| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士班 === 100 === After the financial crises of recent years, liquidity risk has become a popular issue when discussing risk management. Financial systems suffer from severe liquidity exposure when market conditions worsen, triggering a lack of liquidity. In the past, banks were the most reliable liquidity provider. However, owing to the euro zone debt crisis, banks have also become a victim of a tightening market. Thus, banks must begin to emphasize the management of liquidity risk.
This paper propounds the use of alternative ways of measuring liquidity risk and investigates the cause of liquidity risk. Our sample consisted of 29 commercial banks in Taiwan over the period 2001 to 2010. The results indicated that the causes of liquidity risk may be divided into several categories, such as liquid assets and dependence on external funds; as well as supervisory and regulatory, and macroeconomics factors. Furthermore, the study found that market risk also exerts varying degrees of influence on bank liquidity risk. Higher paper-bill spread and lower inter-bank rates tend to decrease bank liquidity exposure.
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