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Is the Exchange Rate a Factor of Bank Liquidity Changes? Study of the Czech Republic

Vlasta Kašparovská (), Jana Laštůvková () and Luboš Střelec
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Vlasta Kašparovská: Department of Finance, Faculty of Business and Economics, Mendel University in Brno, Czech Republic
Jana Laštůvková: Department of Finance, Faculty of Business and Economics, Mendel University in Brno, Czech Republic

Society and Economy, 2016, vol. 38, issue 3, 359-374

Abstract: The effect of the exchange rate is often discussed in connection with economic performance, net export and inflation rate. Within the context of current discussions, we aim to examine the influence of the CZK/EUR exchange rate on changes in liquid assets in the Czech banking sector. The scope of our examination also covers the effects of GDP, CPI, one-month PRIBOR rate and the effects of ten-year government bond yield. The selected period is 2003–2014; monthly data taken from the CNB ARAD database is used. To verify the effect of the monitored variables on liquid assets in the Czech banking sector, we employed the regression analysis methods applied on financial and economic time series. The results show the effect of the CZK/EUR exchange rate and PRIBOR on changes in the liquid assets of Czech banks. The paper analyzes the identified causes and connections, and discusses possible consequences.

Keywords: liquid assets; exchange rate; bonds (search for similar items in EconPapers)
JEL-codes: G17 G19 G21 (search for similar items in EconPapers)
Date: 2016
Note: This paper was supported by the Grant Agency of the Czech Republic under the project ‘Financial crisis, depreciation and credit crunch in the countries of Central and Eastern Europe ’ (nr. 14-28848S).
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