Vliv měnového kurzu na ziskovost bank v České republice

The bachelor thesis examines the impact of exchange rates on the profitability of banks in the Czech Republic between 2013 and 2021. The impact of exchange rates was examined in terms of internal bank variables of foreign exchange positions, namely the share of foreign exchange loans in total loans, the share of foreign exchange liabilities in total liabilities and the net open foreign exchange position to capital. Bank profitability indicators are return on assets, return on equity and net interest margin. The research was carried out on data from the Czech Republic in 2013-2017, including the fact that this was the period when the so-called exchange rate commitment of the central bank was applied. Data from the CNB ARAD time series system and the Czech Statistical Office were used. The hypothesis of the paper is to prove the negative effect of foreign exchange positions on profitability indicators. The ARDL model was used for the analysis and the Error Correction Model and the long-run form of the ARDL model were used to examine the short-run and long-run relationships. The result of the analysis was to confirm the hypothesis that there is a negative relationship between foreign exchange positions of the banking sector and bank profitability, in the short run. The long-term relationship could not be confirmed.