Sensitivity of Czech Commercial Banks to Run on Banks

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F15%3A%230003534" target="_blank" >RIV/47813059:19520/15:#0003534 - isvavai.cz</a>

Result on the web

<a href="http://www.degruyter.com/view/j/danb.2015.6.issue-2/danb-2015-0006/danb-2015-0006.xml?format=INT" target="_blank" >http://www.degruyter.com/view/j/danb.2015.6.issue-2/danb-2015-0006/danb-2015-0006.xml?format=INT</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1515/danb-2015-0006" target="_blank" >10.1515/danb-2015-0006</a>

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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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

<a href="/en/project/GA13-03783S" target="_blank" >GA13-03783S: Banking Sector and Monetary Policy: Lessons from New EU Countries after Ten Years of Membership</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2015

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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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