- citati u SCIndeksu: [1]
- citati u CrossRef-u:[1]
- citati u Google Scholaru:[
 ]
- posete u poslednjih 30 dana:13
- preuzimanja u poslednjih 30 dana:5
|
|
|
2016, vol. 44, br. 3, str. 61-76
|
|
Determinante depozitnog potencijal kao inverznog indikatora likvidnosti poslovnih banaka u Srbiji
Determinants of deposit potential as inverse liquidity indicator of commercial banks in Serbia
Sažetak
Cilj rada predstavlja identifikaciju determinanti likvidnosti komercijalnih banaka u R. Srbiji, posmatrajući makroekonomske i specifične bankarske indikatore, odnosno mikroekonomske indikatore, koji su analizirani putem deskriptivne statistike, korelacije i regresione analize u periodu od 2008. do 2014. godine. Korelacija varijabli se računa na 140 uzoraka za interne I eksterne nezavisne varijable koje su od uticaja na zavisnu varijablu - likvidnost merenu depozitnim indikatorom. Predmet istraživanja predstavlja postupak optimizacije modela likvidnosti, smanjenjenjem faktora likvidnosti, na varijable koje imaju najveći uticaj na pokazatelje likvidnosti - mereno depozitnim potencijalom. Rezultati modela pokazuju da je likvidnost banaka dominantno određena veličniom bankarske aktive. Sa rastom bilansne aktive, banke se izlažu većem riziku likvidnosti. Povećanje adekvatnosti kapitala ima pozitivan efekat na likvidnost banaka. Neto kamatna marža je u pozitivnoj korelaciji sa indikatorom depozitnog potencijala koji ukazuje na negativan uticaj na likvidnost banaka, kao i racio operativnih troškova prema operativnim prihodima.
Abstract
The aim of this paper is to identify determinants of liquidity of commercial banks in the Republic of Serbia, observing the macroeconomic and banking-specific indicators, or micro-economic indicators which were analyzed by descriptive statistics, correlation and regression analysis from 2008 to 2014. The correlation for the observed variables is calculated from 140 samples for internal and external independent variables of impact to the dependent variable - liquidity measured by indicator of deposits. The subject of research is the process of optimization model reducing the factors of liquidity to variables that have the most significant impact on liquidity indicator measured by deposit potential. Results of the model show that liquidity of banks is dominantly determined by the size of banks assets. With growth of the assets, banks are exposed to a greater risk of liquidity. The increase in capital adequacy ratio has a positive effect on the liquidity of banks. Net interest margin is positively correlated with the indicator of deposit potential which indicates a negative impact on the liquidity of banks as well as the ratio of operating expenses to operating income.
|
|
|
|
Reference
|
|
|
*** (2008-2012) Commercial banks (2008-2014): Annual reports. www.aikbanka.rs, www.alphabankserbia.com, www.bancaintesa.rs, www.posted.co.rs, www.creditagricole.rs, www.cacanskabanka.co.rs, www.erstebank.rs, www.eurobank.rs, www.findomestic.rs, www.hipo-alpe-adr
|
|
|
BIS (2011) A global regulatory framework for more resilient banks and banking systems. Basel, Switzerland: Bank for International Settlements, (revisited version)
|
|
1
|
BIS (2008) Principles for Sound Liquidity Risk Management and Supervision. Basel: Bank for International Settlements
|
|
1
|
BIS (2008) Principles for Sound Liquidity Risk Management and Supervision. Basel: Bank for International Settlements
|
|
|
BIS (2009) International framework for liquidity risk measurement, standards and monitoring. Basel: Bank for International Settlements
|
|
1  
|
Bunda, I., Desquilbet, J. (2008) The bank liquidity smile across exchange rate regimes. International Economic Journal, 22(3): 361-386
|
|
|
Central Bank of Serbia (2008-2014) Annual reports. http://www.nbs.rs
|
|
|
Kundid, A., Ercegovac, R., Klipanac, L. (2009) Bank liquidity disress transfer toward real economy ahead of financial crisis. Global Business & Economics Anthology, Volume II, December, Business & Economics Society International
|
|
7 
|
Miljković, M., Filipović, S., Tanasković, S. (2013) Market concentration in the banking sector: Evidence from Serbia. Industrija, vol. 41, br. 2, str. 7-25
|
|
1
|
Roman, A., Şargu, A.C. (2014) Banks Liquidity Risk Analysis in the New European Union Member Countries: Evidence from Bulgaria and Romania. Procedia Economics and Finance, 15: 569-576
|
|
|
Rose, P. (1991) Commercial bank management - producing and selling financial services. Boston: Irwin
|
|
|
Valla, N., Saes-Escorbiac, B. (2006) Bank liquidity and financial stability. Banque de France Financial Stability Review, pp. 89-104
|
|
|
Vodová, P. (2012) Determinants of commercial banks liquidity in Poland. u: 30th International Conference Mathematical Methods in Economics, Proceedings of, download: http://mme2012.opf.slu.cz/proceedings/pdf/165_Vodova.pdf page 962-967, 18.04.2015
|
|
|
Vodová, P. (2013) Determinants of commercial banks liquidity in Slovakia. download: http://www.opf.slu.cz/kfi/icfb/proc2011/pdf/65_Vodova.pdf 20.02.2015
|
|
|
Vodová, P. (2013) Determinants of commercial banks liquidity in the Czech Republic. ISBN: 978-1-61804-002-2, download: http://is.muni.cz/do/econ/soubory/aktivity/fai/38465793/FAI2013_01_Vodova.pdf 17.02.2015
|
|
|
Vodová, P. (2013) Determinants of commercial banks liquidity in Hungary. download: http://www.slu.cz/opf/cz/informace/acta-academica-karviniensia/casopisy-aak/aak-rocnik-2013/docs-1-2013/Vodova.pdf 17.02.2015
|
|
2
|
Vodová, P. (2013) Determinants which Affect Liquid Asset Ratio of Czech and Slovak Commercial Banks. Financial Assets and Investing, 4(1)
|
|
|
|
|