Credit risk in the Czech construction Sector

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86090359" target="_blank" >RIV/61989100:27510/14:86090359 - isvavai.cz</a>
Result on the web
<a href="http://mme2014.upol.cz/downloads/MME_2014_Proceedings.pdf" target="_blank" >http://mme2014.upol.cz/downloads/MME_2014_Proceedings.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Credit risk in the Czech construction Sector
Original language description
The global recession has increased credit risk in the Czech banking system as the macroeconomic fundamentals weakened. This led to the reduction of the public spending on construction works. The paper analyzes the sensitiveness of credit risk in the Czech construction sector, measured by the ratio of non-performing loans to total loans (NPLR) granted in this sector by the banking in-stitutions, to changes in macroeconomic fundamentals. The author uses quarter-ly data from 2002 to 2013 and estimates thesensitivity of the NPLR to unem-ployment rate, PPI inflation, lending interest rates, and the change of real effec-tive exchange rate of the Czech Crown (CZK). The author employs a vector er-ror correction model (VECM) which is suitable for cointegratedseries and can distinguish long run relations and short run dynamics. The author finds that, macroeconomic variables are significant determinants of NPLR in Construction sector. VECM reveals high and statistically significant impact of th
Czech name
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Czech description
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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
Mathematical Methods in Economics, MME 2014 : 32nd international conference : September 10-12, 2014, Olomouc, Czech Republic : conference proceedings
ISBN
978-80-244-4209-9
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
643-648
Publisher name
Palacký University
Place of publication
Olomouc
Event location
Olomouc
Event date
Sep 10, 2014
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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