Title:

Determinants of liquidity risk in commercial banks in the European Union

Group publication title:

Argumenta Oeconomica

Creator:

Wójcik-Mazur, Agnieszka ; Szajt, Marek

Subject and Keywords:

liquidity risk ; bank ; determinants of liquidity risk

Description:

Argumenta Oeconomica, 2015, Nr 2 (35), s. 25-47

Abstrakt:

In this paper we analyse the determinants of liquidity risk of commercial banks by comparing dependencies in two dichotomous groups, including banks operating in the countries of the so-called Old European Union (Austria, Belgium, Germany, Denmark, Spain, Finland, France, the UK, Greece, Ireland, Italy, Portugal) and the countries of the so-called New European Union (Bulgaria, the Czech Republic, Hungary, Poland, Romania, Slovenia, Slovakia). On the basis of two indicators of liquidity risk, we estimate the same group of determinants that co-create microeconomic factors (credit risk, effectiveness level, size of the bank, financial leverage level, engagement in the interbank market) and macroeconomic factors (weighted average for interest rates of the unsecured market of interbank O/N deposits, domestic credit provided by the banking sector to GDP, inflation, GDP). The determinants of liquidity risk specific for banks operating in the countries of the so-called Old European Union are slightly different from those for banks operating in the countries classified as the so-called New European Union. However, we can indicate a group of internal determinants that affect the level of liquidity risk, regardless of the form of liquidity risk measure adopted, and the country in which they operate (margin volume, credit risk level, and engagement in the interbank market). A significant difference in terms of the diagnosed flexibility is the effect of the weighted average interest rates of the unsecured market of interbank O/N deposits on the level of banks liquidity. In banks operating in the area of the Old European Union, the increase of O/N interest rates encourages intensifying the engagement in the money market. On the other hand, in countries from the group of the New European Union, the increase of this rate is not synonymous with the overall increase of liquid assets

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2015

Resource Type:

artykuł

Format:

application/pdf

Resource Identifier:

doi:10.15611/aoe.2015.2.02

Language:

eng

Relation:

Argumenta Oeconomica, 2015, Nr 2 (35)

Rights:

Wszystkie prawa zastrzeżone (Copyright)

Access Rights:

Dla wszystkich w zakresie dozwolonego użytku

Location:

Uniwersytet Ekonomiczny we Wrocławiu