ASSESSING THE IMPACT OF MACROECONOMIC FACTORS ON LIQUIDITY RISK IN UZBEKISTAN'S COMMERCIAL BANKS: AN EMPIRICAL ANALYSIS USING THE SVAR MODEL
DOI:
https://doi.org/10.5281/zenodo.21637822Abstract
This article evaluates the impact of external macroeconomic factors on the liquidity risk of
commercial banks in Uzbekistan using a Structural Vector Autoregression (SVAR) model. The study empirically
examines the effects of global economic developments, exchange rate dynamics, the Central Bank’s policy
rate, and inflation on bank liquidity. The SVAR model is estimated using monthly statistical data for the selected
period, while impulse response functions are applied to identify the dynamic relationships among the variables.
The results indicate that external economic conditions and fluctuations in the national currency exchange rate
are among the key factors significantly influencing bank liquidity dynamics. The article presents scientific and
practical recommendations aimed at strengthening the liquidity stability of commercial banks, improving their
adaptability to external economic fluctuations, and enhancing the effectiveness of risk management strategies.
Keywords
liquidity risk, SVAR model, external macroeconomic factors, exchange rate, Central Bank’s policy rate, inflation, commercial banksReferences
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