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An Empirical Study on Liquidity risk and its determinants in Bosnia and Herzegovina

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  • Ganić Mehmed

Abstract

This paper presents the research of liquidity risk and its determinants in banking sector of Bosnia and Herzegovina (B&H). The aim of this paper is to to examine banks' exposure to liquidity risk in the context of 17 out of 28 commercial banks in B&H, by using data in the period 2002-2012. In the empirical part of the research the multiple regression analysis will be applied with the aim to test the statistical significance and explanatory power of selected variables using various data analysis techniques. For the purpose of analysis of the subject matter and the aim of the research, our paper is organized as follows: After background information about trends in liquidity position of banking sector in B&H and its development is provided in Section 1, Section 2 provides a brief overview of the conducted researches in recent years related to the determinants of the commercial banks’ liquidity. Section 3 describes models and variables used in the models & hypotheses. Section 4 analyzes and interprets the empirical findings the impact of explanatory variables on banks' exposure to liquidity risk. Finally, the research conducted in this study showed that most of the analyzed variables had a certain influence on determining the level of banks' exposure to liquidity risk Based on this research the commercial banks should further decide which a variable needs to be used in order to achieve desired level of liquidity.

Suggested Citation

  • Ganić Mehmed, 2014. "An Empirical Study on Liquidity risk and its determinants in Bosnia and Herzegovina," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 17(52), pages 157-183, June.
    • Handle: RePEc:rej:journl:v:17:y:2014:i:52:p:157-183
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    References listed on IDEAS

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    Cited by:

    1. Ekaterina Tzvetanova, 2019. "Adaptation of the Altman’s Corporate Insolvency Prediction Model – The Bulgarian Case," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 125-142.

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    More about this item

    Keywords

    liquidity risk; banking sector of B&H; Bank specific determinants; Indicators of liquidity;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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