Title: Factors affecting sensitivity of commercial banks to bank run in the Visegrad countries
Authors: Klepková Vodová, Pavla
Stavárek, Daniel
Citation: E+M. Ekonomie a Management = Economics and Management. 2017, č. 3, s. 159-175.
Issue Date: 2017
Publisher: Technická univerzita v Liberci
Document type: článek
URI: www.ekonomie-management.cz/download/1507051173_cbf0/11_FACTORS+AFFECTING+SENSITIVITY.pdf
ISSN: 2336-5604 (Online)
1212-3609 (Print)
Keywords: run na banku;likvidní poměr aktiv;analýza scénářů;panelová regresní analýza dat
Keywords in different language: bank run;liquid asset ratio;scenario analysis;panel data regression analysis
Abstract in different language: While managing liquidity, each bank should be prepared also for unexpected and exceptional events, such as bank runs. The aim of this paper is therefore to determine the maximum volume of deposits that can be withdrawn from individual banks operating in the Visegrad countries and to identify the determinants of their sensitivity to a bank run. The data cover the period from 2000 to 2014. Although bank liquidity, measured by the liquid asset ratio, decreased in all countries during the analyzed period, the level of liquidity differs among countries. We have simulated a bank run as a sudden withdrawal of 20% of client deposits. The ability of individual banks to survive this crisis scenario signifi cantly differs. Nevertheless, as Czech and Hungarian banks were more liquid, they are better prepared for a potential bank run than Polish and Slovak banks. After that, using the panel data regression analysis, we tested seven bank-specifi c factors and seven macroeconomic factors. The sensitivity of commercial banks from the Visegrad countries to a possible bank run is determined mainly by different aspects of bank liquidity (not only the level of bank liquidity, but also connection to bank lending activity, the way of its fi nancing and also activity on the interbank market). Among the other bank specifi c factors, profi tability, capital adequacy and size of the banks are relevant in some countries. When it comes to macroeconomic factors, interest rate and unemployment rate are important. However, we can conclude that the most important factor is the level of bank liquidity: banks with a suffi cient buffer of liquid assets are safer than other banks, particular during periods of fi nancial distress.
Rights: © Technická univerzita v Liberci
CC BY-NC 4.0
Appears in Collections:Číslo 3 (2017)
Číslo 3 (2017)

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Please use this identifier to cite or link to this item: http://hdl.handle.net/11025/26307

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