The Study of Effective Factors on Liquidity Risk in the Banking Industry Based on the Bayesian Approach: (Case Study Iranian Banks)

Document Type : Scientific paper

Authors

1 Economics, Economy, University of Tehran, Tehran, Iran

2 MA student

Abstract

Banking industry is one of the most important and sensitive economic sectors of countries that in the course of its activities is facing with various types of risk. Liquidity Risk (LR) is one of the risks that banks are highly vulnerable to it. If the LR do not control and manage that leads to bankruptcy of banks. This research by using Bayesian econometric methods deals to identify and investigate the influencing factors on the LR. For this aim, Panel data have been collected of 14 active banks in Iran's banking system for 15 variables including economic and intra-banking factors during 1382-1394. The results indicate the liabilities to Asset Ratio, the ratio of long-term investment deposits, the ratio of capital to assets, bank size, Efficiency Ratio, Credit Risk, net interest margin and the composition of deposits are the most effective variables in the Iranian banks LR pattern. The including the possibility of the other variables such as exchange rates, inflation rate, stock price index growth rate, return on assets, loans to deposit ratio, Cash to Asset Ratio and economic growth are less than 25% in this pattern. Thus there is not strong evidence for their effectiveness on the LR. It seems these variables, especially macroeconomic factors, can affect the LR only through the intra banking factors.

Keywords

References

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Macroeconomics Research Letter
Volume 11, Issue 22
January 2017
Pages 13-37

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History

  • Receive Date: 18 February 2017
  • Revise Date: 04 September 2017
  • Accept Date: 19 April 2017

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