Politická ekonomie 2015, 63(6):689-713 | DOI: 10.18267/j.polek.1021

Ekonomické a regulatorní podmínky řízení likvidity v bankovním sektoru České republiky v kontextu aplikace poměru likvidního krytí

Naďa Blahová, Karel Brůna
Vysoká škola ekonomická v Praze.

Economic and Regulatory Conditions of Liquidity Management in the Czech Banking Sector in the Context of Application of Liquidity Coverage Ratio

The paper deals with an impact of new Basel III liquidity regulation on bank's liquidity and solvency conditions. It analyzes a change from qualitative to quantitative based regulation and compares bank's liquidity approaches within an application of LCR regulatory measures. Strict defi nition of LCR causes a change in bank's liquidity allocation and funding which is less effective, more costly and restrictive for providing credits comparing with pure economic determinants. Empirical part shows a simulation of an impact of aggregate liquidity shock and credit risk shock on annual rate of capital return consistent with bank's solvency. It proves huge liquidity buffer of the Czech banking sector due to systematic liquidity surplus, its rising capital endowment and high capital profi tability. VAR estimation shows that links among bank's liquidity characteristics, sources of liquidity shocks, market illiquidity and central bank's liquidity facilities withdrawal are quite weak with non-persistent features

Keywords: liquidity management, LCR, Basel III
JEL classification: G21, G28, G32

Published: October 1, 2015  Show citation

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Blahová, N., & Brůna, K. (2015). Economic and Regulatory Conditions of Liquidity Management in the Czech Banking Sector in the Context of Application of Liquidity Coverage Ratio. Politická ekonomie63(6), 689-713. doi: 10.18267/j.polek.1021
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