Non-Performing Loans in the Czech Republic: Lag Structure Identification of the Macroeconomic Determinants
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86086777" target="_blank" >RIV/61989100:27510/13:86086777 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Non-Performing Loans in the Czech Republic: Lag Structure Identification of the Macroeconomic Determinants
Original language description
In recent years, mainly as a result of the financial crisis, the interest in the macroprudential policy and its role as a part of reformed regulatory framework has been rising. Problems in the financial (banking) system may occur if systemic risks, especially credit risk, are not properly managed. In this situation, the financial insta-bility/crisis has a large negative impact on economic activity. Non-performing loans (NPLs) are one of the commonly used indicators of credit risk which, at the system level, show cyclical behavior. The aim of this paper is to identify the structure of time lags of the most important macroeconomic determinants of non-performing loans in the Czech Republic using a linear regression model. The main determinants of NPLs used in the model are its lagged value, real economic growth, inflation, ex-change rate and lending rates. Estimation results suggest that non-performing loans are medium persistent and that the lag length of its main determinants ranges fro
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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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
Mathematical Methods in Economics 2013 : 31st international conference : 11-13 September 2013, Jihlava, Czech Republic
ISBN
978-80-87035-76-4
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
612-618
Publisher name
College of Polytechnics Jihlava
Place of publication
Jihlava
Event location
Jihlava
Event date
Sep 11, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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