Effect of macroeconomic on liquidity risk in Iranian banks

liquidity as the ability of bank to fund increases in assets and meet obligations as they come due, without incurring unacceptable losses. Liquidity risk arises from the fundamental role of banks in the maturity transformation of short-term deposits into long-term loans. In recent years, the Iranian economy has experienced change such as rising inflation, falling domestic GDP and exchange rate fluctuations,. These changes have affected banks liquidity and have reduced the banks liquidity and increased liquidity risk. In this paper, the effect of macroeconomic variables on liquidity risk has been measured using the financial statements of Iranian banks during the period of 2006-2017. The financial ratios approach has been used to measure liquidity risk. The results of this study indicate that the effect of macro variables on liquidity risk has been significant. GDP, short-term interest rates, interest rates and exchange rates have a positive effect on liquidity risk, and the inflation, Share of public expenditures on gross domestic product have a negative effect on liquidity risk.

Keywords:

Liquidity risk , macroeconomic , liquidity , Panel Data