Sensitivity of Czech Commercial Banks to Run on Banks

Pavla Klepková Vodová

DANUBE: Law and Economics Review, 2015, issue 2, 91-107

Abstract: 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 be able 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: Liquidity; Liquidity Risk; Scenario Analysis; Run on Bank; Czech Commercial Banks (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.eaco.eu/wp-content/uploads/2015/07/klepkova.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cmn:journl:y:2015:i:2:p:91-107

Access Statistics for this article

More articles in DANUBE: Law and Economics Review from European Association Comenius - EACO
Bibliographic data for series maintained by Helena Campbelle ().