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Determinants of Liquidity Risk in the Countries of the European Economic Area

100%
Wysocka A.
Journal of Banking and Financial Economics
|
2023
|
issue 1(19)
114-136
EN
The paper documents cross-country variation in the relationship between the deposit insurance scheme and liquidity risk in banks and explores the banking sector specific and macroeconomic determinants that can explain the variation. There is a lack of articles exploring the phenomenon in Europe, authors studying the issue focus on the United States and other parts of the world, so it is difficult to apply their results to Europe. The results of their research are also ambiguous. Using data from 28 countries of the European Economic Area by means of panel regression calculated with the use of GLS estimator with random effects, I established that an increase in deposit insurance coverage reduces the risk of liquidity. The study provides new information to help evaluate deposit insurance schemes across EEA countries.
2

Sensitivity of Czech Commercial Banks to a Run on Banks

88%
Klepková Vodová P.
DANUBE: Law and Economics Review
|
2015
|
vol. 6
|
issue 2
91-107
EN
The aim of this paper is to thoroughly evaluate the sensitivity of Czech commercial banks to a run on banks. Our sample includes a significant part of the Czech banking sector in the period 2006-2013. We use three liquidity ratios that we stress via a stress scenario simulating a run on banks accompanied by a 20% withdrawal rate of deposits.We measure the impact of the scenario by the relative changes of these ratios. The results show that, in spite of a decrease in liquidity, most Czech banks would be able to finance such a scenario. The financial crisis influenced bank sensitivity to a run, but with a significant time lag. The severity of the impact of the bank run increases with the size of the bank; large banks are the most vulnerable. The resilience of banks is also determined by their strategy for liquidity risk management.
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