Evaluating macroeconomic models of credit risk: The Czech construction sector

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86090356" target="_blank" >RIV/61989100:27510/14:86090356 - isvavai.cz</a>
Result on the web
<a href="http://www.ekf.vsb.cz/export/sites/ekf/rmfr/cs/sbornik/Sbornik_parts/Sbornik_II.dil.pdf" target="_blank" >http://www.ekf.vsb.cz/export/sites/ekf/rmfr/cs/sbornik/Sbornik_parts/Sbornik_II.dil.pdf</a>
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
Evaluating macroeconomic models of credit risk: The Czech construction sector
Original language description
The global financial crisis hit the Czech Republic in 2008 and caused significant drop in output with damaging impact to the Czech construction sector. Weakening macroeconomic fundamentals led to increase in credit risk in the Czech banking system. Thispaper investigates the credit risk of construction sector measured by non-performing loans ratio. The author employs three different approaches: moving-average (ARMA) model, autoregressive distributed lag (ARDL) model and unrestricted vector autoregressive (VAR) model. Data span covers period from 2002 to 2013 and includes non-performing loans and its macroeconomic determinants: real economic growth, inflation, real effective exchange rate growth and companies´ lending rates. The last part of the paperevaluates forecasting performance of the models. The results suggest that VAR model performs well in data fit but is rather poor in the forecasting exercise.
Czech name
—
Czech description
—

Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Managing and Modeling of Financial Risks : 7th international scientific conference : proceedings : 8th-9th September 2014, Ostrava, Czech Republic. [Part I-III]
ISBN
978-80-248-3631-7
ISSN
—
e-ISSN
—
Number of pages
7
Pages from-to
497-503
Publisher name
VŠB-Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 8, 2014
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
—

Similar results(10)