银行流动性过剩的原因是什么？来自印度的经验证据

IF 1.2 Q3 BUSINESS, FINANCE Journal of Emerging Market Finance Pub Date : 2022-07-22 DOI:10.1177/09726527221101134

Md Gyasuddin Ansari, Rudra Sensarma

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引用次数: 1

摘要

我们使用印度2005-2020年的数据研究了银行系统的过度流动性。我们应用自回归分布滞后模型和面板回归来识别决定总水平和银行水平流动性过剩的因素。我们发现，银行持有的法定准备金、私营部门信贷和政府证券分别对超额流动性产生负面、正面和负面影响。汇率和银行间同业拆借利率等其他因素在这两个层面上有不同的影响。我们的研究结果表明，银行可以制定机制来优化其流动性管理，避免流动性过剩的成本。JEL分类：C23、E50、E58、G00、G21

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What Explains Excess Liquidity of Banks? Empirical Evidence from India

We study excess liquidity in the banking system using data for India during 2005–2020. We apply Autoregressive Distributed Lag model and panel regressions to identify the factors determining excess liquidity at both aggregate and bank levels. We find that required reserves, private sector credit, and government securities held by banks have negative, positive, and negative effects on excess liquidity, respectively. Other factors such as exchange rate and inter-bank call rate have varying effects at the two levels. Our results suggest that banks can chalk out mechanisms to optimize their liquidity management and avoid the cost of excess liquidity. JEL Classifications: C23, E50, E58, G00, G21

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来源期刊

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.