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The Effect Of Capital Buffer On The Relationship Between Liquidity Risk And Market and Book Risk Taking Of The Banks (in Persian)

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  • baradaran hasanzadea, rasol

    (Iran)

  • Heshmat, Nesa

    (Iran)

  • Solatikhosroshahi, Ebrahim

    (Iran)

Abstract

This research examines the effect of the Capital Buffer, on banks as a regulatory and controlling factor on the relationship between liquidity risk and bankschr('39') risk aversion. In this study, eight banks were surveyed for the period of 2011-2014. In order to measure the Capital Buffer criterion, the legal deposit rates of central bank of the Islamic Republic of Iran has been used. For measuring the liquidity risk, the three criteria of the ratio of loans to deposit, the ratio of deposit composition and deposit ratio to assets have been used, and according to Khan et al (2016), risk taking of the bank has been using two benchmarks for the bankchr('39')s book and market risk taking. The results of the research show that the interactive capital buffer and liquidity risk variable have a significant and reverse relationship with the bankchr('39')s risk-taking. But the results of the research on the same effect of the legal reserve on the relationship between liquidity risk and market riskiness of the bank were only confirmed in the total deposits to total assets (the inverse criterion of risk-taking) criteria.

Suggested Citation

  • baradaran hasanzadea, rasol & Heshmat, Nesa & Solatikhosroshahi, Ebrahim, 2019. "The Effect Of Capital Buffer On The Relationship Between Liquidity Risk And Market and Book Risk Taking Of The Banks (in Persian)," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 12(40), pages 197-222, September.
    • Handle: RePEc:mbr:jmbres:v:12:y:2019:i:40:p:197-222
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    More about this item

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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