Default Rate in the Czech Republic Depending on Selected Macroeconomic Indicators

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F18%3A00011156" target="_blank" >RIV/47813059:19520/18:00011156 - isvavai.cz</a>

Result on the web

<a href="https://dx.doi.org/10.15240/tul/001/2018-2-005" target="_blank" >https://dx.doi.org/10.15240/tul/001/2018-2-005</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.15240/tul/001/2018-2-005" target="_blank" >10.15240/tul/001/2018-2-005</a>

Result language

angličtina

Original language name

Default Rate in the Czech Republic Depending on Selected Macroeconomic Indicators

Original language description

The aim of this article is to analyse which macroeconomic indicators affect the default rate in the Czech Republic in the long run and to create a model that would allow to describe the expected share of the default rate depending on the development of selected macroeconomic indicators on the basis of this analysis. The vector error correction model was used for this purpose to determine both long-term and short-term causal relationships. To create the resulting model, the econometric methodology was used, namely unit root tests, Granger causality for the determination of statistically significant relationships, information criteria and the Johansen cointegration test. The results show the validity of expected assumptions in the case of short-term relationships. There was a positive correlation between the unemployment rate and the default rate delayed by one quarter. A negative short-term relationship to the default rate was found in the case of real GDP and in the case of the Czech c rown effective exchange rate index with a one-quarter delay. In the case of long-term relationships, surprising results were found regarding GDP and oil price development. As expected, it was found in the long run that the default rate is positively related to the unemployment and effective exchange rate of the Czech crown. The default rate indicator is one of the inputs of the stress testing model developed by the Czech National Bank. The model is based on the time series of the share of outstanding loans and the total amount of loans, and on selected macroeconomic indicators. Achieved empirical results are influenced by the fact that the Czech economy has undergone the period of currency crisis. The data used have the character of quarterly time series in the period from 2005Q1 to 2017Q1. EViews software version 9 was used for the calculations.

Czech name

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Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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OECD FORD branch

10103 - Statistics and probability

Project

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Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2018

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

E+M Ekonomie a Management

ISSN

1212-3609

e-ISSN

—

Volume of the periodical

21

Issue of the periodical within the volume

2

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

14

Pages from-to

69-82

UT code for WoS article

000437424800005

EID of the result in the Scopus database

2-s2.0-85049154607