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Macroeconomic determinants of non-performing loans:an application to the Czech Republic

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86084300" target="_blank" >RIV/61989100:27510/13:86084300 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Macroeconomic determinants of non-performing loans:an application to the Czech Republic

  • Original language description

    The last financial crisis, as the former crises, highlighted the need of wider regulation and supervision framework of financial system. Correct risk management in financial sector (including credit risk management) as a part of regulation and supervision framework helps to promote economic growth. The goal of this paper is to identify macroeconomic risk factors affecting the development of the non-performing loans (NPLs) in the Czech Republic. The causality of mutual relations of NPLs and their determinants is described in a theoretical way. Subsequently the most important macroeconomic factors influencing the NPLs dynamics are identified using the vector autoregressive model. The empirical results confirm a strong dependence of NPLs on the economic cycle and on the factors determining the external economic relations of the Czech Republic which is a small open economy.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

    <a href="/en/project/EE2.3.30.0016" target="_blank" >EE2.3.30.0016: Opportunities for young researchers</a><br>

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2013

  • Confidentiality

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

Data specific for result type

  • Article name in the collection

    Hradecké ekonomické dny 2013 : ekonomický rozvoj a management regionů : mezinárodní vědecká konference. Díl III

  • ISBN

    978-80-7435-251-5

  • ISSN

  • e-ISSN

  • Number of pages

    509

  • Pages from-to

    241-251

  • Publisher name

    Gaudeamus

  • Place of publication

    Hradec Králové

  • Event location

    Hradec Králové

  • Event date

    Feb 19, 2013

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article