Dimensions of liquidity and their factors in the Slovenian banking sector

163 2, XX, 2017 Finance 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 EM_2_2017.indd 163EM_2_2017.indd 163 14.6.2017 9:29:4314.6.2017 9:29:43 164 2017, XX, 2 Finance 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 EM_2_2017.indd 164EM_2_2017.indd 164 14.6.2017 9:29:4314.6.2017 9:29:43 165 2, XX, 2017 Finance 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: EM_2_2017.indd 165EM_2_2017.indd 165 14.6.2017 9:29:4314.6.2017 9:29:43 166 2017, XX, 2 Finance 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 EM_2_2017.indd 166EM_2_2017.indd 166 14.6.2017 9:29:4414.6.2017 9:29:44 167 2, XX, 2017 Finance 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 EM_2_2017.indd 167EM_2_2017.indd 167 14.6.2017 9:29:4414.6.2017 9:29:44 168 2017, XX, 2 Finance 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) EM_2_2017.indd 168EM_2_2017.indd 168 14.6.2017 9:29:4414.6.2017 9:29:44 169 2, XX, 2017 Finance 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) EM_2_2017.indd 169EM_2_2017.indd 169 14.6.2017 9:29:4414.6.2017 9:29:44 170 2017, XX, 2 Finance 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) EM_2_2017.indd 170EM_2_2017.indd 170 14.6.2017 9:29:4414.6.2017 9:29:44 171 2, XX, 2017 Finance 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 Allen, F., & Gale, D. (2004). Financial In e media ies and Ma ke s. Econome ica, 72(4), 1023-1061. doi: 10.1111/j.1468- 0262.2004.00525.x. Bank o In e na ional Se lemen s. (2010). Basel III: In e na ional amewo k o liquidi y isk measu emen , s anda d and moni o ing. Re ie ed Augus 10, 2015, om h p://www.bis. o g/publ/bcbs188.pd . Be ge , A. N., & Bouwman, C. H. S. (2009). Financial C ises and Bank Liquidi y C ea ion. Re iew o Financial S udies, 22(9), 3779-3837. doi:10.1093/ s/hhn104. Bon i m, D., & Kim, M. (2012). Liquidi y isk banking: Is he e he ding? [Eu opean Banking Cen e Discussion Pape 2012-024]. Bunda, I., & Desquilbe , J. B. (2008). The bank liquidi y smile ac oss exchange a e EM_2_2017.indd 171EM_2_2017.indd 171 14.6.2017 9:29:4514.6.2017 9:29:45