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Ekonomické a regulatorní podmínky řízení likvidity v bankovním sektoru České republiky v kontextu aplikace poměru likvidního krytí
[Economic and Regulatory Conditions of Liquidity Management in the Czech Banking Sector in the Context of Application of Liquidity Coverage Ratio]


  • Naďa Blahová
  • Karel Brůna


The paper deals with an impact of new Basel III liquidity regulation on bank's liquidity and solvency conditions. It analyzes a change from qualitative to quantitative based regulation and compares bank's liquidity approaches within an application of LCR regulatory measures. Strict defi nition of LCR causes a change in bank's liquidity allocation and funding which is less effective, more costly and restrictive for providing credits comparing with pure economic determinants. Empirical part shows a simulation of an impact of aggregate liquidity shock and credit risk shock on annual rate of capital return consistent with bank's solvency. It proves huge liquidity buffer of the Czech banking sector due to systematic liquidity surplus, its rising capital endowment and high capital profi tability. VAR estimation shows that links among bank's liquidity characteristics, sources of liquidity shocks, market illiquidity and central bank's liquidity facilities withdrawal are quite weak with non-persistent features

Suggested Citation

  • Naďa Blahová & Karel Brůna, 2015. "Ekonomické a regulatorní podmínky řízení likvidity v bankovním sektoru České republiky v kontextu aplikace poměru likvidního krytí [Economic and Regulatory Conditions of Liquidity Management in the," Politická ekonomie, Prague University of Economics and Business, vol. 2015(6), pages 689-713.
  • Handle: RePEc:prg:jnlpol:v:2015:y:2015:i:6:id:1021:p:689-713
    DOI: 10.18267/j.polek.1021

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    References listed on IDEAS

    1. Balasubramanyan, Lakshmi & VanHoose, David D., 2013. "Bank balance sheet dynamics under a regulatory liquidity-coverage-ratio constraint," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 53-67.
    2. Huang, Rocco & Ratnovski, Lev, 2011. "The dark side of bank wholesale funding," Journal of Financial Intermediation, Elsevier, vol. 20(2), pages 248-263, April.
    3. Markus K. Brunnermeier & Lasse Heje Pedersen, 2009. "Market Liquidity and Funding Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 22(6), pages 2201-2238, June.
    4. Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
    5. Hong, Han & Huang, Jing-Zhi & Wu, Deming, 2014. "The information content of Basel III liquidity risk measures," Journal of Financial Stability, Elsevier, vol. 15(C), pages 91-111.
    6. Martin Mandel & Vladimír Tomšík, 2011. "Regulace bankovního sektoru z pohledu ekonomické teorie [Regulation of the Banking Sector From the Economic Theory´s Point of View]," Politická ekonomie, Prague University of Economics and Business, vol. 2011(1), pages 58-81.
    7. Thomas M. Eisenbach & Todd Keister & James J. McAndrews & Tanju Yorulmazer, 2014. "Stability of funding models: an analytical framework," Economic Policy Review, Federal Reserve Bank of New York, issue Feb, pages 29-47.
    8. Imbierowicz, Björn & Rauch, Christian, 2014. "The relationship between liquidity risk and credit risk in banks," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 242-256.
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    More about this item


    liquidity management; LCR; Basel III;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill


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