تأثير تطبيق نموذج الخسارة الائتمانية المتوقعة على سيولة المصارف دراسة تطبيقية على المصارف التقليدية الخاصة المدرجة في سوق دمشق للأوراق المالية

Abstract

This research aimed to study the impact of applying the Expected Credit Loss (ECL) model on the liquidity of conventional private banks listed on the Damascus Securities Exchange.

This research adopted a descriptive-analytical approach to study the effect of expected credit losses across their three stages on the liquidity ratio in (11) conventional private banks listed on the Damascus Securities Exchange, covering the period from 2019 to 2023. The study utilized balanced Panel Data and applied Panel Least Squares models with fixed effects after selection tests. To ensure estimation accuracy, standard errors were corrected using a White period covariance matrix, and several statistical tests were conducted, including Pesaran CD, Jarque-Bera, and autocorrelation tests. The expected credit loss ratio was calculated by dividing total expected provisions by total exposures.

The research findings indicated that Stage 1 expected credit losses significantly reduce bank liquidity, highlighting the immediate pressure of initial credit risks. In Stage 2, increased credit losses also lead to a decline in liquidity, but with a less severe impact, suggesting a slower effect of delayed risks. Interestingly, Stage 3 losses showed a positive relationship with liquidity, suggesting that banks proactively increase liquidity levels to counter confirmed final losses. This dynamic shift in impact – from strongly negative in Stage 1 to a positive relationship in Stage 3 – underscores banks' adaptive risk management strategies and the need for a tiered liquidity management approach.