In this paper we analyse the determinants of liquidity risk of commercial banks by comparing dependencies in two dichotomous groups, including banks operating in the countries of the so-called Old European Union (Austria, Belgium, Germany, Denmark, Spain, Finland, France, the UK, Greece, Ireland, Italy, Portugal) and the countries of the so-called New European Union (Bulgaria, the Czech Republic, Hungary, Poland, Romania, Slovenia, Slovakia). On the basis of two indicators of liquidity risk, we estimate the same group of determinants that co-create microeconomic factors (credit risk, effectiveness level, size of the bank, financial leverage level, engagement in the interbank market) and macroeconomic factors (weighted average for interest rates of the unsecured market of interbank O/N deposits, domestic credit provided by the banking sector to GDP, inflation, GDP). The determinants of liquidity risk specific for banks operating in the countries of the so-called Old European Union are slightly different from those for banks operating in the countries classified as the so-called New European Union [...]