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Determinants of Liquidity in Selected CEE Countries

Pavla Klepková Vodová ()
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Pavla Klepková Vodová: Department of Finance and Accounting, School of Business Administration, Silesian University

No 67, Working Papers from Silesian University, School of Business Administration

Abstract: The aim of this paper is to describe the development of bank liquidity in six selected Central and Eastern European Countries (Bosnia and Herzegovina, Bulgaria, Croatia, Romania, Serbia and Slovenia) and to find out if selected liquidity ratios are influenced by the affiliation of banks with financial conglomerate or if other determinants are more important. The data cover the period from 2011 to 2017. Results of the panel data regression analysis showed that the affiliation of banks with the financial conglomerate does not statistically significant affect values of liquidity ratios in the selected CEE countries. Instead, other bank-specific and macroeconomic factors are important, such as bank solvency and profitability, quality of the loan portfolio, gross domestic product, the unemployment rate, interest rate on loans and interbank interest rate matter, at least for some countries. Focusing on the buffer of liquid assets, size of the bank is important for all six selected CEE countries. Bank profitability, quality of the loan portfolio, gross domestic product, the unemployment rate, interest rate on loans, interbank interest rate and lagged value of bank solvency matter, at least for some countries. In case of the net interbank position, the lagged value of bank solvency, economic cycle, bank size, interbank interest rate, and quality of the loan portfolio are significant.

Keywords: liquidity; liquidity ratios; liquid assets; net interbank position; panel data regression analysis; commercial banks (search for similar items in EconPapers)
JEL-codes: G21 C33 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban and nep-tra
Date: 2019-07-31
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