Liquidity of Ukrainian banks under wartime and macro-financial risks
DOI:
https://doi.org/10.26661/2522-1566/2026-3/37-12Keywords:
bank liquidity, liquidity coverage ratio, net stable funding ratio, Ukrainian banks, war risk, capital adequacy, cross-bank heterogeneity, variance decomposition, quantile regressionAbstract
The study aims to assess the distribution of liquidity across Ukrainian banks, examine its association with key prudential indicators, and determine the persistence of between-bank differences under the conditions of the full-scale war. The empirical analysis is based on 24 monthly cross-sections of supervisory data from the National Bank of Ukraine covering September 2024 to August 2026 and comprising 1,444 observations for 66 banks. The methodological framework combines variance decomposition using the intraclass correlation coefficient, 24 separate monthly cross-sectional regressions, a Mundlak specification, a two-way fixed-effects model with bank and month effects, and quantile trend analysis with bank-clustered bootstrap inference. The results show that approximately 78% of the variance in the Liquidity Coverage Ratio (LCR) reflects persistent between-bank differences, with a REML ICC estimate of 0.782. Tier 1 capital adequacy is positively associated with LCR in all 24 monthly cross-sections, while the within-bank and between-bank estimates are similar in magnitude and do not differ statistically according to the Wald test ( ). Quantile analysis identifies a statistically significant decline in the median LCR of 2.10 percentage points per month ( ) and in the 25th percentile ( , whereas no significant trend is detected for the 10th, 75th, or 90th percentiles. The contribution of the study lies in combining bank-level distributional analysis of liquidity with a distinction between persistent between-bank differences and changes within individual banks under the prudential capital framework in force since August 2024. From a practical perspective, the findings support differentiated liquidity monitoring at the individual-bank level rather than reliance solely on aggregate system-wide indicators and regulatory minima. The estimates capture statistical associations and do not imply causal relationships.
JEL: G21, G28, E44, E58.
References
СПИСОК ВИКОРИСТАНИХ ДЖЕРЕЛ
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REFERENCES
Arias, J., Talavera, O., & Tsapin, A. (2022). Bank liquidity and exposure to industry shocks: Evidence from Ukraine. Emerging Markets Review, 53, 100942. https://doi.org/10.1016/j.ememar.2022.100942 [in English].
Berger, A. N., & Bouwman, C. H. S. (2009). Bank liquidity creation. Review of Financial Studies, 22(9), 3779–3837. https://doi.org/10.1093/rfs/hhn104 [in English].
Cornett, M. M., McNutt, J. J., Strahan, P. E., & Tehranian, H. (2011). Liquidity risk management and credit supply in the financial crisis. Journal of Financial Economics, 101(2), 297–312. https://doi.org/10.1016/j.jfineco.2011.03.001 [in English].
Diamond, D. W., & Dybvig, P. H. (1983). Bank runs, deposit insurance, and liquidity. Journal of Political Economy, 91(3), 401–419. https://doi.org/10.1086/261155 [in English].
Druhov, O., & Druhova, V. (2022). Banking system in Ukraine 2022: Before and in wartime. Financial Internet Quarterly, 18(2), 33–48. https://doi.org/10.26354/bb.2.1.86.2022 [in English].
European Central Bank. (2019). On the interaction between different bank liquidity requirements. Macroprudential Bulletin, Issue 9. https://www.ecb.europa.eu/press/financial-stability-publications/macroprudential-bulletin/html/ecb.mpbu201910_2~3237802727.en.html [in English].
Lobozynska, S., Skomorovych, I., & Vladychyn, U. (2022). Activities of the National Bank of Ukraine under martial law. Bezpieczny Bank, 86(1), 49–64. https://doi.org/10.26354/bb.3.1.86.2022 [in English].
Mabandla, N. Z., & Marozva, G. (2026). The effect of regulatory liquidity measure on bank capital structure. Risks, 14(5), 109. https://doi.org/10.3390/risks14050109 [in English].
Sharma, S. (2023). Impact of Basel III liquidity and capital regulations on bank lending and financial stability: Evidence from emerging countries. Journal of Corporate Accounting & Finance, 34(4), 28–45. https://doi.org/10.1002/jcaf.22630 [in English].
Veeramoothoo, S., & Hammoudeh, S. (2022). Impact of Basel III liquidity regulations on U.S. bank performance in different conditional profitability spectrums. North American Journal of Economics and Finance, 63, 101826. https://doi.org/10.1016/j.najef.2022.101826 [in English].
Wezel, T., Barrail, Z., & Dehmej, S. (2026). The Sovereign-Bank Nexus in Emerging Markets and Developing Economies: Trends, Determinants, and Macrofinancial Implications (IMF Working Paper No. 2026/113). International Monetary Fund. https://doi.org/10.5089/9798229047296.001 [in English].
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Petyk, L., & Mishchenko, K. (2024). Otsinka bankivskykh ryzykiv v umovakh viiny [Assessment of banking risks under wartime conditions]. Ekonomika ta suspilstvo – Economy and Society, (65). https://economyandsociety.in.ua/index.php/journal/article/view/4476 [in Ukrainian].
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