Sensitivity of Czech Commercial Banks to Run on Banks

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Sensitivity of Czech Commercial Banks to Run on Banks

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Sensitivity of Czech Commercial Banks to Run on Banks

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GA13-03783S" target="_blank" >GA13-03783S: Bankovní sektor a měnová politika: Zkušenosti z nových členských zemí EU po desíti letech členství</a><br>

Návaznosti

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

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název periodika

DANUBE: Law and Economic Review

ISSN

1804-6746

e-ISSN

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Svazek periodika

6

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

17

Strana od-do

91-107

Kód UT WoS článku

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EID výsledku v databázi Scopus

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