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:: Volume 25, Number 81 (quartery journal of Economic Research and Policies 2017) ::
3 2017, 25(81): 261-310 Back to browse issues page
The Effect of Macroeconomic Variables on Banks’ Liquidity Risk in Iran
Dr Mohammad-Ali Kafaie *, Miss Mahbube Rahzani2
Assistant Professor Economis and Political science FacultyShahid Beheshti University, Tehran Evin, Daneshjoo Blvd , m-kafaie@sbu.ac.ir
2- Tehran Evin, Daneshjoo Blvd
Abstract:   (135 Views)

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 banks' liquidity risk; and since error correction terms are estimated 21%, it can be interpreted any short-term imbalance would disappear in each season.

Keywords: Liquidity Risk, Macroeconomic Variables, Seasonal Unit Root, Co-Integration, Dynamic Ordinary Least Squares  
Full-Text [PDF 1108 kb]   (90 Downloads)    
Type of Study: Research | Subject: Special
Received: 2015/09/16 | Accepted: 2017/07/12 | Published: 2017/07/12
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Kafaie M, Rahzani M. The Effect of Macroeconomic Variables on Banks’ Liquidity Risk in Iran . 3. 2017; 25 (81) :261-310
URL: http://qjerp.ir/article-1-1264-en.html
Volume 25, Number 81 (quartery journal of Economic Research and Policies 2017) Back to browse issues page
فصلنامه پژوهشها و سیاستهای اقتصادی Journal of Economic Research and Policies
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