Purpose

The purpose of this paper is to explore the micro and macro factors affecting liquidity creation by scheduled commercial banks (excluding Regional Rural Bank) in India from 2005 to 2018.

Design/methodology/approach

Two measures of liquidity creation, the broad and narrow measures, are constructed using RBI data available on Indian banks. System generalized method of moments has been applied to explore the factors affecting liquidity creation.

Findings

This study finds high level of persistence in liquidity creation in banks. Variation in the broad measure is explained by equity ratio, market share, GDP, gross savings and lending rate, whereas the narrow measure is explained by equity ratio, market share, size and lending rate. The Global Financial Crisis had a negative effect on liquidity creation as per both the measures, and the impact was more severe for the broad measure as compared to the narrow measure.

Research limitations/implications

This study finds a positive correlation between bank value and liquidity creation which suggests that the investors favourably evaluate banks that create more liquidity. This study is confined to India only.

Practical implications

There is a negative influence of capital on liquidity created by banks, which implies a trade-off that exists between financial stability and liquidity creation. Basel III norms impose higher capital and liquidity standards which will have negative implications for liquidity creation.

Originality/value

To the best of authors’ knowledge, this is the first study in the Indian context that focusses on factors affecting liquidity creation in a dynamic framework and determines the relationship between liquidity creation and market value of a bank.

中文翻译：

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流动性创造的决定因素，持久性和价值含义：来自印度银行的证据

目的

本文的目的是探讨影响2005年至2018年印度定期商业银行（不包括区域农村银行）创造流动性的微观和宏观因素。

设计/方法/方法

利用印度银行可提供的印度储备银行数据，建立了两种流动性创造指标，即广义和狭义指标。系统广义矩法已被用于探索影响流动性创造的因素。

发现

这项研究发现银行流动性创造的高度持久性。广义度量的变化是由权益比率，市场份额，GDP，总储蓄和贷款利率来解释的，而狭义度量是由权益比率，市场份额，规模和贷款利率来解释的。两种措施均对全球金融危机产生了不利影响，与狭义措施相比，广义措施的影响更为严重。

研究局限/意义

这项研究发现银行价值与流动性创造之间存在正相关关系，这表明投资者对创造更多流动性的银行给予了积极评价。这项研究仅限于印度。

实际影响

资本对银行创造的流动性有负面影响，这意味着在金融稳定与流动性创造之间存在一种权衡。巴塞尔协议III规定了更高的资本和流动性标准，这将对创造流动性产生负面影响。

创意/价值

就作者所知，这是印度背景下的第一项研究，重点研究在动态框架中影响流动性创造的因素，并确定流动性创造与银行市场价值之间的关系。