Document Type : Research Paper

Authors

Abstract

Bank liquidity increases the ability of banks in case of suddenly decreasing deposits and for the purpose of credit financing. The central bank as a policy-maker institution can play an important role in preventing a liquidity crisis, when the banks' liquidity risks have increased. One of the most important tools for central bank is liquidity injection in the banking system in a liquidity crisis. Since effectiveness of liquidity injection in reducing the probability of liquidity risk depends on the health status of the banks, in this paper we study the effect of liquidity injection on reducing liquidity crisis with a consideration for soundness of banking activities, using a a panel-logit model and balance sheet and income statement data for the period of 2006-2013. Results show that liquidity injection reduces liquidity risk and if one bank is more stable than other banks, it will have lower liquidity risk than others.

Keywords

احمدیان، اعظم (1392)، ارزیابی ثبات و سلامت بانکی در سال‌های 91-1390، پژوهشکده پولی و بانک.
صورت مالی بانک‌های ایران، موسسه عالی بانکداری ایران، 92-1385
خلیل ارجمندی، غلامرضا و سجاد سیاح (1391)، مدیریت ریسک در نظام بانکداری (مفاهیم، اصول و رویکردها)، چاپ اول 1392، انتشارات کاوا.
نماگرهای اقتصادی، بانک مرکزی جمهوری اسلامی ایران، 92-1385.
Agenor, P. and K. Aynaoui (2010), “Excess Liquidity, Bank Pricing Rules and Monetary Policy”, Journal of Banking & Finance , Vol. 34, PP. 923-933.
Allen, F. and D. Gale (1998), “Optimal Financial Crisis”, Journal of Finance, Vol. 53, No. 4, PP. 84-1245.
Ariffin, N. M. (2012), “Liquidity Risk Management and Financial Performance in Malaysia: Empirical Evidence from Islamic Banks”, Arab International Journal of Social Science, Vol. 1, No. 2, PP. 68-75.
Aspachs, O., E. Nier and M. Tiesset (2005). “Liquidity, Banking Regulation and the Macroeconomy: Evidence on Bank Liquidity Holdings from a Panel of UK-resident Banks”. Bank for Internatinal Settelements.
Basel Committee on Banking Supervision (2014), “International Framework for Liuidity Risk Measurement”, Standards and Monitoring. Bank for International Settlement.
Brunnermeier, M. K. (2009), “Deciphering the Liquidity and Credit Crunch 2007-2008”, Journal of Economic Perspectives ,Vol. 23, PP. 77-100.
Crockett, A. (2008), “Market Liquidity and Financial Stability”. Banqu de France Financial Stability Review, No. 11, PP. 13-17.
Drehmann, M. and K. Nikolau (2009), “Funding liquidity risk, Definition and Measurement”, Europian Central Bank, No. 1024.
Freixas, X., M. Antoine and S. David (2009), “Bank Liquidity, Interbank Markets, and Monetary Policy”, Federal Reserve Bank of New York Staff Reports, No. 371.
Maddaloni, A. and P. Jose-luis (2013), “Monetary policy, Macroprudential Policy, and Banking Stability: Evidence from the Euro Area”, “International Journal of Central Banking”, Vol. 9, No. 1, PP. 121-169.
Munteanu, I. (2012), “Bank Liquidity and its Determinants in Romania”, Procedia Economics and Finance ,No. 3, PP. 993-998.
Orlowski, L. T. (2008), “Stages of the 2007/2008 Global Financial Crisis: Is there a Wandering Asset-price Bubble?”, KIWE Economic Discussion Paper, No. 2008-43, PP. 1-41.
Pedroni, P. (2004), “Panel Cointegration, Asymptotic and Finite Sample Properties of Pooled Time Series Tests, with an Application to the PPP Hypothesis”, Econometric Theory, Vol. 20, PP. 597–625.
Pedroni, P. (1999), “Fully Modified OLS for Heterogeneous Cointegrated Panels”, Advances in Econometrica, No. 57, PP. 1361-1401.
Prelipcean, G. and M. Boscoiau (2008), “Some Aspects Regarding the Dynamic Correlation Between Different Types of Strategic Investments in Romania After Integration”, International Conference on Mathematics & Comuters in Business and Economics, PP. 162-166. Bucharest, Romania.
Ringbom, S., S. Oz and S. Rune (2004), “Optimal Liquidity Management and Bail-Out Policy in the Banking Industry”, Journal of Banking & Finance , No. 28, PP. 1319-1335.
Rochet, J. (2008), “Liquidity Regulation and the Lender of Last Resort”, Banque de France Financial Stability Review- Special Issue on Liquidity. No. 11.
Sauer, S. (2007), “Liquidity Risk and Monetary Policy”, Munich Discussion Paper, Vol. 27.
Valla, N. and B. Saes-Escoriac (2006), “Bank Liquidity and Financial Stability”. Banque de France .Financial Stability Review, No. 9.
Voldova, P. (2011), “Liquidity of Czech Commercial Banks and its Determinants”, International Journal of Mathematical Models and Methods in Applied Sciences ,Vol. 5, Issue. 6, PP. 1060-1067.