Abstract:The paper contains an analysis of the economic and regulatory concept of bank liquidity in the context of systemic liquidity shock. A formal model analysis shows that the application of liquidity coverage ratio (LCR) based on Basel III will lead to a significant adaptation of banks liquidity management. LCR causes a change in bank´s liquidity allocation and funding to be less effective and more costly and restrictive for providing credits comparing with economic determinants. It is demonstrated that the application of LCR underestimates actual liquidity position of a bank and leads to allocation ineffectiveness. The empirical part contains simulation of impacts of systemic liquidity shock on the banking sector´s ability to withstand the unfavourable credit shock while solvency is maintained. The results confirm the robustness of the Czech banking system ensuing from the systemic surplus of liquidity, high volume of bank capital and its high profitability. The estimations of the VAR model show that the relations between liquidity characteristics of banks, sources of aggregate liquidity shock, interbank market illiquidity and the credit facilities of the Czech National Bank are relatively weak, supporting the conclusion that the banks face liquidity shocks of non-persistent character.

No abstract

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. www.econstor.eu Terms of use: Documents in Analysis of the Relation between Macroprudential and Microprudential PolicyNada Blahova * Abstract:The article deals with the analysis of a relationship between macroprudential and microprudential policy on a general level and on an example of regulatorily required structure and volume of bank capital. Regulatory requirements and supervisory methods are described in connection with the institutional structure of regulation and supervision within the European economic area. An attention is paid to the development of supervision on an individual basis through consolidated supervision to supplementary supervision of financial conglomerates, which corresponds with the activity and structure of the financial sector, high rate of integration and transboundary action of financial groups headed by a bank. The European System of Financial Supervision and Single Supervisory Mechanism are presented. Development of the regulation of bank capital is analysed. The original microprudential approach is mentioned that involved macroeconomic impacts from its introduction. Based on the analysis of capital structure as conceived from Basel I to Basel III approaches of regulation to this important indicator are discussed. Instability sources and indicative instruments of macroprudential policy are analysed on an example of the excessive growth of credits and leverage as an instability source and countercyclical capital buffer, sectoral capital requirements and leverage ratio in the role of indicative instruments.

No abstract

No abstract