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Article

Детерминанты буфера ликвидности коммерческого банка

Корпоративные финансы. 2017. Т. 12. № 4. С. 11-27.
Горелая Н. В., Кузнецова К. Ю.

The necessity of deep understanding of high liquidity creation and liquidity management and awareness of factors’ determination, which have influence on liquidity buffer, created by the banks, open wide opportunities for research in this field. This paper empirically examines how internal bank characteristics and macroeconomic conditions affect high liquidity creation in the bank system. Using bank level data, we analyze the impact of different factors on liquidity buffer created by commercial banks. The regression results indicate that bank size and sustainability of banks’ sources reduce the amounts of liquid assets on the banks’ balance sheet. On the other hand, return on assets and credit risk ratios increase the size of liquidity buffer: banks are increasing loans’ volume and they are supposed to have high level of loan losses by trying to invest more resources in highly liquid assets. There is found no convincing statistical proof to the theoretical hypothesis that influence of an ownership of the bank (state owned or foreign) and deposit insurance coverage are significant. We find that macroeconomic conditions (GDP growth, funding rate, crisis) are also significant for Russian banks’ liquidity statement. The finding suggests that process of creation the liquidity buffer is procyclical: banks accumulate liquidity in times of economic recovery and are spending it during the crisis period. The assessment method and research results, elaborated by the authors, might be in a field of a practical interest for both liquidity bank management and a regulator, which is responsible for the whole stability of a bank sector.