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

Author

Listed:
  • 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)

  • Luboš Střelec

    (Department of Statistics and Operation Analysis, Faculty of Business and Economics, Mendel University in Brno, Czech Republic)

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.

Suggested Citation

  • Vlasta Kašparovská & Jana Laštůvková & Luboš Střelec, 2016. "Is the Exchange Rate a Factor of Bank Liquidity Changes? Study of the Czech Republic," Society and Economy, Akadémiai Kiadó, Hungary, vol. 38(3), pages 359-374, September.
    • Handle: RePEc:aka:soceco:v:38:y:2016:i:3:p:359-374
    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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    More about this item

    Keywords

    liquid assets; exchange rate; bonds;
    All these keywords.

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G19 - Financial Economics - - General Financial Markets - - - Other
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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