The Effect of Macroeconomic Variables on Bank's Liquidity Risk in Iran
Author(s):
Abstract:
Financial crisis outbreak imposed huge losses on banks and credit Institutions and caused higher liquidity risk on banks and credit institutions or even their bankruptcy. The main feature of these crises is low liquidity reserves of the banks. Recent empirical studies show that the economic conditions are also responsible for the rise of financial crises and liquidity risk in the banking system. In fact, banks liquidity risk are affected by economic conditions, alongside banks features. This paper tries to investigate the effects of macroeconomic factors on liquidity risk in a regression model using seasonal panel data and dynamic ordinary least squares (DOLS). The dataset includes 14 biggest banks for the duration of 1385q1 to 1392q4. The results show that, as expected, all selected economic and banking factors have significant effects on bank's liquidity risk; and since error correction terms are estimated 21%, it can be interpreted any short-term imbalance would disappear in each season.
Keywords:
Language:
Persian
Published:
Journal of Economic Research and Policies, Volume:25 Issue: 81, 2017
Pages:
261 to 310
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