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

Author

Listed:
  • 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)

Abstract

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.

Suggested Citation

  • Pavla Klepková Vodová & Daniel Stavárek, 2015. "Factors Affecting Sensitivity of Czech and Slovak Commercial Banks to Bank Run," Working Papers 0020, Silesian University, School of Business Administration.
    • Handle: RePEc:opa:wpaper:0020
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    References listed on IDEAS

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    More about this item

    Keywords

    bank run; liquid asset ratio; scenario analysis; panel data regression analysis;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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