ASSESSING THE IMPACT OF COMMERCIAL BANK LIQUIDITY ON LOAN PORTFOLIO QUALITY
Keywords:
commercial bank, liquidity, loan portfolio quality, non-performing loans (NPL), risk shifting, liquidity buffer, IFRS-9 expected credit losses, Basel III, LCR, NSFR, macroprudential policy.Abstract
The thesis analyses the theoretical and empirical relationship between the liquidity of commercial banks and the quality of their loan portfolios. Bank liquidity is interpreted as a multidimensional category that combines funding liquidity, market liquidity, deposit stability and access to central-bank facilities; loan-portfolio quality is measured by the share of non-performing loans (NPL), loan-loss provisions and the volatility of expected credit losses under IFRS-9. Drawing on the works of Diamond and Rajan, Berger and Bouwman, Acharya and Naqvi, Cornett, McNutt, Strahan and Tehranian, Beltratti and Stulz, DeYoung and Torna, and IMF and Basel Committee documents, the paper systematises two competing theoretical mechanisms — the risk-shifting channel and the buffer channel — and summarises the empirical evidence.
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References
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