Řízení likvidity bank a finančních institucí

The aim of this thesis is to analyze the impact of macroeconomic shocks on the volume of bank deposits in CZK and EUR, as a key parameter in the liquidity management of financial institutions. The research is conducted using a Structural Vector Autoregression (SVAR) model based on a combination of zero and sign restrictions. The model includes the following macroeconomic variables: GDP, inflation, unemployment, interest rates, volatility, and the EUR/CZK exchange rate. The analysis is based on quarterly data covering the period from 2002Q1 to 2024Q4. The model is evaluated through impulse response functions (IRFs) and forecast error variance decomposition (FEVD). The results indicate that none of the analyzed shocks constitutes a dominant source of deposit variability. For CZK deposits, demand and financial shocks account for a slightly larger share of the explained variance, while in the case of EUR deposits, the effects of individual shocks are more evenly distributed. The impulse responses mostly fluctuate around zero without a clear trend and are accompanied by wide confidence intervals, which significantly limit their statistical significance. In conclusion, despite minor differences between the currencies, the model does not provide evidence of a strong and systematic response of deposits to macroeconomic impulses. The findings rather suggest a combined influence of multiple smaller factors rather than the dominance of any particular shock. Future research may benefit from expanding the dataset, segmenting deposits by client type, or applying more advanced models such as nonlinear or Bayesian approaches.