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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

  • DOI - Digital Object Identifier

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

  • 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

    Proceedings of the 14th International Conference on Finance and Banking : 16-17 October 2013, Ostrava, Czech Republic

  • ISBN

    978-80-7248-939-8

  • ISSN

  • e-ISSN

  • 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