Jump to ContentJump to Main Navigation
Show Summary Details
More options …

DANUBE: Law, Economics and Social Issues Review

4 Issues per year

CiteScore 2016: 0.31

SCImago Journal Rank (SJR) 2016: 0.139
Source Normalized Impact per Paper (SNIP) 2016: 0.460

Open Access
See all formats and pricing
More options …

Sensitivity of Czech Commercial Banks to a Run on Banks

Pavla Klepková Vodová
  • Corresponding author
  • Silesian University in Opava, School of Business Administration in Karviná, Univerzitní nám. 1934/33, 733 40 Karviná, Czech Republic
  • Email
  • Other articles by this author:
  • De Gruyter OnlineGoogle Scholar
Published Online: 2015-07-14 | DOI: https://doi.org/10.1515/danb-2015-0006


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.

Keywords: Liquidity; Liquidity Risk; Scenario Analysis; Run on Bank; Czech Commercial Banks


  • Allen, F.; Gale, D. (1998). Optimal Financial Crises. The Journal of Finance, 53(4), 1245-1284.CrossrefGoogle Scholar

  • BIS. (1996). Amendment to the Capital Accord to Incorporate Market Risks. Basel: Bank for International Settlements.Google Scholar

  • BIS. (2000). Stress Testing by Large Financial Institutions: Current Practice and Aggregation Issues. Basel: Bank for International Settlements.Google Scholar

  • BIS. (2006). International Convergence of Capital Measurement and Capital Standards. A Revised Framework. Basel: Bank for International Settlements.Google Scholar

  • Boss, M.; Fenz, G.; Krenn, G.; Pann, J.; Puhr, C.; Scheiber, T.; Schmitz, S. W.; Schneider, M.; Ubl, E. (2007). Stress Tests for the Austrian FSAP Update 2007: Methodology, Scenarios and Results. In Financial Stability Report, 68-92. Vienna: Oesterreichische Nationalbank.Google Scholar

  • Boss, M.; Krenn, G.; Schvaiger, M.; Wegschaider, W. (2004). Stress Testing the Austrian Banking System. Österreichisches Bankarchiv, 52(11), 841-852.Google Scholar

  • Breuer, T.; Krenn, G. (2000). Identifying Stress Test Scenarios. FachhochschuleVorarlberg and Oesterreichische Nationalbank Working Paper.Google Scholar

  • Bryant, J. (1980). A model of reserves, bank runs, and deposit insurance. Journal of Banking and Finance, 4(4), 335-344.Google Scholar

  • CNB. (2010). Financial Market Supervision Report 2009. Praha: Czech National Bank.Google Scholar

  • CNB. (2013). Financial Market Supervision Report 2012. Praha: Czech National Bank.Google Scholar

  • CNB. (2014). Core and encouraged financial soundness indicators (unconsolidated). Retrieved November 2, 2014, from http://www.cnb.cz/en/supervision_financial_market/aggregate_information_financial_sector/financial_soundness_indicators/fsi_ukazatele_nekons.html.Google Scholar

  • Diamond, D.; Dybvig, P. (1983). Bank runs, deposit insurance, and liquidity. Journal of Political Economy, 91(3), 401-419.CrossrefGoogle Scholar

  • Freixas, X.; Rochet, J. C. (1997). Microeconomics of Banking. Massachusetts: Massachusetts Institute of Technology.Google Scholar

  • Chu, K. H. (2011). Deposit Insurance and Banking Stability. Cato Journal, 31(1), 99-117.Google Scholar

  • Jurča, P.; Rychtárik, Š. (2006). Stress Testing of the Slovak Banking Sector. BIATEC, 14(4), 15-21Google Scholar

  • Kaufman, G. (1988). Bank Runs: Causes, Benefits and Costs. Cato Journal, 7(3), 559-595.Google Scholar

  • Komárková, Z.; Geršl, A.; Komárek, L. (2011). Models for Stress Testing Czech Banks’ Liquidity Risk. Working Paper Series of Czech National Bank, 11.Google Scholar

  • Komárková, Z.;Komárek, L.; Jakubík, P. (2012). Zranitelnost ceského bankovního sektoru. Studie národohospodárského ústavu Josefa Hlávky c. 10. Praha:Národohospodárský ústav Josefa Hlávky.Google Scholar

  • Krenn, G. (2001). Stress Testing by Austrian Banks. In Financial Market Stability Report, 108-116. Vienna: Oesterreichische Nationalbank.Google Scholar

  • Negrila, A. (2010). The Role of Stress-test Scenarios in Risk Management Activities and in the Avoidance of a New Crisis. Theoretical and Applied Economics, 17(2), 5-24Google Scholar

  • Rychtárik, Š. (2009). Liquidity Scenario Analysis in the Luxembourg Banking Sector. BCDL Working Paper, 41.Google Scholar

  • Van den End, J. W. (2008). Liquidity Stress-Tester:Amacro model for stress-testing banks’ liquidity risk. DNB Working Paper, 175.Google Scholar

  • Vodová, P. (2013). Liquidity risk of banks in the Visegrad Countries. An empirical analysis of bank liquidity, its determinants and liquidity risk sensitivity. Saarbrücken: Lambert Academic Publishing. Google Scholar

About the article

Published Online: 2015-07-14

Published in Print: 2015-06-01

Citation Information: DANUBE: Law and Economics Review, Volume 6, Issue 2, Pages 91–107, ISSN (Online) 1804-8285, DOI: https://doi.org/10.1515/danb-2015-0006.

Export Citation

© by Pavla Klepková Vodová. This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License. BY-NC-ND 3.0

Comments (0)

Please log in or register to comment.
Log in