Sensitivity of Czech Commercial Banks to Run on Banks
Result description
The aim of this paper is to thoroughly evaluate the sensitivity of Czech commercial banks to a run on banks. Our sample includes a significant part of the Czech banking sector in the period 2006-2013. We use three liquidity ratios that we stress via a stress scenario simulating a run on banks accompanied by a 20% withdrawal rate of deposits. We measure the impact of the scenario by the relative changes of these ratios. The results show that, in spite of a decrease in liquidity, most Czech banks would beable to finance such a scenario. The financial crisis influenced bank sensitivity to a run, but with a significant time lag. The severity of the impact of the bank run increases with the size of the bank; large banks are the most vulnerable. The resilience of banks is also determined by their strategy for liquidity risk management.
Keywords
liquidityliquidity riskscenario analysisrun on bankCzech commercial banks
The result's identifiers
Result code in IS VaVaI
Result on the web
http://www.degruyter.com/view/j/danb.2015.6.issue-2/danb-2015-0006/danb-2015-0006.xml?format=INT
DOI - Digital Object Identifier
Alternative languages
Result language
angličtina
Original language name
Sensitivity of Czech Commercial Banks to Run on Banks
Original language description
The aim of this paper is to thoroughly evaluate the sensitivity of Czech commercial banks to a run on banks. Our sample includes a significant part of the Czech banking sector in the period 2006-2013. We use three liquidity ratios that we stress via a stress scenario simulating a run on banks accompanied by a 20% withdrawal rate of deposits. We measure the impact of the scenario by the relative changes of these ratios. The results show that, in spite of a decrease in liquidity, most Czech banks would beable to finance such a scenario. The financial crisis influenced bank sensitivity to a run, but with a significant time lag. The severity of the impact of the bank run increases with the size of the bank; large banks are the most vulnerable. The resilience of banks is also determined by their strategy for liquidity risk management.
Czech name
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Czech description
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Classification
Type
Jx - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
DANUBE: Law and Economic Review
ISSN
1804-6746
e-ISSN
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Volume of the periodical
6
Issue of the periodical within the volume
2
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
17
Pages from-to
91-107
UT code for WoS article
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EID of the result in the Scopus database
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Basic information
Result type
Jx - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP
AH - Economics
Year of implementation
2015