Main Article Content
Liquidity is very important for the functioning of financial markets, especially for the banking sector, because one of the critical aspects in the banking business is precisely the process of transforming short-term funds and placing them in the medium and long term. This paper aims to comprehensively assess the liquidity positions of Portuguese and Spanish commercial banks through different liquidity ratios for the period from 2002 to 2015 and understand whether the liquidity management strategy differs by bank size. To this end, unconsolidated balance sheet data were used, which were obtained from the banks annual reports. The sample includes a significant part of the Portuguese and Spanish banking sector (not only by the number of banks, but also by the representation in banks total assets). The results obtained show that Spain's banks' liquidity indicator has decreased over the last four years. In contrast, bank liquidity indicator in Portugal varied slightly positively during the period 2002-2006 but decreased sharply between 2010 to 2015. Bank liquidity increased slightly during the period of the financial crisis in both countries, namely between from 2007 to 2009. Finally, it is concluded that smaller banks have less fluctuating liquidity management, i.e., large and medium-sized banks show greater variation in bank liquidity in the period under analysis, i.e., they are less liquid.
Acharya, V., and Mora, N. (2015). A crisis of banks as liquidity providers. The Journal of Finance, 70(1), pp. 1-43. https://doi.org/10.1111/jofi.12182
Al-Naimi, A.A., (2020). Liquidity risks models in Jordanian commercial banks. Paideuma Journal, XIII(IV), 58-83.
BCBS (Basel Committee on Banking Supervision), (2008). Principles for sound liquidity risk management and supervision. BIS – Bank for International Settlements, september.
BCBS (Basel Committee on Banking Supervision), (2013). Basel III: The Liquidity coverage ratio and liquidity risk monitoring. BIS – Bank for International Settlements, january.
BCBS (Basel Committee on Banking Supervision), (2014). Basel III: The net stable funding ratio. BIS – Bank for International Settlements, october.
Berger, A.N., and Bouwman, C.H.S. (2009). Bank liquidity creation. The Review of Financial Studies, 22(9), 3780-3837. https://doi.org/10.1093/rfs/hhn104
Bonfim, D., and Kim, M. (2012). Risco de liquidez sistémico. Banco de Portugal - Relatório de Estabilidade Financeira, 79-99.
Bonfim, D., and Kim, M. (2019). Liquidity risk and collective moral hazard. International Journal of Central Banking, 15(2), 101-150.
Bord, V., and Santos, J. (2014). Banks liquidity and the cost of liquidity to corporations. Journal of Money, Credit and Banking, 46(1), 13-45. https://doi.org/10.1111/jmcb.12076
Brunnermeier, M., and Pedersen, L. (2009). Market liquidity and funding liquidity. The Review of Financial Studies from Oxford Journals, 22(6), 2201-2238. https://doi.org/10.1093/rfs/hhn098
Bryant, J. (1980). A model of reserves, bank runs, and deposit insurance. Journal of Banking and Finance, 4, 335-344. https://doi.org/10.1016/0378-4266(80)90012-6
Cetorelli, N., and Goldberg, L. (2012). Liquidity management of U.S. global banks: internal capital markets in the great recession. Journal of International Economics, 88, 299-311. https://doi.org/10.1016/j.jinteco.2012.05.001
Cornett, M.M., McNutt, J.J., Strahan, P.E., and Tehranian, H. (2011). Liquidity risk management and credit supply in the financial crisis. Journal of Financial Economics, 101, 297-312. https://doi.org/10.1016/j.jfineco.2011.03.001
Crockett, A. (2008). Market liquidity and financial stability. Financial Stability Review from Banque de France, 11 special, 13-17.
DeYoung, R., and Jang, Y. (2016). Do banques actively manage their liquidity? Journal of Banking and Finance, 66, 143-161. https://doi.org/10.1016/j.jbankfin.2015.11.013
Diamond, D.W., and Dybvig, P.H. (1983). Bank runs, deposit insurance, and liquidity. Journal of Political Economy, 91, 401-419. https://doi.org/10.1086/261155
Distinguin, I., Roulet C., and Tarazi, A. (2013). Bank regulatory capital and liquidity: evidence from U.S. and European publicly traded banks. Journal of Banking and Finance, 37, 3295-3317. https://doi.org/10.1016/j.jbankfin.2013.04.027
Dogan, M. (2013). Comparison of financial performance of domestic and foreign banks: the case of Turkey. International Journal of Business and Social Sciences, 4(2), 233-240.
European Commission, (2020). No 2019/876 of the European Parliament and the Council as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central couterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012. Regulation (EU).
Goodhart, C. (2008). Liquidity risk management. Financial Stability Review from Banque de France, 11 special, 39-44.
Hakimi, A., Boussaada R., and Hamdi, H. (2020). The interactional relationships between credit risk, liquidity risk and bank profitability in MENA region. Global Business Review, 1-23.
Horváth, R., Seidler J., and Weill, L. (2012). Bank capital and liquidity creation. Granger-Causality evidence. European Central Bank Working paper series n. 1947.
Kapoor, S., and Peia, O. (2021). The impact of quantitative easing on liquidity creation. Journal of Banking and Finance, 122, 1-15. https://doi.org/10.1016/j.jbankfin.2020.105998
Khan, M., Scheule, H., and Wu, E. (2017). Funding liquidity and bank risk taking. Journal of Banking and Finance, 82, 203-216. https://doi.org/10.1016/j.jbankfin.2016.09.005
Lastuvková, J. (2017). Dimensions of liquidity and their factors in the Slovenian bank sector. EaM: Ekonomie a Management, 2(20), 163-174. https://doi.org/10.15240/tul/001/2017-2-012
López, A. S. (2015). Aplicación de las técnicas multivariantes al sector bancario Español: el caso de las entidades afectadas por la restructutación. Revista de Métodos Cuantitativos para la Economía y la Empresa, 19, 66-100.
Mogro, S. C., and Bravo, G. A. (2018). Assessing competition in the private banking sector in Ecuador: an econometric approach with the Panzar-Rossr model. Cuadernos de Economía, 41, 225-240. https://doi.org/10.32826/cude.v41i117.75
Moussa, M. A. B. (2015). The determinants of bank liquidity: case of Tunisia. International Journal of Economics and Financial Issues, 5(1), 249-259.
Munteanu, I. (2012). Bank liquidity and its determinants in Romania. Procedia Economics and Finance, 3, 993-998. https://doi.org/10.1016/S2212-5671(12)00263-8
Nikolaou, K. (2009). Liquidity (risks) concepts definitions and interactions. European Central Bank - Working Paper, 1008, pp. 1-71.
Roman, A., and Sargu, A. C. (2014). Banks liquidity risk analysis in the new European Union member countries: evidence from Bulgaria and Romania. Procedia Economics and Finance, 15, 569-576. https://doi.org/10.1016/S2212-5671(14)00512-7
Roman, A., and Sargu, A. C. (2015). The impact of bank-specific factors on the commercial banks liquidity: empirical evidence from CEE countries. Procedia Economics and Finance, 20, 571-579. https://doi.org/10.1016/S2212-5671(15)00110-0
Strahan, P. E. (2012). Liquidity risk and credit in the financial crisis. FRBSF Economic Letter, 15.
Tirole, J. (2011). “Iliquidity and all its friends”, Journal of Economic Literature, 49(2), pp. 287-325. https://doi.org/10.1257/jel.49.2.287
Trenca, K. Y., Petria, N., and Corovei, E. A. (2015). Impact of macroeconomic variables upon the banking system liquidity. Procedia Economics and Finance, 32, 1170-1177. https://doi.org/10.1016/S2212-5671(15)01583-X
Vodová, P. (2011). Determinants of commercial Banks liquidity in the Czech Republic. Recent Researches in Applied and Computational Mathematics, 92-97.
Vodová, P. (2012). Liquidity of Czech and Slovak commercial banks. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 50(7), 463-476. https://doi.org/10.11118/actaun201260070463
Wójcik-Mazur, A., and Szajt, M. (2015). Determinants of liquidity risk in commercial banks in the European Union. Argumenta Oeconomica. 2(35), 25-47. https://doi.org/10.15611/aoe.2015.2.02