financial threat that must be handled carefully. Underestimation or mismanagement of liquidity risk may lead to severe financial losses or even bank failures. Therefore, timely and adequately estimating liquidity risk and examining factors that affect liquidity risk are essential. On that account, this paper aims to examine the determinants of liquidity risk for Indian commercial banks from 2013 to 2022. For this purpose, the study has employed a panel data regression model with pooled OLS, fixed effect, and random effect methods and has considered bank-specific and macroeconomic variables. The findings show that liquidity risk is affected by both bank-specific variables and macroeconomic variables. Bank-specific variables, such as bank age, have a negative impact on liquidity risk at the 1 percent significance using pooled OLS, FE, and RE models. In contrast, bank size and bank capitalization positively impacted liquidity risk. However, the operational efficiency of banks was found to have no significant impact on liquidity risk using both the liquid asset to total assets ratio and the loan to deposit ratio. In addition, the results show that macroeconomic variables such as GDP and inflation have a positive impact on liquidity risk. The study’s findings are expected to assist various stakeholders in making appropriate policies, decisions and managing their liquidity risk.
期刊介绍:
The journal focuses on the results of scientific researches on monetary policy issues in different countries and regions all over the world. It also analyzes the activities of international financial organizations, central banks, and bank institutions. Key topics: -Monetary Policy in Different Countries and Regions; -Monetary and Payment Systems; -International Financial Organizations and Institutions; -Monetary Policy of Central Banks; -Organizational Structure, Functions and Activities of Central Banks; -State Policy and Regulation of Banking; -Bank Competitiveness; -Banks at the Financial Markets; -Bank Associations and Conglomerates; -International Payment Systems; -Investment Banking; -Financial Risks and Risk Management in Banks; -Capital and Ownership Structure, Bankruptcy and Liquidation, Mergers and Acquisitions of Banks; -Corporate Governance and Goodwill; -Personnel Management in Banks; -Econometric, Statistical Methods; Econometric Modeling of Bank Activities; -Bank Ratings.