文章基本信息

标题：The management and the analysis of the commercial banks’ liquidity risk
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作者：cozma, Maria-Daciana RODEAN ; Balteş, Nicolae ; piko, Georgiana Daniela MINCULETE 等
期刊名称：Theoretical and Applied Economics
印刷版ISSN：1841-8678
电子版ISSN：1844-0029
出版年度：2016
卷号：XXIII
期号：Special(I)
页码：251-259
出版社：Asociatia Generala a Economistilor din Romania - AGER
摘要：Maintaining an optimal level of a commercial bank’ existing liquidity is one of its management and supervisors priority. The difficulties that faced commercial banks during the crisis and post-crisis (bankruptcy, accessing loans of last resort) led supervisors to tighten the liquidity standards, but also to adopt a monetary policy able to relax the real economy. The aim of the study was to analyze the liquidity risk of commercial banks listed on the Bucharest Stock Exchange, over a period of five years (2010-2014) and to identify a relationship between the monetary policy interest rates, credit and deposit facility and the assets, liabilities and net position in both the short (up to 1 year) and long term (over one year). Research results have shown that the net-short term position, in case of all four banks presents a pronounced imbalance, because of the lack of correlation of the existing maturities between assets and liabilities. The downward trend registered by the monetary policy interest rate, the rates on credit and deposit facilities significantly affect the net short positions of commercial banks that were included in the survey.
关键词：liquidity risk; Pearson Coefficient; net liquidity position; monetary policy interest rate.