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The Determinants of Liquidity Risk: Evidence from Tunisian Banks

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  • Khemais Zaghdoudi
  • Abdelaziz Hakimi

Abstract

In recent years, the banking activity in Tunisia has been marked by a significant increase in granted loans compared to collected deposits. This disproportionate evolution has led to the accentuation of the tightening of bank liquidity, which negatively affected the liquidity ratio of Tunisian banks. That’s why; this paper's objective is to identify the key determinants of liquidity risk of these banks in order to manage this major risk to avoid both their liquidity drying up and their bankruptcy. To do this, we used data covering ten Tunisian banks, which represent all Tunisian banking sector, observed during the period from 1980 to 2015. The econometric results, based on panel data analysis, show that the liquidity risk of Tunisian banks depends on bank’s internal factors (primacy given to the activity of loan granting, level of capitalization, and size), factor related to the whole banking industry (structure of banking market) and international environment (international financial crisis). Concerning macroeconomic factors, their impacts are different. Contrary to economic growth which has a positive and significant effect, inflation impacts negatively but not significantly the liquidity risk of Tunisian banks.JEL Classification numbers: C5, C33, G21Keywords: Determinants, Liquidity Risk, Tunisian Banks, Panel Data Analysis.

Suggested Citation

  • Khemais Zaghdoudi & Abdelaziz Hakimi, 2017. "The Determinants of Liquidity Risk: Evidence from Tunisian Banks," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(2), pages 1-5.
    • Handle: RePEc:spt:apfiba:v:7:y:2017:i:2:f:7_2_5
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    References listed on IDEAS

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    Cited by:

    1. Ghanim Shamas & Zairani Zainol & Zairy Zainol, 2018. "The Impact of Bank’s Determinants on Liquidity Risk: Evidence from Islamic Banks in Bahrain," Journal of Business & Management (COES&RJ-JBM), , vol. 6(1), pages 1-22, January.
    2. Khemais Zaghdoudi, 2019. "The Effects of Risks on the Stability of Tunisian Conventional Banks," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 9(3), pages 389-401, March.
    3. Ghanim Shamas & Zairani Zainol & Zairy Zainol, 2017. "The Moderating Role of Staff Efficiency in the Relationship between Bank¡¯s Specific Variables and Liquidity Risk in Islamic Banks of Gulf Cooperation Council (GCC) Countries," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(12), pages 278-290, December.
    4. Nesrine Djebali & Khemais Zaghdoudi, 2020. "Testing the governance-performance relationship for the Tunisian banks: a GMM in system analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-24, December.

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    More about this item

    Keywords

    determinants; liquidity risk; tunisian banks; panel data analysis.;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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