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Investigating the effect of components of sources and expenses of Iran Export Development Bank on its liquidity

Number of pages: 199 File Format: word File Code: 32371
Year: 2011 University Degree: Master's degree Category: Librarianship
Tags/Keywords: bank - cash - Cash management - Development Bank - Expenses - Liquidity - Multiple regression - property - resource components - Resources
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  • Summary of Investigating the effect of components of sources and expenses of Iran Export Development Bank on its liquidity

    Dissertation for Master's degree

    Direction: Accounting

    Abstract:

    Liquidity management in banks is a conflict between risk and return. Lack of liquidity on the one hand, in addition to imposing heavy costs of providing resources (including borrowing from the central bank at high rates), may also drag the bank to the brink of bankruptcy. On the other hand, maintaining liquidity, more than required, will destroy investment opportunities and profitability. Therefore, in order to properly manage liquidity, it is necessary to gain a correct understanding of the factors affecting this sector in order to prevent problems or even crises and optimize the bank's profitability as much as possible by exercising control over each of the factors. One of the common ways to know how the variables influence is to use regression analysis. In addition to specifying the direction, extent and intensity of the influence of the factor(s) on the dependent variable, this kind of analysis also determines the relationship between the independent and dependent variables, which also provides the possibility of forecasting for management.

    The title of this research is "Investigating the effect of components of resources and expenses of Export Development Bank of Iran on its liquidity".

    Resources include: loan deposits, term deposits, other deposits, deposits received from banks, debt to the central bank, facilities received from banks, advances from customers, facilities received from the foreign exchange reserve fund and other sources, and incomes

    and expenses include: claims from the central bank and the government, facilities granted - installment sales, facilities Granting - civil partnership, other granted facilities, overdue claims granted facilities, debtors for letters of credit and guarantees, overdue claims for letters of credit and guarantees, other assets and expenses. By using the balances at the end of the month of the mentioned classes, from the beginning of 2014 to the end of September 2016, using multiple regression and taking into account the basic assumptions of regression, an optimal model was presented that has the highest coefficient of determination and adjusted coefficient of determination as much as possible. This model is highly effective in predicting bank liquidity.

    Keywords: liquidity, liquidity management, sources and expenses, multiple regression, Export Development Bank of Iran.

    Introduction:

    Cash is the most liquid asset of an economic unit, whose management is of particular importance. Surplus or deficit of liquidity makes the organization face problems, each of which incurs costs on the organization. Knowing the inflow and outflow of liquidity and the main factors influencing this flow will be very useful for liquidity management. By identifying the input and output factors and using statistical methods such as multiple regression, the system of resources and expenses and liquidity management can be managed better. In this research, after introducing the components of resources and expenses of Export Development Bank of Iran, identifying the main factors influencing the liquidity of this bank will be done using multiple regression. rtl;">1-1 Introduction

    Cash, as the most liquid and most accessible asset of any economic unit, needs careful management to facilitate the achievement of the unit's goals with better speed and quality. The lack or excess of liquidity makes the unit face issues that show the need for effective management in this sector. In the discussion of liquidity, a plan should be developed for the surplus funds in order to obtain the maximum efficiency from this sector and at the same time prevent the occurrence of a lack of liquidity and its consequences.

    In this research, the effect of the resources and expenses of the Export Development Bank of Iran as inputs and outputs on the liquidity sector is examined and analyzed.

    2-1 - Study history

    Foreign background

    1) Research entitled (Prediction of liquidity provision and favorable banking legislation)[1] by Ron Stenbeka and Azshi[2] in 2007- in this research by presenting The model is devoted to the investigation of small-scale banking[3], (refers to legislative systems that require banks to fully return sight deposits in the form of short-term cash assets).

    In short, in this research, the set of regulatory tools for banks' liquidity has been expanded by adding the ratio of fully cash accounts as another regulatory tool, and it has been shown how the existence of this tool induces self-selection. There are depositors who are divided based on the possibility of facing cash needs.

    This research has pointed out that: . . The optimal policy clearly depended on the return on investment of banks and the return on depositors who faced a liquidity shock. Finally, the optimal and desirable legislative policy is a function of 1) the returns on bank investments and 2) the benefit of the depositor from early withdrawal of his deposit in order to invest elsewhere. pays In this research, by presenting a model, he examines the situation of a bank in different economic conditions and proves 10 theorems, the most important of which are mentioned below:

    Increase in liquidity in crisis conditions increases the bank's risk-taking on its balance sheet (after selling some of its assets in the secondary market) and reduces banking stability.

    Increase in liquidity in conditions A crisis increases the expected loss assuming default.

    An increase in liquidity in normal times increases the bank's retained risk on its balance sheet, but does not affect banking stability.

    An increase in liquidity in normal times increases the expected loss assuming default.

    3) An article entitled "Bank liquidity system and the last refuge (lender)" was published by Lorat Noski [5] in 2008, which focuses on the ways of providing optimal liquidity through borrowing from central banks. The costs that this method imposes on them make them use the central bank in the last step to secure their cash. This research shows the efficiency of this method in the transparent economies of poetry.

    White and Normander model This model assumes that investment distributions are done in a certain time. Inflows and cash flows and outflows and costs are events that fluctuate according to a specific probability distribution. In this model, the decision variable is the amount of cash balance at the beginning of the period that can maximize the expected wealth at the end of the period (Fordoston Wirigham, 1375, pp. 257-266) [6]. Delivering transactions is unnecessary. In this model, there are two control limits, and setting these limits to the outer parts of the control limit, which is the upper limit marked with U and the lower limit marked with L, is the initial stage of the transaction. The internal limits indicated by U-a and L+a determine the actual performance of an equation (Kalinger, 1991, 2248) [7]

    Abstract:

    Liquidity management is a trade-off between risk and yield. lending from central bank) will lead a bank into bankruptcy. On the other hand, keeping liquidity more than required will spoil investment opportunities and profitability. Thus, to manage liquidity appropriately, it is necessary to recognize effective factors in this section to control them with the purpose of preventing problems and even crisis forming and optimizing profitability of the bank as much as possible.

  • Contents & References of Investigating the effect of components of sources and expenses of Iran Export Development Bank on its liquidity

    List:

    Abstract: 1

    Introduction: 2

    Chapter One: General Research

    1-1 Introduction. 4

    2-1 - Study history. 4

    3-1- Statement of the problem. 11

    4-1- The theoretical framework of the research. 13

    5-1- Research hypotheses. 14

    6-1- Research objectives. 15

    7-1- Necessity of conducting research. 16

    8-1- Study limits. 16

    9-1- Independent and dependent variables. 16

    10-1- Definitions of concepts and words. 17

    Chapter Two: Review of Research Literature

    1-2 Introduction. 20

    2-2 liquidity in the bank. 20

    2-2- Liquidity of assets: 22

    3-2- Methods of measuring and measuring liquidity. 22

    4-2- Liquidity models. 23

    1-4-2- Maintenance period model. 24

    2-4-2- William Bomol model. 24

    3-4-2- Miller and Orr model. 25

    4-4-2-Brank model. 25

    5-4-2- Acetone model. 25

    6-4-2- White and Norman model. 25

    7-4-2- demand model for bank money. 26

    8-4-2- Bank profit maximization model with the assumption of maintaining reserves. 26

    9-4-2- profit maximization model for a certain amount of capital. 26

    10-4-2- Money management model. 26

    11-4-2- Ideal planning model in capital budgeting. 26

    5-2- Liquidity management. 27

    6-2- Characteristics of liquidity management system. 28

    7-2- Liquidity management framework. 29

    1-7-2- Determining the main sources of bank liquidity input and output. 29

    2-7-2- Net measurement and management of funds. 30

    3-7-2- Market access management. 33

    4-7-2- Precautionary planning. 33

    8-2- Duties of liquidity manager. 34

    9-2- policies for liquidity management. 34

    1-9-2- asset liquidity management policy. 35

    1-1-9-2- Commercial loan theory. 35

    2-1-9-2- Theory of convertibility. 35

    3-1-9-2- Theory of expected income. 36

    4-1-9-2- Effective factors in asset management. 36

    5-1-9-2- Characteristics of liquid assets. 36

    2-9-2- Debt management policy. 37

    3-9-2- Balanced liquidity management methods (assets and liabilities) 38

    4-9-2- Factors affecting strategy selection. 38

    10-2- Types of liquidity needs. 38

    1-10-2- Liquidity requirement of depositors. 38

    2-10-2- Liquidity needs of borrowers. 39

    3-10-2- Legal reserve. 39

    11-2- Demand and supply of liquidity. 39

    12-2- Resource allocation priorities. 42

    1-12-2- Primary reserves. 42

    2-12-2- Secondary reserves. 43

    3-12-2- Tertiary reserves. 43

    1-3-12-2- Securities portfolio as a resource. 43

    2-3-12-2- Investing in salable securities. 43

    3-3-12-2- Securities selection method. 43

    13-2- Management of banks' resources. 44

    1-13-2- Method of merging funds. 44

    2-13-2- Funds conversion method. 46

    3-13-2- Linear programming method. 47

    4-13-2- Commitment management. 47

    1-4-13-2- Management of liquidity obligations. 48

    2-4-13-2- Management of comprehensive obligations. 49

    5-13-2- Sale of loans and revival of asset management. 49

    14-2- Internal processes of liquidity management system. 50

    1-14-2- Liquidity planning processing. 50

    1-1-14-2- Liquidity budgeting. 50

    2-1-14-2- cash flow forecast. 51

    3-1-14-2- cash flow control. 52

    2-14-2- Management processing of receipts and payments. 52

    1-2-14-2- Ensuring timely realization of cash receipts and payments. 52

    2-2-14-2- Anticipating solutions for early receipts or late payment in order to face liquidity shortage/surplus. 53

    3-14-2- Liquidity reserve management processing. 53

    15-2- Liquidity management information systems. 53

    16-2- The reasons for the bank facing major liquidity problems. 54

    17-2- Types of risk in banks. 55

    1-17-2- operational risk. 55

    2-17-2- Credit risk. 55

    3-17-2- Market risk. 56

    4-17-2- Legal risk. 56

    5-17-2- Liquidity risk. 57

    18-2- Dimensions of liquidity risk. 61

    1-18-2- Financing risk. 61

    2-18-2- Time risk. 61

    3-18-2- Commitment risk. 61

    19-2- Liquidity risk warning indicators. 62

    20-2- Management. 62

    20-2- Risk and liquidity management. 62

    21-2- Liquidity risk management in Islamic banking. 66

    1-21-2- Obstacles of Islamic banking. 66

    22-2- The role of development banks - specialized in the country's economy. 67

    23-2- Familiarity with Iran Export Development Bank. 69

    24-2- Summary of the chapter. 70

    Chapter 3: Research Implementation Method

    1-3 Introduction. 72

    2-3- Research method. 72

    3-3- Analytical model of research. 73

    4-3- The steps of research. 76

    5-3- Research variables. 76

    1-5-3- dependent variable. 76

    2-5-3- independent variables. 76

    1-2-5-3- Sources. 76

    2-2-5-3- Expenses. 77

    6-3- Society and statistical sample. 78

    3-7- Methods and tools of data collection. 78

    8-3- Statistical methods of data analysis. 79

    1-8-3- Linear regression. 79

    2-8-3- Regression analysis and statistical inference. 80

    3-8-3- Regression and analysis of variance. 80

    4-8-3- Solidarity. 81

    1-4-8-3- determination coefficient. 81

    2-4-8-3- correlation coefficient. 81

    5-8-3- The significance test of r (correlation coefficient) 82

    6-8-3- Corrected coefficient of determination. 82

    7-8-3- Multiple regression. 83

    8-8-3 Multiple regression model of research. 83

    1-8-8-3- Methods of choosing suitable variables. 84

    9-3 - Basic assumptions of regression. 85

    10-3- Testing the basic assumptions of regression. 86

    1-10-3- autocorrelation test. 86

    1-1-10-3- Autocorrelation. 86

    2-1-10-3- First order autocorrelation. 87

    3-1-10-3- Durbin-Watson test. 88

    2-10-3- The test of non-normality of the distribution of the residuals (and non-zero average of the residuals) 89

    3-10-3- The test of the inequality of variances of disorder sentences. 89

    1-3-10-3-Brioche-Pagan-Godfrey test. 90

    4-10-3- The significance test of the whole regression. 90

    Chapter Four: Data Analysis

    1-4 Introduction. 92

    2-4- Data description. 92

    4-4- Tests of classic assumptions of regression on the model. 100

    1-4-4- Non-existence of autocorrelation test. 100

    2-4-4- The test of normality of the distribution of residuals (errors) 101

    3-4-4- The test of homogeneity of variance of the residuals. 102

    5-4- Test of research hypotheses. 103

    1-5-4- Testing the first hypothesis. 105

    2-5-4- Second hypothesis test. 105

    3-5-4- Test of the third hypothesis. 105

    4-5-4- Testing the fourth hypothesis. 106

    5-5-4- Testing the fifth hypothesis. 107

    6-5-4- Sixth hypothesis test. 107

    7-5-4- Seventh hypothesis test. 108

    8-5-4- Testing the eighth hypothesis. 108

    9-5-4- Test of the ninth hypothesis. 109

    10-5-4- Tenth hypothesis test. 109

    11-5-4- Test of the eleventh hypothesis. 110

    12-5-4- Testing the twelfth hypothesis. 110

    13-5-4- Test of the thirteenth hypothesis. 110

    14-5-4- Testing the fourteenth hypothesis. 111

    15-5-4- Testing the fifteenth hypothesis. 111

    16-5-4- Test of the sixteenth hypothesis. 112

    17-5-4- Test of the 17th hypothesis. 112

    18-5-4 Test of the 18th hypothesis. 113

    6-4- Summary of the chapter. 113

    Chapter Five: Conclusions and Suggestions

    5-1 Introduction. 116

    2-5- Research results. 116

    3-5- Research limitations. 118

    4-5- Suggestions based on research findings. 119

    5-5- Suggestions for future research. 121

    Appendices

    Sources and sources

    Persian sources. 131

    Latin sources: 133

    Latin abstract. 134

     

    Source:

     

    Persian sources:

    Azer, A., and Mohammad Momeni, 1385, "Statistics and its application in management-statistical analysis", Volume II, Organization for the study and editing of humanities books of universities (Samt), 9th edition.

    Ahmadpour, H., 1387, "Uncertainty and Optimum Strategy in Bank Liquidity Management", Bank and Economy Magazine, No. 95.

    Arjamand Nejad, A., 2014, "Basic Principles for Effective Banking Supervision (Basic Principles of the Ball Committee)", Trend Magazine, Specialized Scientific Journal of the Central Bank, No. 45.

    Schmidt, A., translated by Ali Ghanbari, 2018, "Econometrics", Economics Research Institute, first edition

Investigating the effect of components of sources and expenses of Iran Export Development Bank on its liquidity
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