C23 - Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal ModelsReturn

Credit default swap spreads can be used as an indicator of the potential situation in a firm or economy. The instruments for credit risk management become popular among investors and together with a boom of financial innovation, a credit default swap index contract was introduced in June 2004. Since credit default swap spreads represent an indicator of credit risk, the investors and other market participants are interested in factors that can affect credit default swap spread. The aim of this paper is to examine the influence of selected determinants of contracts included in iTraxx Europe Senior Financials index on credit default swap spreads using monthly changes. To capture the changing role of the selected determinants, a panel regression is employed in the crisis and the post-crisis periods. The results confirm the findings of previous research and show that the theoretical relationships hold in cases when observed determinants are statistically significant. Furthermore we proved that the determinants are dependent on the prevailing market circumstances.

As liquidity problems of some banks during global financial crisis showed, liquidity is very important for functioning of financial markets and the banking sector. This paper therefore aims to identify determinants of liquidity of Hungarian commercial banks. The data cover the period from 2001 to 2010. Results of panel data regression analysis show that bank liquidity is positively related to capital adequacy of banks, interest rate on loans and bank profitability and negatively related to the size of the bank, interest margin, monetary policy interest rate and interest rate on interbank transaction. The relation between the growth rate of gross domestic product and bank liquidity is ambiguous.

The article explores the influence of the selected banking risks on the net interest margin (NIM) of banks in the Czech banking sector. The study estimates potential impact of credit, liquidity, interest and capital risks on the net interest margin. The analysis is carried out with the annual panel data of the Czech Republic banks in the period from 2000 to 2009. Panel regression with fixed effects was used as a key method. From the results of empirical tests it is obvious that the selected risks are not significant determinants of the net interest margin. The estimations acknowledge that the growth of the capital risk causes increase in the net interest margin. Whereas the growth of the liquidity risk is connected with decrease in the net interest margin.