Effective factors on banks liquidity risk (Bank mellat case study)

Subject Areas : Financial Knowledge of Securities Analysis

Ahmad Yazdanpanah ¹ , Sakineh Shakib ²

1 - ندارد
2 - نویسنده مسئول وطرف مکاتبه

Received: 2009-10-07 Accepted : 2009-12-16 Published : 2009-09-23

Keywords: deposits, total deposits and growth of,

Abstract :

The design of present   study  research  is one stage case study  in correlation type that is studied  and  modeled the relations between  the variables of case study. from observing all that naturally happened without control  the present  research process and  the obtained results  are applicable  with  regard to performance  process , research  process is descriptive and solidarity .Research subject scope is liquidity  risk  the time scope is related  to daily data of  bank mellat during  the years  from  1385 to 1387. therefor the area scope of research  is bank mellat .in this study two groups of variables are studied . first group of  variables are risk effects  such as : finance security costs ,debts to central  bank , debts to other banks and financial institutes variable of  bonds of bank .  second group are  independent variables that are the risk factors including : investment volume , net flow of funds , total deposits ,  deposit  growth of paid facilities , growth of  investing volume  ,  gap between  assets   and  debts ,long-term deposits and  at sight  deposits . for examination of research  hypotheses  we are used  from correlation  techniques of structured  equation . obtained resalts of research in bank mellat during                  Mentioned time scope has shown  that liquidity risk in this  bank  is measurable from variables such as debts to central bank , debts to other  banks, finance security  costs  , bonds  volume ,and bank risk is a function of them  . on the other hand , among variables which are effective   on risk  variation , the influence  of  total  deposits , deposits  , growth of paid facilities are meaning fully effective . Finding of research which result from structural equation have shown that variable of total deposits ,deposits  growth  paid facilities have a meaningful effect on liquidity risk  .total deposits have  a meaningful  and reversed effect on liquidity  risk . Deposits have  a direct  and  meaningful effect  on liquidity risk  , also  the growth  of paid facilities  has  a direct and meaningful effect on liquidity  risk . Main reason of risk are sequencly total deposits, deposits  ,and paid facilities. Generally   model of risk in bank Mellat  shows that : debts to central bank have meaningful  effect (0.50%) on liquidity  risk in bank Mellat .debt s   to other  banks  have meaningful effect (.29%) on liquidity risk in bank Mellat  , finance security costs have meaningful effect (025%)on liquidity  risk  in bank Mellat .bonds volume has a meaningful effect(0.013%) on liquidity risk in bank Mellat.