Evaluate the Efficiency of Liquidity Management in Russian Banks

Jalal Hafeth Ahmad Abu-Alrop (2020). Evaluate the Efficiency of Liquidity Management in Russian Banks. International Journal of Economics and Financial Modelling, 4(1): 25-43.

19 Pages Posted: 22 Oct 2020

Date Written: January 8, 2020

Abstract

The purpose of this study is to measure the impact of liquidity on the performance of Russian banks (2008-17) to assess the efficiency of Russian banks in liquidity management to determine whether liquidity risk is reasonably priced. This study uses multiple regression analysis and DEA analysis to assess liquidity management efficiency. The study found that the effect of liquidity on the net interest margin (NIM) and the return on assets (ROA) is greater than the impact of liquidity on the return on equity (ROE), The study concluded that Medium banks were the most effective in liquidity managing, while small banks were more efficient than large banks. The study also further concluded that the Russian banks have a surplus of untapped liquidity and the efficiency of liquidity management in Russian banks is weak, Many banks could have achieved higher returns at the same liquidity levels or could have achieved the same returns at higher liquidity levels (Less liquidity risk).

Keywords: Liquidity, Efficiency, Liquidity risk performance, Data envelopment analysis (DEA), Multi regression, ROE, ROA, Net interest margin, Performance, Russian banks

JEL Classification: G210

Suggested Citation

Abu-Alrop, Jalal Hafeth, Evaluate the Efficiency of Liquidity Management in Russian Banks (January 8, 2020). Jalal Hafeth Ahmad Abu-Alrop (2020). Evaluate the Efficiency of Liquidity Management in Russian Banks. International Journal of Economics and Financial Modelling, 4(1): 25-43., Available at SSRN: https://ssrn.com/abstract=3685377 or http://dx.doi.org/10.2139/ssrn.3685377

Jalal Hafeth Abu-Alrop (Contact Author)

Kazan Federal University ( email )

Streey The Kremlin, 18
Kazan, Tatarstan 420008
Russia
420010 (Fax)

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