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Analysis Of Systemic Liquidity Risk For The Banking Sector In Bosnia And Herzegovina (Bh)

Author

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  • Almir Alihodžić

    (Faculty of Economics - university of zenica)

  • Hye-Jin Cho

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

The purpose of this paper is to relate the Danish concept of the " Balance Principle " to test the hypotheses of systemic liquidity risk in the banking sector. In the paper, the major econometric method is to gauge the general applicability of theories of liquidity and to test the applicable validity of Bosnia and Herzegovina (BH). A prime example for this study is taken from the first quarter of 2004 to the second quarter of 2014. Our intention here is to consider the identification of macroeconomic parameters that positively affect the growth of the banking sector. The parameter liquidity, i.e. liquid assets / total assets will be observed as a dependent variable, and nonperforming loans / total loans, average profitability on equity capital, non-interest expenses / total revenue, the average required reserve, total loans, the money supply in the wider sense, net capital / risk weighted assets and net performing assets / total assets will be used as independent variables. The purpose of the paper is to determine whether there is interdependence in the movement between the independent and dependent variables through a multiple linear regression.

Suggested Citation

  • Almir Alihodžić & Hye-Jin Cho, 2015. "Analysis Of Systemic Liquidity Risk For The Banking Sector In Bosnia And Herzegovina (Bh)," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01525830, HAL.
    • Handle: RePEc:hal:cesptp:hal-01525830
    Note: View the original document on HAL open archive server: https://paris1.hal.science/hal-01525830
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    References listed on IDEAS

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    1. Markus K. Brunnermeier & Lasse Heje Pedersen, 2009. "Market Liquidity and Funding Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 22(6), pages 2201-2238, June.
    2. Burnside, Craig & Eichenbaum, Martin & Rebelo, Sergio, 2001. "Hedging and financial fragility in fixed exchange rate regimes," European Economic Review, Elsevier, vol. 45(7), pages 1151-1193.
    3. Douglas W. Diamond & Philip H. Dybvig, 2000. "Bank runs, deposit insurance, and liquidity," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 24(Win), pages 14-23.
    4. Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
    5. Almir Alihodžić & Hye-Jin Cho, 2015. "Analysis Of Systemic Liquidity Risk For The Banking Sector In Bosnia And Herzegovina (Bh)," Post-Print hal-01525830, HAL.
    6. World Bank & Agency for Statistics of Bosnia and Herzegovina & FBiH Institute for Statistics & RS Institute for Statistics, 2015. "Bosnia and Herzegovina," World Bank Publications - Reports 22471, The World Bank Group.
    7. World Bank, 2012. "Bosnia and Herzegovina," World Bank Publications - Reports 25893, The World Bank Group.
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    Cited by:

    1. Almir Alihodžić & Hye-Jin Cho, 2015. "Analysis Of Systemic Liquidity Risk For The Banking Sector In Bosnia And Herzegovina (Bh)," Post-Print hal-01525830, HAL.
    2. cho, hyejin & Alihodžić, Almir, 2015. "Analysis of systemic liquidity risk for the banking sector in Bosnia and herwegovina," MPRA Paper 72533, University Library of Munich, Germany.

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