G21 - Banks; Depository Institutions; Micro Finance Institutions; MortgagesReturn

The aim of the paper is to estimate the determinants of bank stability in the Czech banking sector. The effect of selected bank-specific and macroeconomic variables on bank stability measured by Z-score is examined using econometric analysis. The data set consists of a sample of the Czech banks operating together with macroeconomic factors, and the period of observation is from 2001 to 2020 on an annual basis. Using generalized method of moments, it was found that the determinants that affect the banking stability include the ratio of classified loans to total loans of the bank, capitalization and inflation rate.

The main aim of this paper is to test the impact of the selected macroeconomic indicators and to define the indicators that have the largest influence on the mortgage credit market in the Slovak Republic, the Czech Republic, Poland and Hungary from 2006 to 2016. We choose this particular group of countries because these countries are close, both geographically and economically, and information about them is easily accessible. The individual data are taken quarterly and we obtain them from the websites of national banks, from hypo.org, oecd.org and the Eurostat statistical database of the European Union. With the purpose to fulfill the stated goal, we examine existence and character of relationship between the selected macroeconomic variables and the volume of mortgage loans by the correlation analysis. Macroeconomic indicators for the correlation analysis are inflation rates, unemployment rates and mortgage loans interest rates. The results show that there is a positive correlation between mortgage loans and mortgage loans interest rates in the Slovak and Czech Republic. The results also confirm the positive dependence of the relationship between mortgage loans interest rates and the inflation rates in Poland and the Slovak Republic.

The aim of this paper is to evaluate the liquidity and solvency of commercial banks in the Visegrad countries during the 2000-2016 period and to determine whether banks that belong to a financial conglomerate are more or less liquid and solvent than other banks in the sector. We used four liquidity ratios and one solvency ratio and compared the value of these ratios of banks with the median values in each banking sector. We will focus on banks from five financial conglomerates: Erste Group, KBC Group, Raiffeisen Bank International AG, Société Générale Group and UniCredit Group. All banks that belong to a financial conglomerate in Hungary are more solvent and mostly more liquid than other banks in the Hungarian banking sector. Banks from all analyzed groups held a higher buffer of liquid assets and mostly focus less on providing loans to non-bank customers. As the other results are mixed (for individual financial groups, individual countries, individual financial ratios), we cannot confirm that banks in a financial conglomerate are more or less liquid and solvent than other banks in the banking sector.

The stock prices of companies are influenced by many variables; two basic categories are macroeconomic and microeconomic factors. The objective of this paper is to analyze the existence of a relationship between select microeconomic variables and the stock returns of financial sector companies listed on the Vienna Stock Exchange. The institutions that were chosen are Immofinanz AG, Raiffeisen Bank International AG, Erste Group Bank AG, Uniqa Insurance Group AG and Vienna Insurance Group AG. The focus is on Austria due to the lack of empirical literature on problematics of linkages between stock prices and microeconomic factors. A possibility of the existence of the cointegration relationships can be a useful for share traders and investors who want to make higher profits. A time series with semi-annual frequency are used to examine the occurrence of long-term and short-term cointegration links using the Johansen and the Granger tests. Further the analysis of the Generalized method of moments. The empirical estimates are calculated for the 2005 - 2015 period, which includes the global financial crisis. According to the theory it is expected positive relationship between selected microeconomic variables and the stock returns.

This paper estimates the efficiency of the Slovak commercial banks during the period 2004-2013. We applied the non-parametric Data Envelopment Analysis on the data of the Slovak banks. We simultaneously use two alternative specifications of DEA approach, specifically CCR model and BCC model that differ in returns to scale assumption. The results of DEA models show that the average efficiency computed under the assumption of constant returns to scale ranges from 75 to 92% and the average efficiency estimated under the assumption of variable returns to scale ranges from 91 to 98%. The average efficiency was increasing during the period 2004-2007, but the average efficiency decreased in the period 2008-2012 as a result of the financial crisis. We can see the decrease of total loans and net interest income in the balance sheet of commercial banks during the period 2008-2012. The most effective banks were Vseobecna uverova banka, OTP banka, Privat banka and Slovenska sporitelna.

The aim of this paper was to compare the strategy of liquidity risk management of banks belonging to Erste Group and Societe Generale Group in the region of Central and Eastern Europe. We have used three liquidity ratios and compared values of these ratios of subsidiary banks, parent banks and corresponding banking sectors. The results confirmed that each bank has own strategy which combines defensive and offensive approaches to liquidity. In terms of sources of funding, subsidiaries are much safer than both parents bank. Concerning the buffer of liquid assets, Societe Generale as a parent bank is much more liquid than its subsidiaries and also than Erste Group Bank and its subsidiaries. Differences between values of all ratios for parent banks, subsidiaries and corresponding banking sectors are statistically significant which is proved by the analysis of variance for a single factor.

This article discusses the credit risk, and ways in which it operates in conjunction with the business cycle, as well as the development of credit risk in credit dynamics in the course of the business cycle. Damping of the fluctuations in the credit dynamics in the course of the economic cycle is devoted to, for example, Frait, Komárková (2008). Models of bank financing of Czech corporations and credit risk is discussed in a study Grešl, Jakubik (2008). This article aims to combine these topics and focus on the development of credit risk and its changes over the business cycle. The main hypothesis of the work will be demonstrating the possible link with credit risk financing in various sectors during the phases of the business cycle. The main objective is the analysis of linkages making adjustments and business cycle, as well as analysis of the linearity of the volume of loans and the number of adjustments to individual types of loans.

Continuously growing indebtedness of Czech households is a trend of recent years. Even though the pace of the growth of credits provided to households is not currently reaching such high values as it did in previous years, still household indebtedness is growing every year and the volume of credits granted by banks exceed one billion of Czech crowns at the moment. This paper focuses on the development of the indebtedness of Czech households, its current status and the predicted future development. This topic will be analysed not only on the general level but also from the viewpoint of income and age. The aim of this paper is to analyse the development of Czech household debt at banking institutions, including a prediction of future development. The analysis will be performed using cluster analysis, which occurs in the evaluation of total household indebtedness and to the analysis of household indebtedness according to their income and age structure of the respondents.

This article contains the result of a research, monitoring the rating system of one (non-bank) financial institution in years 2007 - 2009. The essence of the research is a probability of default based on the rating system compared with real figures of defaults. The result of the research illustrates, that the main problem of the rating system is its delay, especially at clients with double-entry bookkeeping. The rating of the most clients is based on two or more years old financial reports (statements). The elimination of this problem would be difficult, where one of the possible solutions is making ratings based on preliminary statements.

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 scale of the impact of the contemporary "American crisis" is undoubtedly global. Many experts believe that the crisis began with the bankruptcy of the 158-year-old investment bank "Lehman Brothers", which was announced on 15 September 2008, although the problems of American investment banks began a few months earlier when "Bear Stearns" was acquired by "JPMorgan Chase", and "Merrill Lynch" was taken over by "Bank of America". The crisis in the U.S. subprime mortgage market has brought into the most serious collapse of global economic activity since so-called "Great Depression" of the 30s of the last century. Today's "American crisis" is described in numerous publications and reports diagnosing its causes, as well as consequences for American and European banking sector and further prospects for development of modern economies in the world. However, while "American crisis" caused serious turmoil in the United States and Europe, one can say that the economy and banking system in China has demonstrated exceptional resistance to its effects. This finding indicates the need to analyze and try to assess the functioning of modern banking sector in China, which has been undertaken in this article.

Financial crisis mentioned on importance of monitoring and observance of condition for regulation of banking activities. One of the regulation areas is the area of regulatory capital determination. By reason of regulation, the efficiency of banks and banking sectors are influenced too. Therefore the aim of this paper is to monitor, if there exist the relation between capital adequacy and efficiency measured by input oriented DEA models in banking sector of EU countries. The analysis was realised by testing of hypothesis. The result was the rejection of null hypothesis points to the fact, that none of used indicators of capital adequacy is able to record trend of efficiency in the banking sector in 2009. Therefore there exist differences between trend of efficiency and trend of capital adequacy that confirms also results of correlation analysis pointing to the fact, that there does exist only low and negative correlation between trends of controlled variables (efficiency vs. capital adequacy).

Article extends the discussion to the problem of adjustments to loan receivables of banks. In recent years the discussion focuses on the objectivity of the bookkeeping of there and on the negative macroeconomic effects of the currently used model.
One of the works objectives of the International Accounting Standards Board (IASB) in 2012 is to decide on the model of bookkeeping of adjustments. The subjects of the solution are three models, that allow to keep accounts of the reduce value of financial instruments - on incurred loss model, a model of expected losses and a model of dynamic provisioning. The aim of the paper is on the based of the description of the essential attributes of the model of dynamic provisioning analyzed impacts of the introducing of the model of dynamic provisioning on the profitability of banks and on the required amount of bank capital and recommend starting point for solving issues in the case of the introduction of this model.

The Markets in Financial Instruments Directive (MiFID), was come into force in November 2007 and broadens the scope of both services and financial instruments covered previously by the Investment Services Directive (ISD). MiFID sets out new policies, processes and the conduct of business rules with clients and controls around how an investment firm works on a daily basis with clients. These rules are differ depending on the classification of the clients themselves (retail client, professional client or eligible counterparty). MiFID sets out the basic information requirements and fiduciary duties of investment firms towars their customers. The objective of this document is to describe the Investments Sales process for non-professional clients including of providing respective investment services to such clients.

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.

This paper focuses on the off-balance sheet activities of the commercial banks in the Czech banking sector. The goal of the paper is to find out some characteristic features of the off-balance sheet activities of the Czech banking sector. The first part of the paper explains what the off-balance sheet items are and what types of off-balance sheet operations exist. The next part is devoted to the aggregate off-balance sheet of banking sector of the Czech Republic and the analysis of its structure. In the following parts the off-balance sheet is compared with the balance sheet and there is assessed the profitability of the off-balance sheet activities. The last part includes the off-balance sheet in the context of the macroeconomic output GDP. The scientific methods used in this research are the description, comparison and analysis.

Risk can be understood as a lack of knowledge about future situations. In the case that is studied in this paper, it concerns the future price of a natural gas. This risk can be hedged by a broad family of strategies. In the paper we study and compare only the most standard strategies on the basis of a simulation study. Within the comparison we use the basic characteristics of probability distribution of the hedging effect and the quantiles of both tails. According to theoretical expectations, the risk is minimal for a covered position, whilst the barrier option means both the highest mean value and risk in sense of the standard deviation.