Προσδιοριστικοί παράγοντες των συντελεστών ρευστότητας της Βασιλείας ΙΙΙ
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Keywords
Κίνδυνος ρευστότητας ; LCR ; NSFR ; Καταθέσεις ; Διαθέσιμα ; Περιθώρια ασφαλείας ; Χρηματοδότηση ; Συντελεστής μόχλευσης ; Εποπτικά κεφάλαια ; Διαφάνεια τραπεζώνAbstract
The current thesis studies the determinants of the LCR and NSFR liquidity rules defined by the Basel III institutional framework. Through the analysis of scientific articles and corresponding literature, the econometric model was constructed to identify the variables that define and affect the liquidity rules.
The regressions took place for the years 2018 and 2019, when the banks started to implement the liquidity rules, as observed by the data analysis carried out for all euro area banks in the years 2000 to 2020.
The results of the econometric analysis highlighted Total Assets, loans, deposits, leverage ratio and regulatory capital as the most important determinants of the liquidity rules.
Total Assets and loans have been shown to have a negative impact on liquidity ratios, as opposed to the rest of the independent variables that showed a positive correlation with LCR and NSFR. Those results shed light on the bank behavior, the liquidity risk management, and the actions to prevent and cope with an unexpected outflow of money.