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Factors Affecting Sensitivity of Czech and Slovak Commercial Banks to Bank Run

Listed author(s):
  • Pavla Klepková Vodová

    ()

    (Department of Finance and Accounting, School of Business Administration, Silesian University)

  • Daniel Stavárek

    ()

    (Department of Finance and Accounting, School of Business Administration, Silesian University)

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.

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File URL: http://www.iivopf.cz/images/Working_papers/WPIEBRS_20_KlepkovaVodova_Stavarek.pdf
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Paper provided by Silesian University, School of Business Administration in its series Working Papers with number 0020.

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Length: 17 pages
Date of creation: 09 Nov 2015
Handle: RePEc:opa:wpaper:0020
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