Investigating the asymmetric effects of fluctuations of macroeconomic variables on the liquidity risk of banks in Iran

Gudarzi Farahani, Yazdan; Adeli, Omid Ali; Jafari Ghasemgheshlaghi, Farzane

doi:10.22075/jem.2024.33089.1910

Investigating the asymmetric effects of fluctuations of macroeconomic variables on the liquidity risk of banks in Iran

Document Type : Original Article

Authors

¹ Assistant Professor, Department of Islamic Economics, Faculty of Economic and Administrative Sciences, University of Qom, Qom

² Associate Professor, Department of Islamic Economics, Faculty of Economic and Administrative Sciences, University of Qom, Qom

³ Master of Economics, Islamic Banking, Faculty of Economic and Administrative Sciences, Qom University, Qom

10.22075/jem.2024.33089.1910

Abstract

The Liquidity risk is one of the most important risks for any banking system, liquidity risk is the bank's inability to cover its financial obligations on maturity without incurring costs. The goal of the researchers is to present the appropriate amount of input and output variables of the liquidity system at the optimal level so that they can observe the ratios affecting the bank's liquidity at the standard level. Considering the importance of the discussion of bank liquidity risk, the main goal of the current research was to investigate the asymmetric effects of fluctuations of macroeconomic variables on the liquidity risk of banks in Iran. In this regard, the financial information of the country's banking system has been collected during the period of 2011-2022. In order to reach the research hypothesis and test them, the autocorrelation method with Nonlinear Autoregressive Distributed Lags (NARDL) has been used. The findings of this study show that the variables of exchange rate, inflation, GDP and liquidity have asymmetric effects on liquidity risk in the country's banking system.

Keywords