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DOI: 10.15240/ ul/001/2017-2-012
In oduc ion
The in e es in bank liquidi y has g own
signi i can ly in ecen imes no only among
egula o s, bu in au ho s’ s udies as well. The
igge mechanism was mainly he ecen global
i nancial c isis, whe e a numbe o sys ems
aced liquidi y p oblems. On he basis o he
c isis, he egula ion on he pa o he Basel
Commi ee (Bank o In e na ional Se lemen s,
2010) in he a ea o liquidi y has inc eased. The
Basel Commi ee p oposed he in oduc ion
o wo liquidi y indica o s: he LCR (Liquidi y
Co e age Ra io) and he NSFR (Ne S able
Funding Ra io), which he membe s a es
mus obliga o ily ul i l based on Eu opean law.
The LCR indica o has al eady come in o ce
in Janua y 2015. The pu pose o hese wo
indica o s is o inc ease he esis ance and
s abili y o banking sys ems in case o u he
c ises, and o inc ease he abili y o o e come
c isis pe iods on he basis o p e-c ea ed
“ ese es” and s able o ms o i nancing in bo h
sho - e m and long- e m.
Du ing he c isis, a numbe o sys ems ha e
shown a dec ease in he c ea ion o liquidi y,
caused mainly by a dec ease in ma ke liquidi y
on i nancial ma ke s, whe e liquidi y had o en
been p ocu ed by he banks be o e. Apa om
he dec eased c ea ion o liquidi y, he banks
(sys ems) also aced a highe liquidi y ou l ow
caused by he economic down u n. The banks
had o co e he eme ging liquidi y sho ages
om bo h clien and p i a e ades. These wo
e ec s a e o en men ioned by au ho s dealing
wi h he in l uences o he ecen global c isis on
bank liquidi y (see Ge šl & Komá ko á, 2009;
Moo e, 2010; E oglu & E oglu, 2011).
In addi ion o he in oduc ion o he liquidi y
indica o s in Basel III, he in e es o au ho s
in bank liquidi y has inc eased as well. Thei
s udies a e gene ally ocused on he abo e
men ioned ela ion be ween liquidi y and
he c isis, o he ela ion be ween liquidi y
and i nancial s abili y as a whole. The e m
“ i nancial s abili y” has become a key wo d
no only in a numbe o egula o y measu es,
bu also in s udies ocusing on he op ions o
inc easing and ensu ing i . The majo i y o
s udies suppo ed he idea ha an inc eased
bank liquidi y will inc ease i nancial s abili y, as
can be seen, o example, in C ocke (2008)
o Nguyen, Skully, and Pe e a (2013); he e
we e, howe e , also opinions ha oo la ge an
amoun o liquidi y in banks dis up s s abili y,
since a la ge amoun o isk is being assumed
(Wagne , 2007). The au ho s also dedica ed and
con inue o dedica e a la ge amoun o a en ion
o seeking key de e minan s which in l uence
bank liquidi y. The majo i y o s udies, howe e ,
only ocus on he e ec o hese ac o s on he
c ea ion o liquidi y – he i s e ec o he c isis
– bu o e look he second e ec , i.e. he ou l ow
o liquidi y, which has also su aced du ing he
c isis. The e o e, i is he goal o his a icle o
also include ou l ow and o he dimensions o
liquidi y in o he eg ession models.
The aim is o iden i y he in e nal ac o s
which in l uence he chosen bank sec o using
he mul idimensional linea eg ession analyses.
The eg essions ope a e wi h a la ge numbe
o dependen a iables o ep esen di e en
iews on he liquidi y isk. These dependen
a iables a e calcula ed acco ding o a speci i c
me hod o measu ing liquidi y isk – he me hod
used by he au ho s Valla, Saes-Esco biac,
and Tiesse (2006). These a iables include
he posi i e l ow, ep esen ing he c ea ion
o liquidi y, he nega i e l ow, ep esen ing
he ou l ow o liquidi y, ne change, and o al
ealloca ion, i.e. he ac i i y in he sys em. The
chosen sec o is he Slo enian banking sec o
in he pe iod o 2001-2013.
DIMENSIONS OF LIQUIDITY
AND THEIR FACTORS
IN THE SLOVENIAN BANKING SECTOR
Jana Laš ů ko á
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1. Li e a u e Re iew
1.1 Liquidi y Measu emen Used
S udies in es iga ing he de e minan s o
liquidi y almos always wo k wi h wo main
concep s o measu ing liquidi y isk on he
side o he dependen a iable. They ei he
use i nancial a ios o he me hod o liquidi y
c ea ion based on Be ge and Bouwman
(2009). In some cases, he me hod o liquidi y
c ea ion is complemen ed by LT gap based on
he wo k o Deep and Schae e (2004).
When using i nancial a ios, au ho s o en
wo k wi h a la ge numbe o hem. They
u ilize a iables such as loans, deposi s and
hei modi i ca ions, and ela e hem o o al o
liquid asse s. Aside om he ypical indica o
o liquidi y, i.e. liquid asse s/ o al asse s (see
Bunda & Desquilbe , 2008; Vodo á, 2011a;
2011b; 2012; 2013; T enca, Pe ia, Mu u, &
Co o ei, 2012) ano he indica o is widely used
– liquid asse s/deposi s and i s modi i ca ions
( o al deposi s, clien deposi s, sho - e m
deposi s, e c.) see o example: (Bunda &
Desquilbe , 2008; Vodo á, 2011a; 2011b; 2012;
2013; Bon i m & Kim, 2013). Cucinelli (2013)
chooses a di e en ake on i nancial a ios. In
his eg ession models, he wo ks wi h liquidi y
indica o s included in he Basel III concep :
LCR (high quali y liquid asse s/ o al ne ou l ow
o e he nex 30 calenda days) and NSFR ( he
a ailable amoun o s able unding/ equi ed
amoun o s able unding).
The second concep o liquidi y isk
measu emen which appea s on he side o he
dependen a iable is liquidi y om he aspec
o i s c ea ion based on speci i c measu emen
me hod c ea ed by Be ge and Bouwman
(2009). Be ge and Bouwman (2009) alk abou
he c ea ion o liquidi y, o a dynamic me hod o
measu ing liquidi y which o some au ho s is
a be e exp ession o liquidi y isk han i nancial
a ios, which ep esen s a ic measu emen s o
liquidi y isk. Au ho s wo king wi h he Be ge
and Bouwman (2009) me hod a e o ins ance
Ho a h, Seidle , and Weill (2012) and Pana,
Pa k, and Que y (2010). The Be ge and
Bouwman (2009) me hod is based on di iding
all he balance and o -balance i ems by
liquidi y in o h ee g oups – liquid, semi-liquid
and illiquid. This di ision is pe o med based
on wo pe spec i es – he ca ego y o he gi en
i em (ca measu emen ) and i s ma u i y (ma
measu emen ). Subsequen ly, hese h ee
g oups a e assigned weigh s and ou possible
measu emen s o liquidi y c ea ion a e ob ained
– combina ions acco ding o ca ego y/ma u i y
and wi h/wi hou o -balance i ems.
As said in he in oduc ion, some au ho s
complemen he measu emen o liquidi y
c ea ion based on Be ge and Bouwman (2009)
by measu emen based on Deep and Shae e
(2004) – he so called LT gap (see Lakš u iene
and K ušinskas (2010) who explo e he
Li huanian banking sec o ; Hacke hal, Rauch,
S e en, and Ty ell (2010) who deal wi h Ge man
sa ings banks). LT gap (liquidi y ans o ma ion
gap) is calcula ed as he di e ence o he liquid
liabili ies and liquid asse s weigh ed by o al
asse alue. Deep and Schae e (2004) di ide
asse s in o liquid and illiquid and liabili ies in o
deposi s (and o he sho - e m liabili ies wi h
a ma u i y o one yea ), long- e m deposi s
and equi y. O hese h ee componen s, only
deposi s a e liquid. The aim o he measu emen
is o de e mine how he alue o liquid asse s
di e s om he alue o liquid liabili ies – o
disco e he ne “excess”. The alue o he
calcula ed gap can ange be ween -1 and 1. In
he e en ha he bank has he same alue o
liquid asse s and liabili ies, i s LT gap is ze o.
Whe he he au ho s wo k wi h i nancial
a ios o he liquidi y c ea ion me hod and LT gap,
hey ei he choose he in l uence o a speci i c
chosen ac o (Bunda and Desquilbe (2008)
deal wi h he in l uence o he exchange a e
egime o liquidi y; Be ge and Bouwman (2009)
and Ho a h e al. (2012) ocus on he in l uence
o capi al on he c ea ion o liquidi y; Pana,
Pa k, and Que y (2010) s udy he in l uence
o me ge s on he liquidi y c ea ion alue), o
choose he gene al po en ial de e minan s on
bo h he mic o- and he mac oeconomic le el
(see Vodo á, 2011a; 2011b; 2012; 2013; T enca
e al., 2012; Hacke hal e al., 2010; Lakš u iene
& K ušinskas, 2010 e c.).
Reg ession models a e applied by he
au ho s o only one sec o (Hacke hal e al.,
2010; Ho a h e al., 2012), o selec ed uni s
(Pana e al., 2010; Bon i m & Kim, 2012; T enca
e al., 2012), o o mul iple sec o s a once
(Bunda & Desquilbe , 2008; Cucinelli, 2013)
especially in o de o ob ain highe in o ma ion
alue om mac oeconomic a iables.
I can be summa ized ha in he eg ession
analyses pe o med by he abo e au ho s, he
side o he dependen a iable wo ks ei he
wi h a s a ic iew ( i nancial a ios) o a dynamic
iew om he posi ion o liquidi y c ea ion o ne
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change (LT gap). Howe e , ha dly any s udies
u ilize liquidi y ou l ow as a dependen a iable;
Laš ů ko á (2015) is he only no ewo hy s udy
in his espec , as i poin s o he in l uence o
he mos common gene al ac o s in he Slo ak
sec o on liquidi y ou l ow (measu ed based
on he me hod c ea ed by Valla e al. (2006))
and s esses ha ela ionships hus do no
necessa ily only exis be ween liquidi y c ea ion
and ce ain ac o s, bu apply o liquidi y
ou l ow as well. Mo eo e , when e alua ing
he in l uence o one ac o on he c ea ion o
liquidi y, a alse belie may be c ea ed ha he
end esul o his ac o ’s e ec is he c ea ion
o liquidi y. This same ac o can in l uence he
ou l ow o liquidi y in a g ea e ex en , and can
hus lead o liquidi y ou l ow om he sys em.
This phenomenon is hen showcased by
Laš ů ko á (2015) in he eg ession analyses
pe o med. An impo an ac s essed al eady
by Valla e al. (2006) is he simul aneous e ec
o bo h l ows (posi i e and nega i e): liquidi y
is bo h c ea ed and los in a gi en ime pe iod.
E en hough a gi en ac o is a ec ing a gi en
l ow, he e ec on he second l ow may be much
mo e p ominen and may a ec he ne change
alue.
In his espec , he s udies dealing wi h he
in l uence o he c isis on liquidi y mus again
be men ioned (see Ge šl & Komá ko á, 2009;
Moo e, 2010; E oglu & E oglu, 2011). The
au ho s coinciden ly s a e ha due o he c isis,
liquidi y c ea ion dec eases while i s ou l ow
inc eases.
Due o he abo e men ioned easons and
he absence o ou l ow o liquidi y as a po en ial
dependen a iable, his s udy uses he me hod
c ea ed by Valla e al. (2006) and cons uc s he
liquidi y l ows (including liquidi y ou l ow) which
a e hen used as dependen a iables in he
eg ession analyses pe o med. The me hod
c ea ed by Valla e al. (2006) is based on he
alue o liquid asse s du ing a gi en pe iod
which ha e been con e ed o he shape o
indi idual l ows: posi i e, nega i e and ne
l ow. The au ho s u he cons uc ed he o al
ealloca ion alue, since ne changes do no
always e l ec he o al c ea ion and ou l ow
in he gi en ime pe iod. Using his me hod,
he au ho s e alua ed he l ows in he F ench
banking sys em be ween 1993 and 2005;
howe e , hey did so wi hou cons uc ing
eg ession models o seeking po en ial
de e minan s. Acco ding o he p esen au ho ,
his me hod p o ides a comp ehensi e look a
liquidi y measu emen which allows mul iple
poin s o iew. I s bene i is mainly he abili y o
measu e he nega i e l ow, i.e. liquidi y ou l ow
and o al ealloca ion, which ha e no i gu ed as
dependen a iables in o he s udies.
1.2 Applied Mic oeconomic Fac o s
The p esen a icle ocuses only on he e ec
o mic oeconomic ac o s, i.e. ac o s speci i c
o he indi idual banks. The majo i y o
s udies dealing wi h ac o s a ec ing liquidi y
include mic oeconomic ac o s along wi h
mac oeconomic ones. This is jus i i able,
since liquidi y is a ec ed by bo h in e nal and
ex e nal de e minan s. Howe e , i is he aim
o he au ho o de e mine he ex en o which
in e nal ac o s con ibu e o he liquidi y alue.
Mo eo e , he a icle wo ks wi h only one sec o ,
whe e he po en ial in l uence o ex e nal ac o s
migh no mani es as ex ensi ely. The in e nal
ac o s usually include: o al balance sum
ep esen ing he size o banks (see Vodo á,
2011a; 2011b; 2012; 2013; Bon i m & Kim, 2013;
Bunda & Desquilbe , 2008; Cucinelli, 2013),
which au ho s o en associa e wi h a concep
known as “ oo big o ail” and e alua e he
ela ionship as nega i e; p o i alue (be o e o
a e ax) (see Hacke hal e al., 2010; Bon i m
& Kim, 2013) wi h nega i e in l uence; he
alue o equi y (au ho s o en s udy his ac o
sepa a ely, see Be ge & Bouwman, 2009;
Fungáčo á, Weill, & Zhou, 2010; Dis inguin,
Roule , & Ta azi, 2013 e c.), whe e au ho s
lean mo e owa ds a nega i e ela ionship while
also no ing ha he ype and he size o banks
plays a i al ole; size o loans (see Vodo á,
2011a; 2011b; 2012; 2013; Hacke hal e al.,
2010; Bon i m & Kim, 2013; Cucinelli, 2013;
Lakš u iene & K ušinskas, 2010) wi h nega i e
in l uence; o he alue o deposi s (Lakš u iene
& K ušinskas, 2010) wi h posi i e in l uence.
The ac o s used a e exp essed di e en ly by
a ious au ho s, as o example equi y as he
alue o o al equi y, alue o only Tie 1 capi al,
o equi y exp essed as a a io o he o al alue
o asse s; simila di e ences occu in o he
ac o s as well.
2. Me hodology
To de e mine he in e nal ac o s in l uencing
he chosen liquidi y l ows, obus eg ession
analyses a e pe o med. The gene al equa ion
o he model is as ollows:
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Liquidi y (POS/NEG/NET/TOT) =
= α + β1Loans + β2Deposi s +
+ β3P o i + β4Equi y + β5Size +
+ β6Ra io + ε
(1)
On he side o he a iable being explained
appea he indi idual calcula ed liquidi y l ows.
These a e he posi i e l ow (POS) ep esen ing
he c ea ion o liquidi y, he nega i e l ow
(NEG) ep esen ing he ou l ow o liquidi y,
he ne change (NET) as he di e ence
be ween he abo e men ioned l ows, and he
o al ealloca ion (TOT), which ep esen s he
ac i i y in he sys em. The s udied sample is
he banking sec o o he Republic o Slo enia,
excluding he b anches o o eign banks. The
de elopmen is e alua ed be ween he yea s
2001 and 2013. The indi idual l ows and
ealloca ions we e calcula ed on he basis o
he me hod c ea ed by Valla e al. (2006). To
ob ain hese l ows, he ollowing me hod o
p ocessing he alue o liquid asse s is used:
 De e mining he yea -on-yea changes in
liquid asse s
(2)
whe e Ii is he liquidi y alue o bank i in ime ,
Ii -1 is he liquidi y alue o bank i in ime -1.
 De e mining he adjus ed g ow h a e
Rela ion (3) is used o de e mine he
adjus ed g ow h a e o liquidi y in ime o
each bank:
(3)
 De e mining he liquidi y l ows
By agg ega ing he alues ob ained om
ela ion (4), ei he posi i e (5) (whe e gi ≥ 0) o
nega i e (4) (whe e gi ≤ 0) nominal l ows a e
ob ained.
(4)
(5)
Fo posi i e l ows, only posi i e (o ze o)
alues o adjus ed g ow h a e o indi idual
banks a e conside ed, weigh ed by he a e age
sha e o o al liquidi y; o nega i e l ows, only
nega i e (ze o) alues o gi a e conside ed.
 Calcula ion o he ne changes
Whe he a d op o a g ow h in liquidi y o
he gi en sys em occu ed is de e mined ia ne
liquidi y l ows.
(6)
 De e mining he o al ealloca ion
De e mining he o al ac i i y in he sec o in
he gi en ime pe iod.
(7)
The alue o liquid asse s in he ime pe iod
was ob ained om he Bankscope da abase on
an annual basis. The da abase de i nes liquid
asse s as ollows:
Liquid asse s
= T ading secu i ies a FV h ough income
+ Loans and ad ances o banks
+ Re e se epos and cash colla e al
+ Cash and due om banks
− Manda o y minimum ese es.
On he side o he independen a iables
s and he in e nal ac o s wi h po en ial in l uence
on bank liquidi y. These a iables include:
 loans, i.e. ne loans (N_LOAN), g oss loans
(G_LOAN) and allowance o loans losses
(ALL),
 deposi s, i.e. clien deposi s (C_DEP) and
o al deposi s (deposi s and sho e m
unding) (T_DEP),
 he alue o p o i , i.e. p o i be o e axa ion
(B_TAX) and p o i a e axa ion (A_TAX),
 he alue o equi y (EQU),
 he alue o o al asse s, ep esen ing he
size o he bank (TA),
 g oss loans/clien deposi s i nancial a io
(RATIO).
The p edic ed ma hema ical signs
exp essing he posi i e/nega i e ela ion mus
be discussed independen ly o indi idual l ows.
The abo e men ioned s udies wo k mainly
wi h liquidi y c ea ion. The ela ions ob ained
hus co espond wi h he ela ion be ween
liquidi y c ea ion and he a iables: in his
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case, he posi i e l ow and he gi en ac o s.
In he case o liquidi y ou l ow, ep esen ing
he nega i e l ow, simpli i ed conside a ion
o he p oblem would allow us o assume an
opposi e ela ion. Howe e , i mus be no ed
ha any gi en ac o can in l uence one o
he l ows wi hou in l uencing he o he , o
in l uence one o he l ows in a mo e signi i can
way. Fo ins ance, when he alue o deposi s
d ops om 100 o 80, he e a e a numbe o
po en ial scena ios o conside . The d op could
by caused by a wi hd awal o deposi s on he
side o he clien s, and hus liquidi y ou l ow,
which would gene a e a nega i e ela ion
be ween deposi alue and ou l ow, wi hou he
posi i e l ow playing a ole. I is highly p obable,
howe e , as Valla e al. (2006) s a e ha bo h
l ows ope a e simul aneously, wi h one l ow
being mo e dominan han he o he – in his
case, he liquidi y ou l ow. Fo he easons o
simul aneous in l uence o bo h l ows, a e e se
ela ion be ween he c ea ion/ou l ow o liquidi y
and he gi en ac o s is conside ed.
In he case o ne changes (NET), i is
impossible o de e mine he p edic ed sign in
ad ance, since his depends on one l ow being
dominan . In he case o signs iden ical o hose
in he NEG alue, i is assumed ha he posi i e
l ow is dominan a he gi en ime, while in he
case o he opposi e sign, he ou l ow o liquidi y
a he gi en ime is expec ed o be dominan . In
o he wo ds, in case o simul aneous in l uence
o bo h l ows, highe NET is caused by highe
c ea ion o liquidi y and lowe ou l ow, lowe
NET con e sely by highe ou l ow and lowe
c ea ion.
Speci i cally, a nega i e ela ion o he alue
o equi y and liquidi y c ea ion is assumed,
s emming om he heo y o c owding ou
deposi s concei ed by Go on and Win on
(2001) whe e he highe alue o capi al, as
a componen o liabili ies, leads o educ ions
in ano he liabili y componen , deposi s, while
he bank capi al is no endange ed by uns
on he bank and he banks a e no o ced o
“co e ” i by he liquidi y alue, as hey would
in he case o deposi g ow h. Recen ly, hanks
o inc eased egula o y ac i i y, he e is a clea
inc ease in he alue o capi al, and hus, based
on his heo y, deposi s a e being c owded ou
and liquidi y c ea ion dec eased.
In he case o bank size, de e mined mainly
by he alue o o al asse s, s udies wo k wi h he
heo y o “ oo big o ail”, whe e la ge banks hold
smalle amoun s o liquidi y and he ela ionship
be ween he a iables is e e se. La ge banks
ely on being able o quickly ob ain liquidi y om
ma ke s, since holding i is no p o i able. A
a pinch, hey can u n o he cen al bank o he
s a e o help. The smalle a bank is ( he lowe
he alue o i s o al asse s is), he mo e di i cul
access i has o he i nancial ma ke s, and he
mo e i has o ely on i sel , which means i holds
liquidi y mo e han la ge banks. Fo g oups o
smalle banks speci i cally, we could e en speak
o a posi i e ela ion. A di e en app oach o
managing he liquidi y alue based on bank
size is wo ked wi h o example by Laš ů ko á
(2014), who speci i es a nega i e ela ionship o
banks o he la ge ca ego y in he Czech sec o ,
and a posi i e ela ionship o banks o he
small ca ego y – ha is, he small banks co e
he g ow h in hei asse s by an app op ia e
inc ease in liquid asse s. The Slo enian sec o
in ques ion is smalle han he Czech one,
meaning ha we can assume a posi i e ela ion
o he sec o as a whole. In addi ion, la ge
Slo enian banks do no hold a majo i y ma ke
sha e; he de elopmen s in he l ows o he
en i e sec o will no be de e mined solely by
he la ge banks, bu by a weigh ed a e age o
he de elopmen in o he g oups, especially he
g oup o banks in he middle ca ego y. This can
also a ec he i nal posi i e ela ion be ween he
alue o o al and liquid asse s ( hei c ea ion).
In his case, i is e y di i cul o de e mine he
ela ion o liquidi y ou l ow, since i can ei he
inc ease o dec ease wi h g owing alue o o al
asse s. In case o a posi i e ela ion and an
assump ion o c ea ion and holding o liquidi y
on he side o small banks, we can also assume
a lowe ou l ow, in o de o p e en liquidi y om
“d aining away”. On he o he hand, he small
banks which ely on hemsel es may also be
o ced o use up liquidi y ex ensi ely, which
would subsequen ly mean he need o inc ease
he c ea ion a io in o de o main ain a neu al
posi ion.
In he case o p o i , he p e equisi e is
an in es men iangle, whe e liquidi y is he
coun e balance o p o i abili y; in he gene al
scope, a nega i e ela ion would be assumed
be ween he alue o liquidi y c ea ion and
p o i .
In he case o loan alue, he s udy wo ks
wi h a nega i e ela ion as de e mined by
a numbe o s udies (see abo e) whe e a highe
endency o p o ide loans leads o lowe
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168 2017, XX, 2
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c ea ion and highe ou l ow and ice e sa. Fo
deposi s, simila ly o o he s udies, a posi i e
ela ion o liquidi y c ea ion is assumed.
Fo allowance o loans losses, a posi i e
ela ion can be assumed, whe e banks c ea e
liquid ese es based on highe isk in he
po olio. These ese es can hen be used o
co e any po en ial u u e l uc ua ions caused
by clien s.
The loans/deposi s a io used in he
calcula ion is assumed o ha e a nega i e
ela ion. I an inc ease in he a io is caused by
an inc ease in lending o a dec ease in deposi s,
a liquidi y ou l ow will occu and a dec ease in
c ea ion will ollow.
All he a iables used we e ob ained
om he Bankscope da abase and ep esen
ela i e annual changes. The calcula ions we e
pe o med in S a a so wa e, wi h a signi i cance
le el o 95%.
3. Resul s
Due o he signi i can co ela ions ound
be ween he ne and g oss loans, be ween clien
deposi s and o al deposi s, and be ween p o i
be o e and a e axa ion, hese a iables we e
always inse ed in o he models sepa a ely.
The ollowing able (Tab. 1) p esen s he bes
model o liquidi y c ea ion (POS). A signi i can
amoun o he chosen a iables ha e p o en o
be signi i can , he de e mina ion coe i cien is
also e y high, and i seems c ea ion o liquidi y
is a ec ed by in e nal ac o s he mos . The bes
models wi h he highes de e mina ion coe i cien
and he lowes in o ma ion c i e ia we e he
models including ne loans alongside ne p o i ,
as seen in Tab. 1 (1) and (2). Models including
p o i be o e axa ion we e also signi i can , as
we e hose including g oss loans. He e howe e ,
he alue o allowance o loans losses also
i gu ed in he model, while he RATIO ceased
being signi i can . When he o al deposi s i em
was included, he models we e no signi i can .
POS (c ea ion) (1) (2) (3) (4)
EQU 0.895**
(0.002)
0.812**
(0.001)
0.855**
(0.009)
0.779*
(0.014)
A_TAX -0.0140*
(0.025)
-0.0125*
(0.029)
B_TAX -0.0144*
(0.012)
-0.0129*
(0.013)
N_LOAN -0.633**
(0.009)
-0.613**
(0.008)
G_LOAN -0.599*
(0.014)
-0.528*
(0.011)
ALL 0.168**
(0.003)
0.165**
(0.003)
C_DEP 0.996**
(0.001)
1.021***
(0.001)
0.807**
(0.008)
0.834**
(0.008)
RATIO 0.0932*
(0.042)
0.0949*
(0.034)
CONS -0.0556
(0.309)
-0.0532
(0.322)
0.0441**
(0.003)
0.0485**
(0.002)
No. o obs.:
Adj. R2:
AIC:
BIC:
12
0.839
-41.02
-38.11
12
0.837
-40.91
-38.00
12
0.791
-37,89
-34.98
12
0.708
-37.72
-34.81
Sou ce: au ho ’s calcula ion
No e: *p < 0.05, **p < 0.01, *** p < 0.001
Tab. 1: Resul s o c ea ion o liquidi y (POS)
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The signs almos always coincide wi h hei
p edic ed alue in all a iables. Di e ences
occu only in alue o equi y, whe e a posi i e
ela ion appea s. This ela ion, howe e , need
no necessa ily be inco ec , since he e exis so
called isk abso bing hypo heses such as (Allan
& Gale, 2004; Repullo, 2004) which p esen
a posi i e ela ionship. Posi i e ela ions a e
mo e o en de ec ed in smalle banks o in banks
which a e no suppo ed by he s a e o a g ea
ex en . He e, capi al i gu es as an abso be
o isk. In his case, his ela ion would i well
o Slo enian banks as well, since hey a e
gene ally small. The posi i e ela ion o hese
wo a iables does no lead o p essu e when
inc easing bo h capi al egula ion and egula ion
in he a ea o liquidi y.
A di e en sign has also appea ed in
he case o he RATIO, whe e a posi i e
ela ion could po en ially signal he c ea ion o
liquidi y ese es in case he excess o loans
o e deposi s is inc easing and he deposi s
hemsel es would no be su i cien o he
ealiza ion o loans.
O he a iables ha e shown he expec ed
sign alues – he c ea ion o liquidi y inc eases
wi h he in l ow o clien deposi s, and dec eases
wi h loans. Howe e , i he ealiza ion o loans
o e deposi s is highe han he bank chosen
c i ical alue, banks c ea e liquidi y. The
quan i ies in Tab. 1 ha e a signi i can in l uence
on he c ea ion o liquidi y, one o he liquidi y
l ows. Tab. 2 p esen s he esul s o liquidi y
ou l ow (NEG), i.e. he o he , e e se l ow.
In he case o ou l ow, i seems ha he main
ac o s a e he ex e nal ones. Acco ding o he
de e mina ion coe i cien , he model is explained
in only 20%. Impo an a iables include loans
and o al size o he bank exp essed by he o al
alue o asse s. The model was once again
mo e conclusi e when ne loans we e included
ins ead o g oss loans. The highe alues o
loans lead o an ou l ow o liquidi y, which was
implied by he p edic ed signs as well. The
alue o o al asse s sugges s ha i i is low,
he ou l ow inc eases. I would hus seem ha
smalle banks a e aced wi h a highe liquidi y
ou l ow han he la ge ones, which could be
a e lec ion o he e ec s o he global c isis
and he weakened posi ion o smalle banks.
F om he esul s p esen ed so a , i is e iden
ha o bo h l ows, c ea ion and ou l ow, he only
common ac o is he alue o loans. This means
ha i is no possible o simply decla e ha i
a ac o a ec s one l ow, i will ha e he opposi e
e ec on he o he . The esul s, show ha
a numbe o ac o s ei he do no i gu e a all o
i gu e only insigni i can ly in o liquidi y ou l ow. I
would be jus as e oneous o assume ha bank
size, which had no e ec on liquidi y c ea ion,
does no a ec liquidi y (see, o example,
Vodo á, 2011a). The esul s o ou l ow show
ha an in l uence indeed exis s. Tab. 3 p esen s
he esul s o ne l ow (NET).
NEG (ou l ow) (1) (2)
N_LOAN 1.261**
(0.001)
G_LOAN 1.054*
(0.020)
TA -1.926**
(0.001)
-1.502*
(0.019)
CONS 0.157***
(0.000)
0.139***
(0.000)
No. o obs.:
Adj. R2:
AIC:
BIC:
12
0.217
-24.06
-22.61
12
0.067
-21.96
-20.51
Sou ce: au ho ’s calcula ion
No e: *p < 0.05, **p < 0.01, *** p < 0.001
Tab. 2: Resul s o ou l ow o liquidi y (NEG)
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170 2017, XX, 2
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Logically, he alue o ne (o g oss) loans
had a signi i can e ec . I has been s a is ically
signi i can o bo h l ows, as inc eased alue
o loans causes an ou l ow o liquidi y and
a dec ease in i s c ea ion (see Tab. 1 and 2),
hus leading o a nega i e ne change, and
ice e sa. In addi ion, he alue o o al
asse s has p o en o be signi i can . Tab. 2 has
shown ha bank size has an e ec mainly o
liquidi y ou l ow. I can hus be summa ized ha
dec easing he alue o o al asse s leads o
a dec ease o ne change, which in his case is
de e mined mainly by a highe liquidi y ou l ow.
The las a iable which was shown o play
NET (ne changes) (1) (2) (3)
N_LOAN -2.310***
(0.001)
-2.851***
(0.000)
G_LOAN -2.712***
(0.000)
TA 2.624**
(0.008)
4.707**
(0.000)
4.206***
(0.000)
T_DEP 1.214**
(0.005)
RATIO 0.232*
(0.0340)
0.285*
(0.034)
CONS -0.0705*
(0.038)
-0.371*
(0.030)
-0.395*
(0.077)
No. o obs.:
Adj. R2:
AIC:
BIC:
12
0.709
-20.40
-18.46
12
0.600
-16.58
-14.64
12
0.447
-12.69
-10.75
Sou ce: au ho ’s calcula ion
No e: *p < 0.05, **p < 0.01, *** p < 0.001
TOT ( ealloca ion) (1) (2)
N_LOAN 1.119**
(0.004)
G_LOAN 1.078**
(0.007)
TA -1.536*
(0.011)
-1.344*
(0.021)
CONS 0.131***
(0.000)
0.113***
(0.000)
No o obs.:
Adj. R2:
AIC:
BIC:
12
0..292
-31.09
-29.63
12
0.202
-29.66
-28.21
Sou ce: au ho ’s calcula ion
No e: *p < 0.05, **p < 0.01, *** p < 0.001
Tab. 3: Resul s o ne changes (NET)
Tab. 4: Resul s o o al ealloca ion (TOT)
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a key ole was he alue o o al deposi s, wi h
posi i e e ec – ha is, he g ow h in deposi s
leads o an inc ease in ne change, mainly
due o he c ea ion o liquidi y. Fo he posi i e
ela ion be ween c ea ion and clien deposi s,
see Tab. 1. Finally comes he o al ac i i y in he
sys em, i.e. ealloca ion (TOT). Tab. 4 p esen s
he esul s.
A signi i can a iable is he alue o ne
(g oss) loans as well as he alue o o al asse s.
I appea s he in l uence o he ac o on bo h
l ows as well as he main aining o a ce ain
loans/deposi s a io plays a ole he e. When
loans g ow, liquidi y c ea ion dec eases and
ou l ow inc eases. On he o he hand, c ea ion
is enewed as long as loans and deposi s
main ain a ce ain a io. Bo h l ows hus ake
e ec and ealloca ion inc eases. In he case o
o al asse s, i seems ha wi h he size o he
bank, he ac i i y dec eases – he bank ei he
c ea es liquidi y, o uses i . Small banks, possibly
also due o he p o en inc eased ou l ow (see
Tab. 2), a e o ced o c ea e liquidi y ex ensi ely
o main ain a leas a neu al posi ion, and hus
inc ease ealloca ion, i.e. ac i i y.
Conclusions
I was he goal o his s udy o de e mine he
in e nal ac o s o liquidi y in he Slo enian
banking sec o using obus eg ession
analyses. Aside om liquidi y c ea ion, which
was o en used by o he s udies, he dependen
a iables used included liquidi y ou l ow, ne
changes and o al ealloca ion, i.e. a iables
no used in o he s udies, o achie e g ea e
complexi y. The models ha e p o en ha he
ac o s do no only a ec liquidi y c ea ion, bu
a ec o he dimensions o liquidi y as well. In
addi ion, a gi en ac o usually had a signi i can
in l uence on one l ow only, wi h loans and
bank size alone ha ing a simul aneous e ec
on mul iple independen a iables. Thus, when
looking o de e minan s only o he c ea ion o
only o he ou l ow o liquidi y, he esul s need
no necessa ily comp ehensi ely show he
in l uence o he gi en ac o s, and can lead o
e oneous conclusions. This ac is e iden o
example in bank size which was no p o en o
ha e an in l uence on liquidi y c ea ion, bu was
a signi i can quan i y in e ms o liquidi y ou l ow
and o al ac i i y in he sys em. In his espec ,
he esul s sugges ed ha smalle banks a e
aced wi h highe liquidi y ou l ows and show
highe ac i i y. The esul s also show ha banks
also accoun o he isk in he loan po olio,
no only he po olio’s size, since he alue o
ne loans showed a highe signi i cance han he
alue o g oss loans.
E en hough he models we e signi i can o
o he dimensions o liquidi y as well, he bigges
signi i cance was achie ed in liquidi y c ea ion.
I hus seems ha c ea ion o liquidi y is a ec ed
mainly by in e nal ac o s, while i s ou l ow o
o al ealloca ion is mo e dependen on ex e nal
ac o s ins ead.
The esul s o he models lead o he
ollowing conclusions: The c ea ion o liquidi y
inc eases wi h g owing clien deposi s, g owing
capi al (he e, i is impo an o men ion ha his
posi i e in l uence does no lead o a ade-o
be ween capi al and liquidi y, as he esul s o
o he s udies ha e o en shown, which would
be e idence o a nega i e ela ion; see he
li e a u e e iew) and he g owing alue o
he loans/deposi s a io. On he o he hand,
c ea ion o liquidi y dec eases wi h g owing
p o i s and loans. G owing loans also lead o
liquidi y ou l ow. The ou l ow o liquidi y, jus like
o al ac i i y in he sys em, is u he a ec ed by
bank size.
This pape was c ea ed as a pa o he
p ojec suppo ed by an in e nal g an PEF
(IGA PEF) Mendel Uni e si y in B no, PEF_
DP_2015_013 en i led: “Liquidi y ela ionship
wi h mac oeconomic a iables, a iables
on he le el o banking sec o and indi idual
banks”.
Re e ences
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In e media ies and Ma ke s. Econome ica,
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Bank o In e na ional Se lemen s. (2010).
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isk measu emen , s anda d and moni o ing.
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Be ge , A. N., & Bouwman, C. H. S. (2009).
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Bon i m, D., & Kim, M. (2012). Liquidi y isk
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Bunda, I., & Desquilbe , J. B. (2008). The
bank liquidi y smile ac oss exchange a e
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