Document Type : Original Article
Authors
1
PhD Student, Financial Management, Islamic Azad University, North Tehran Branch, Tehran, Iran
2
Assistant Professor, Department of Management, Faculty of Industries and Management, Shahrood University of Technology, Shahrood, Iran
3
Professor, Department of Financial Management, Faculty of Management, University of Tehran, Tehran, Iran
4
Associate Professor, Department of Industrial Management, Tarbiat Modares University, Tehran, Iran
10.22075/jem.2025.37609.2006
Abstract
The aim of this study was to identify the factors affecting the liquidity risk of a bank. Liquidity risk arises from a bank's inability to pay debts on time, fulfill obligations, or expand its portfolio of high-yielding assets at a reasonable cost. In other words, when a bank does not have sufficient liquidity, it is unable to quickly and at a reasonable cost obtain sufficient funds by increasing debts or converting assets, which will affect the bank's profitability. In this study, statistical data of 12 banks listed on the Tehran Stock Exchange in the period 2011-2023 and the panel smooth transition regression model were used. The results of this study indicate the existence of a nonlinear relationship between financial and economic variables and liquidity risk. The transition variable selected in this study was credit risk, which has a high impact on liquidity risk and bank liquidity management policies. The results also showed that the variables of the ratio of cash assets to total assets, bank size, return on assets and economic growth have a negative impact on liquidity risk, and the variables of the inflation rate, deposit mix ratio, total debt to total assets ratio and short-term deposits to long-term deposits ratio have a positive impact on liquidity risk.
Keywords
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