Journal of Applied Economic Research
ISSN 2712-7435
Econometric Modeling of the Bank’s Short-Term Liquidity Dynamics Based on Multi-Factor Regression
E. G. Shershneva 1, H. B. Bakr Hasan 1 , J. Al Hadabi 2
1 Ural Federal University named after the first President of Russia B. N. Yeltsin, Ekaterinburg, Russia
2 Murdoch University, Dubai, United Arab Emirates
Abstract
The article develops theoretical and methodological aspects of the predicative analysis of liquidity in the banking sector in the context of diversity and divergence of factors affecting the liquidity position of modern banks. The aim of the work is to study the dependence of short-term liquidity of a bank on a number of economic indicators based on econometric modeling. We used a systematic analytical approach to the study of liquidity formation factors and methods of comparative data analysis. The key methodological instrument of the empirical part of the study is multivariate correlation and regression analysis based on the parametric choice of performance indicators of a large bank in the Ural region. This study did not confirm the dominant thesis about the negative impact of excess liquidity on the profitability of commercial banks. Thus, a comparative analysis of the liquidity ratio and return on assets of Russian banks of various sizes for the period 2015-2019 did not reveal the existence of an explicit inverse-proportional relationship between liquidity and profitability. The analysis of pair correlations also did not reveal a close relationship between the value of current liquidity ratio and the bank's operating profit. The authors noted that small-sized banks are able to demonstrate a combination of high liquidity and high profitability, while larger banks may not achieve such results. Consequently, the scale of the bank's activities is not the determining factor in liquidity but indirectly provides quick access to funding sources. The authors have constructed regression models of the dependence of the mandatory current liquidity ratio of a bank on a number of performance indicators, making it possible to carry out a forecast-analytical assessment of liquidity for the short term outlook. It is established that own capital, short-term liabilities and overdue loan debt have a significant impact on the dynamics of the bank's liquidity. The proposed approach can be applied by analytical departments of commercial banks in the development of predicative models for the monitoring the liquid position.
Keywords
commercial bank; banking sector; liquidity; liquidity factors; unbalanced liquidity risk; current liquidity ratio; liquidity management; capital; short-term liabilities; liquid assets
JEL classification
C33, C54References
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About Authors
Shershneva Elena Gennadyevna – Candidate of Economic Sciences, Associate Professor, Department of Banking and Investment Management, Ural Federal University named after the first President of Russia B.N. Yeltsin, Ekaterinburg, Russia (620002, Ekaterinburg, Mira street, 19); ORCID 0000-0002-6739-8960; e-mail: elena_sher@el.ru.
Hasan Barham Bakr Hasan – Master Student, Department of Banking and Investment Management, Ural Federal University named after the first President of Russia B.N. Yeltsin, Ekaterinburg, Russia (620002, Ekaterinburg, Mira street, 19); ORCID 0000-0002-5239-4537; e-mail: barhambakr@gmail.com.
Al Hadabi Jassim – Master of Business Administration, Consultant of Murdoch University Business School, Dubai, United Arab Emirates (345005, Dubai, United Arab Emirates, Dubai International Academic City, Block 10); ORCID 0000-0003-3457-5737; e-mail: alhadabijassim@gmail.com.
For citation
Shershneva E. G., Bakr Hasan H. B., Al Hadabi J. Econometric Modeling of the Bank’s Short-TermLiquidity Dynamics Based on Multi-Factor Regression. Journal of Applied Economic Research,2020, Vol. 19, No. 1, 79–96. DOI: 10.15826/vestnik.2020.19.1.005
Article info
Received February 26, 2020; Revised March 12, 2020; Accepted March 16, 2020.
DOI: http://dx.doi.org/10.15826/vestnik.2020.19.1.005
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