Factors Affecting Sensitivity of Czech and Slovak Commercial Banks to Bank Run
Pavla Klepková Vodová and
Daniel Stavarek ()
No 20, Working Papers from Silesian University, School of Business Administration
The aim of this paper is to find out the worst-case scenario for individual banks from the Czech and Slovak banking sector and to find out determinants of their sensitivity to the bank run. The data cover the period from 2000 to 2014. Although bank liquidity measured by the liquid asset ratio has decreased in both countries during the analyzed period, Czech banks were more liquid and better prepared for a potential bank run. With the use of panel data regression analysis, we tested seven bank specific factors and seven macroeconomic factors. The sensitivity of Czech and Slovak banks to the possible bank run is determined by bank profitability. Among macroeconomic factors, interest rate and unemployment rate matter. However, the most important is the level of bank liquidity: banks with sufficient buffer of liquid assets are safer than other banks, mainly in periods of financial distress.
Keywords: bank run; liquid asset ratio; scenario analysis; panel data regression analysis (search for similar items in EconPapers)
JEL-codes: C23 G01 G21 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://www.iivopf.cz/images/Working_papers/WPIEBRS ... aVodova_Stavarek.pdf First version, 2015 (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:opa:wpaper:0020
Access Statistics for this paper
More papers in Working Papers from Silesian University, School of Business Administration Contact information at EDIRC.
Bibliographic data for series maintained by David Jančar ().