Forecasting non-performing loans ratio with the use of state space models
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86096039" target="_blank" >RIV/61989100:27510/15:86096039 - isvavai.cz</a>
Result on the web
<a href="http://wis.vsb.cz/ekf/uloziste/2015-frpfi-sbornik/Part_III_web.pdf" target="_blank" >http://wis.vsb.cz/ekf/uloziste/2015-frpfi-sbornik/Part_III_web.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Forecasting non-performing loans ratio with the use of state space models
Original language description
This article employs state-space models with time varying parameters to examine if the effects of macroeconomic determinants on non-performing loans vary significantly over time. The model is applied on the Czech data. The article focuses on non-performing loans ratio as a key indicator of the credit risk materialization at the aggregate level. Performance of the state space models with time varying parameters are also compared with simpler model where the effects of parameters are fixed over time in forecasting exercise. The preliminary results suggest that the effects of macroeconomic determinants on non-performing loans ratio vary over time and allowing for this possibility in the model specification can improve forecasting performance of the model.
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
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)
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Financial Management of Firms and Financial Institutions : 10th international scientific conference : 7th - 8th September 2015, Ostrava, Czech Republic : proceedings. [Part I - IV]
ISBN
978-80-248-3865-6
ISSN
2336-162X
e-ISSN
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Number of pages
6
Pages from-to
777-782
Publisher name
VŠB - Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 7, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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