چكيده به لاتين
Abstract:
In this research, we tried to analyze the efficiency and risk of liquidity of Iran domestic banks and detect the factors affecting liquidity risk for the system of Iran domestic banks. Also convergence of studied banks in the field of efficiency and liquidity risk management has been measured. The data of this research are annually from 2010 to 2015 which is provided from financial statements of 16 domestic banks of Iran. And during the research; econometric models, especially the method of panel data; Data Envelopment Analysis (DEA) and Stochastic Frontier Analysis (SFA) have been used. Liquidity risk In this research, the financing gap has been considered, and independent variables or factors influencing liquidity risk have been evaluated by estimating the coefficients of the model and the degree of importance. The estimated results from the models show that the liquidity risk of Iranian domestic banks has a significant relationship with the indicators, the ratio of the Liquidity reserves to the total assets (LRA), the External sources Finance Dependency (EFD), the equity ratio Total Assets (ETA) and Total Loan to Total Assets (TLA). The LRA and EFD variables have a negative correlation with ETA and TLA variables with positive liquidity risk. And the ETA variable with a coefficient of 1.274 was identified as the most important influence on the dependent variable. According to the results, the Ghavamin Bank and Ansar Bank have higher productivity and efficiency than the other banks. Also, according to the results of the generalized Method of Model (GMM), there is convergence between Iran domestic banks, In terms of efficiency. But there is no convergence in terms of liquidity risk.
Keywords:
Liquidity risk, risk management, convergence, data envelopment analysis, panel data
