ANALYZING LIQUIDITY RISK MANAGEMENT AND EFFECTS ON BANK PERFORMANCE: EVIDENCE FROM CONVENTIONAL BANKS IN MOROCCO
Received: 30.04.2021; Revised: 29.06.2021, Accepted: 28.07.2021, Published Online: 10.08.2021
Doctoral Student, ENCG- Fès, University of Sidi Mohamed Ben Abdellah Fès.
University Professor, ENCG- Fès, University of Sidi Mohamed Ben Abdellah Fès
The current research aims to analyse the effects of liquidity risk management and on the banks performance measures using two key indicators namely return on assets (ROA) and return of equity (ROE) of the conventional banks of Morocco and the liquidity risk management indicators measured by loan to deposit ratio and cash to total asset ratio. Based on selected conventional banks over the period from 2005 to 2015, the study also interested to examine the effect of the respective variable during the financial global crisis. Vector autoregressive models VAR were used in this study for multivariate time series. The results indicated that liquidity risk management positively and significantly influence the bank performance. Also, the findings of the study might contribute towards improving the existed literature on the risk management of the conventional banks by providing better understanding on the issues regarding the liquidity risk management of the conventional banks in Morocco.
Keywords: return on assets, return of equity, bank performance, VAR models, Morocco