Determinants of the Liquidity Buffer in Russian Commercial Bank

The recent financial crisis revealed an important problem in the modern banking sector: insufficient quality of valuation and poor liquidity management. The loss of liquidity by the bank may entail a loss of its solvency, which may lead to closure. In this regard, every commercial bank should have the right strategy for managing liquidity. The paper presents the results of an empirical analysis of factors influencing liquidity stocks, using the data of banks related to TOP-100 by asset size, from the fourth quarter of 2004 to the first quarter of 2016. The impact of both intra-bank and macroeconomic factors on the process of creating liquidity, on incentives for banks to accumulate additional liquid assets was studied. It was found that the form of ownership adversely affects the size of the liquidity buffer: banks with state participation, having the opportunity to get support from LOLR, do not have incentives to maintain higher liquidity reserves, because for this it is necessary to sacrifice profitability. Indicators that measure credit risk also negatively affect the size of the buffer, reducing accumulated liquidity. Negative influence was also established in macroeconomic indicators (real GDP index, supply of liquidity in the economy), which tells us about the counter-cyclical policy of the bank for accumulating liquidity. Positive impact on the liquidity buffer was revealed in the capitalization of the bank, which indicates a policy of risk aversion in the management of highly capitalized banks, as they are interested in the stability of the credit institution. The authors did not find statistical confirmation of the assumptions that the bank's profitability, as well as the presence of crisis events and the unemployment rate, have an impact on the bank's liquidity buffer. The research suggests directions for the further development of works on this subject, and also suggests possible ways of applying the results obtained in practice.