The Determinants of Liquidity Coverage Ratio for Commercial Banks in Thailand

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研究生：	Supitchar Tatiyathavornkul Supitchar Tatiyathavornkul
論文名稱：	The Determinants of Liquidity Coverage Ratio for Commercial Banks in Thailand The Determinants of Liquidity Coverage Ratio for Commercial Banks in Thailand
指導教授：	陳俊男 Chun-Nan Chen
口試委員:	陳俊男 Chun-Nan Chen 謝劍平 Joseph C.P. Shieh 林軒竹 Hsuan-Chu Lin 陳嬿如 YENN-RU CHEN
學位類別：	碩士 Master
系所名稱：	管理學院 - 財務金融研究所 Graduate Institute of Finance
論文出版年：	2022
畢業學年度：	110
語文別：	英文
論文頁數：	58
中文關鍵詞：	Liquidity Coverage Ratio 、Capital Adequacy Ratio 、Liquidity risk management 、Bank size 、Net Interest Margin 、Loan to Deposit Ratio 、Non-Performing Loan 、Return on Assets 、Commercial Banks 、Thailand
外文關鍵詞：	Liquidity Coverage Ratio, Capital Adequacy Ratio, Liquidity risk management, Bank size, Net Interest Margin, Loan to Deposit Ratio, Non-Performing Loan, Return on Assets, Commercial Banks, Thailand
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One of the most difficult challenges for banks is liquidity risk management. Since it supports several banks’ decisions resulting in a strong and reliable bank transaction including a consumer’s trust. Even if, it is not a novel idea of managing liquidity risk in a commercial, there are not enough measurements proposed to manage liquidity risk in the scientific literature. Therefore, it is obvious that the main factor affecting the banking system is liquidity. In the past, Thailand's financial crisis was a "private sector failure," mainly from careless giving the credit to the customer resulting in the accumulation of non-performing loans. That is why this research aims to examine the correlation between the Liquidity Coverage Ratio (LCR) and its determinants (Capital Adequacy Ratio (CAR), Loan to Deposit Ratio (LDR), Bank size, Net Interest Margin (NIM), Non-Performing Loan (NPL), and Return on Assets (ROA). The researcher used a sample of 14 banks in Thailand from 2016 to 2021 as average data on a quarterly basis. According to the results of this study, all variables, excluding bank size, have no statistically significant influence on the LCR. The LCR has a positive correlation with CAR, LDR, bank size, and NIM, but has a negative relationship with NPL and ROA.

ABSTRACT..................................................................................................................................... I

ACKNOWLEDGEMENTS ............................................................................................................ II

CHAPTER I. INTRODUCTION .................................................................................................... 1

1 Motivation and Background ........................................................................................... 1

2 Research Objective ......................................................................................................... 4

3 Research Questions ......................................................................................................... 5

4 Organizational of this Study ........................................................................................... 5

5 The Limitation of the Research....................................................................................... 6

CHAPTER II. LITERATURE REVIEW ....................................................................................... 7

1 Theoretical Framework ......................................................................................................... 7

1.1 Liquidity preference theory............................................................................................ 7

1.2 Shiftability theory .......................................................................................................... 7

1.3 Agency Theory............................................................................................................... 7

1.4 The Anticipated Income Theory .................................................................................... 8

1.5 Doctrine of Asset Shiftability ........................................................................................ 8

1.6 Theory of Shiftability to The Market ............................................................................. 8

1.7 Risk Management .......................................................................................................... 9

1.8 Financial Flow Model .................................................................................................... 9

1.9 Trade-off Theory ............................................................................................................ 9

1.10 Commercial Loan Theory ............................................................................................ 9

2 Literature Review.................................................................................................................. 9

2.1 Liquidity Coverage Ratio (LCR) ................................................................................... 9

2.2 Capital Adequacy Ratio (CAR) ................................................................................... 11

2.3 Loan to Deposit Ratio (LDR) ...................................................................................... 11

2.4 Bank Size ..................................................................................................................... 12

2.5 Net Interest Margin (NIM)........................................................................................... 12

2.6 Non-Performing Loan (NPL) ....................................................................................... 13

2.7 Return on Assets (ROA) .............................................................................................. 13

3 Research Model .................................................................................................................. 14

CHAPTER III. DATA & METHODOLOGY .............................................................................. 15

1 Empirical Data .................................................................................................................... 15

2 Operational Definition and Variable Measurement ............................................................ 15

2.1 Dependent Variable ..................................................................................................... 15

2.1.1 Liquidity Coverage Ratio (LCR) .......................................................................... 15

2.2 Independent Variable ................................................................................................... 16

2.2.1 Capital Adequacy Ratio (CAR) ............................................................................ 16

2.2.2 Loan to Deposit Ratio (LDR) ............................................................................... 17

2.2.3 Bank Size .............................................................................................................. 18

2.2.4 Net Interest Margin (NIM).................................................................................... 18

2.2.5 Non-Performing Loan (NPL) ................................................................................ 19

2.2.6 Return on Assets (ROA) ....................................................................................... 20

CHAPTER IV. ANALYSIS AND DISCUSSION ....................................................................... 23

1 Research Object .................................................................................................................. 23

2 Descriptive Statistics........................................................................................................... 24

3 Normality Test .................................................................................................................... 25

4 Multicollinearity Test.......................................................................................................... 25

5 Autocorrelation Test ........................................................................................................... 27

6 Heteroscedasticity Test ....................................................................................................... 28

7 Regression ........................................................................................................................... 29

8 Discussion of the Result...................................................................................................... 31

8.2 Loan to Deposit Ratio (LDR) on Liquidity Coverage Ratio (LCR) ............................ 32

8.4 Net Interest Margin (NIM) on Liquidity Coverage Ratio (LCR) ................................ 33

8.5 Non-Performing Loan (NPL) on Liquidity Coverage Ratio (LCR) ............................ 33

8.6 Return on Assets (ROA) on Liquidity Coverage Ratio (LCR) .................................... 34

CHAPTER V. CONCLUSION..................................................................................................... 36

1 Conclusion .......................................................................................................................... 36

2 Recommendation for Future Research................................................................................ 38

APPENDIX ................................................................................................................................... 39

Appendix 1 Descriptive Statistic .............................................................................................. 39

Appendix 2 Normality Test ...................................................................................................... 39

Appendix 3 Multicollinearity Test ............................................................................................ 40

Appendix 4 Autocorrelation Test.............................................................................................. 40

Appendix 5 Heteroscedasticity ................................................................................................. 41

Appendix 6 Regression (Before Newey-West)......................................................................... 41

Appendix 7 Regression (After Newey-West) ........................................................................... 42

REFERENCES ............................................................................................................................. 43

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全文公開日期 2120/06/15 (國家圖書館：臺灣博碩士論文系統)

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