Credit Risk and the Czech Macroeconomy: The Differences between Aggregate and Sectoral Levels
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86086778" target="_blank" >RIV/61989100:27510/13:86086778 - 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
Credit Risk and the Czech Macroeconomy: The Differences between Aggregate and Sectoral Levels
Original language description
The Czech Republic has been one of the more resistant countries to the global financial crisis, at least at its onset. However, the ensuing global recession have increased credit risk in the Czech banking system as the Czech macroeconomic fundamentals weakened. This paper analyzes the sensitiveness of credit risk, measured by the ratio of non-performing loans to total loans (NPLR) of banks, to changes in macroeconomic fundamentals. The paper uses quarterly data on NPLR from 2002 to 2013 at the aggregateand sectoral levels. The main macroeconomic fundamentals considered are GDP growth, PPI inflation, lending interest rates, and the real effective exchange rate. The authors employ the autoregressive distributed lag (ARDL) approach to estimate the NPLR elasticity to macroeconomic fundamentals. The authors find that the elasticities of aggregate NPLR to macroeconomic fundamentals could be vastly different to the elasticities of sectoral NPLRs. For instance, the elasticity of NPLRs to the
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
Proceedings of the 14th International Conference on Finance and Banking : 16-17 October 2013, Ostrava, Czech Republic
ISBN
978-80-7248-939-8
ISSN
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e-ISSN
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Number of pages
10
Pages from-to
267-276
Publisher name
Silesian University, School of Business Administration
Place of publication
Karviná
Event location
Ostrava
Event date
Oct 16, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000345575000031