How macroeconomic determinants influence the bank liquidity: The case of Serbia
Keywords:
banks, liquidity, macroeconomic determinants, OLS model, Serbia
Abstract
The objective of the research paper is to highlight the importance of macroeconomic framework to banking sector stability, as well as determine how selected macroeconomic determinants affect bank liquidity. The paper analyzes the influence of macroeconomic determinants on bank liquidity in Serbia from 2008 to 2022. Employing OLS model, the research discovered a significant influence of GDP growth rate, inflation, unemployment and gross savings, while gross government debt negatively affects bank liquidity, but without statistical significance. The obtained results indicate that a higher GDP growth rate and inflation rate lead to greater bank liquidity position, while a greater unemployment rate erodes the bank liquidity for the observed period. Likewise, a sufficient evel of gross savings enable positive influence on bank liquidity, while increased debt position has harmful effect on bank liquidity. These findings can be lucrative for bank managers, regulators, and economic policymakers during creating strategies, policies and procedures in terms of bank liquidity and stability.
References
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Radojičić, J., Jemović, M., & Dragijević, D. (2021). An Analysis of Concentration and Competition in the Banking Sector of the Republic of Serbia. Economic Themes, 59(4), 427-444. https://doi.org/10.2478/ethemes-2021-0024
Radovanov, B., Milenković, N., Kalaš, B., & Marcikić Horvat, A. (2023). Do the Same Determinants Affect Banks’ Profitability and Liquidity? Mathematics, 11(19), 4072. https://doi.org/10.3390/math11194072
Sopan, J., & Dutta, A. (2018). Determinants of liquidity risk in Indian banks: A panel data analysis. Asian Journal of Research in Banking and Finance, 8(6), 47–59. https://doi.org/10.5958/2249-7323.2018.00043.3
Vodová, P. (2011). Liquidity of Czech Commercial Banks and its Determinants. International Journal of Mathematical Models and Methods in Applied Sciences, 5(6), 1060-1067
Yahaya, A., Mahat, F.M.H.Y., & Matemilola, B.T. (2022). Liquidity risk and bank financial performance: an application of system GMM approach. Journal of Financial Regulation and Compliance, 30(3), 312-334. https://doi.org/10.1108/JFRC-03-2021-0019
Yitayaw, M.K. (2021). Firm-specific and macroeconomic determinants of commercial banks liquidity in Ethiopia: Panel data approach. Cogent Business & Management, 8(1), 1-18. https://doi.org/10.1080/23311975.2021.1956065
Al-Harbi, A. (2020). Determinates of Islamic banks liquidity. Journal of Islamic Accounting and Business Research, 11(8), 1619-1632. https://doi.org/10.1108/JIABR-08-2016-0096
Al-Matari, E.M. (2023). The determinants of bank profitability of GCC: The role of bank liquidity as moderating variable – Further analysis. International Journal of Finance & Economics, 28(2), 1423-1435. https://doi.org/10.1002/ijfe.2485
Athari, S.A., Saliba, C., Khalife, D., & Salameh-Ayanian, M. (2023). The Role of Country Governance in Achieving the Banking Sector’s Sustainability in Vulnerable Environments: New Insight from Emerging Economies. Sustainability, 15(3), 10538. https://doi.org/10.3390/su151310538
Batrancea, L., Rathnaswamy, M.M., & Batrancea, I. (2021). A Panel Data Analysis of Economic Growth Determinants in 34 African Countries. Journal of Risk and Financial Management, 14, 260. https://doi.org/10.3390/jrfm14060260
Bayar, Y. (2019). Macroeconomic, Institutional and Bank-Specific Determinants of Non-Performing Loans in Emerging Market Economies: A Dynamic Panel Regression Analysis. Journal of Central Banking Theory and Practice, 8(3), 95-110. https://doi.org/10.2478/jcbtp-2019-0026
Bucevska, V., & Misheva, H.B. (2017). The Determinants of Profitability in the Banking Industry: Empirical Research on Selected Balkan Countries. Eastern European Economics, 55(2), 146-167. https://doi.org/10.1080/00128775.2016.1260473
Chowdhury, M.A., & Salman, M.A.G. (2021). Bank-specific & Macroeconomic Determinants of Profitability: Empirical Evidence from Bangladeshi Private Commercial Banks. American Journal of Theoretical and Applied Business, 7(4), 72-80. https://doi.org/10.11648/j.ajtab.20210704.11
Cvetkovska, V., Fotova Čiković, K., & Tasheva, M. (2021). Efficiency of Commercial Banking in Developing Countries. Mathematics, 9(14), 1597. https://doi.org/10.3390/math9141597
Đuranović, G., & Filipović, S. (2021). The impact of market concentration on competitiveness of the banking sector in Serbia. Industry, 49(3/4), 25-45. https://doi.org/industrija49-36262
Gazi, M.A.I., Karim, R., Senathirajah, A.R.B.S., Ullah, A.K.M., Afrin, K.H., & Nahiduzzaman, M. (2024). Bank-Specific and Macroeconomic Determinants of Profitability of Islamic Shariah-Based Banks: Evidence from New Economic Horizon Using Panel Data. Economies, 12(3), 66. https://doi.org/10.3390/economies12030066
Grubišić, Z., Kamenković, S., & Kaličanin, T. (2021). Comparative Analysis of the Banking Sector Competitiveness in Serbia and Montenegro. Journal of Central Banking Theory and Practice, 1, 75-91. https://doi.org/10.2478/jcbtp-2021-0004
Mazreku, I., Morina, F., Misiri, V., Spiteri, J. V., & Grima, S. (2019). Exploring the liquidity risk factors in the Balkan region banking system. European Research Studies Journal, 22(1), 96–108. https://doi.org/10. 35808/ersj/1409
Mdaghri, A.A., Oubdi, L. (2022). Journal of Central Banking Theory and Practice, 2, 55-76. https://doi.org/10.2478/jcbtp-2022-0013
Mirović, V., Kalaš, B., Milenković, N., Andrašić, J., & Đaković, M. (2024). Modelling Profitability Determinants in the Banking Sector: The Case of the Eurozone. Mathematics, 12(6), 897. https://doi.org/10.3390/math12060897
Mohammad, S., Asutay, M., Dixon, R., & Platonova, E. (2020). Liquidity risk exposure and its determinants in the banking sector: A comparative analysis between Islamic, conventional and hybrid banks. Journal of International Financial Markets, Institutions and Money, 66, 1-20. https://doi.org/10.1016/j.intfin.2020.101196
National Bank of Serbia. (2022). Annual Financial Stability Report. Retrieved from: https://www.nbs.rs/export/sites/NBS_site/documents-eng/publikacije/fs/fsr_2022.pdf
Pham, H.N., & Pham, T.H.N. (2022). Determinants of Bank Liquidity: Evidence from Vietnam. In: Ngoc Tach, N., Ha, D.T., Trung, N.D., Kreinovich, V. (eds) Prediction and Causality in Econometrics and Related Topics. ECONVN 2021. Studies in Computational Intellingence, vol 983. Springer. https://doi.org/10.1007/978-3-030-77094-5_17
Radojičić, J., Jemović, M., & Dragijević, D. (2021). An Analysis of Concentration and Competition in the Banking Sector of the Republic of Serbia. Economic Themes, 59(4), 427-444. https://doi.org/10.2478/ethemes-2021-0024
Radovanov, B., Milenković, N., Kalaš, B., & Marcikić Horvat, A. (2023). Do the Same Determinants Affect Banks’ Profitability and Liquidity? Mathematics, 11(19), 4072. https://doi.org/10.3390/math11194072
Sopan, J., & Dutta, A. (2018). Determinants of liquidity risk in Indian banks: A panel data analysis. Asian Journal of Research in Banking and Finance, 8(6), 47–59. https://doi.org/10.5958/2249-7323.2018.00043.3
Vodová, P. (2011). Liquidity of Czech Commercial Banks and its Determinants. International Journal of Mathematical Models and Methods in Applied Sciences, 5(6), 1060-1067
Yahaya, A., Mahat, F.M.H.Y., & Matemilola, B.T. (2022). Liquidity risk and bank financial performance: an application of system GMM approach. Journal of Financial Regulation and Compliance, 30(3), 312-334. https://doi.org/10.1108/JFRC-03-2021-0019
Yitayaw, M.K. (2021). Firm-specific and macroeconomic determinants of commercial banks liquidity in Ethiopia: Panel data approach. Cogent Business & Management, 8(1), 1-18. https://doi.org/10.1080/23311975.2021.1956065