Evaluate the Efficiency of Liquidity Management in Russian Banks

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