The lag length structure of banking determinants of non-performing loans in the Czech Republic

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F16%3A86095068" target="_blank" >RIV/61989100:27510/16:86095068 - isvavai.cz</a>
Result on the web
<a href="http://icfb.rs.opf.slu.cz/sites/icfb.rs.opf.slu.cz/files/sulganova.pdf" target="_blank" >http://icfb.rs.opf.slu.cz/sites/icfb.rs.opf.slu.cz/files/sulganova.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
The lag length structure of banking determinants of non-performing loans in the Czech Republic
Original language description
The paper is focused on the modeling of an aggregate credit risk whereby the monitoring of this risk is an important part of macroprudential analysis. Concretely, the aim of the paper is to identify the length of time lags of banking determinants on non-performing loans ratio in the Czech banking system in the period 2002Q1-2015Q1. The aim of the paper is fulfilled with the usage of dynamic linear autoregressive distributed lag (ARDL) model. The preliminary empirical results indicate that the goodness of fit using only the banking determinants is modest. Therefore, the paper also controls for the macroeconomic development. Among banking determinants, the shortest time lag was identified with Herfindahl-Hirschman Index (5 quarters). The rest of the chosen banking determinants influence non-performing loans ratio after a longer time period. Concretely, in the case of loans to assets ratio it is 8 quarters, in the case of FX lending it is 8 and 10 quarters, in the case of interest rate margin it is 5 and 9 quarters, and finally, in the case of credit growth it is 6 and 9 quarters.
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
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 15th International Conference on Finance and Banking
ISBN
978-80-7510-186-0
ISSN
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e-ISSN
neuvedeno
Number of pages
11
Pages from-to
400-410
Publisher name
Silesian University in Opava, School of Business Administration in Karviná
Place of publication
Karviná
Event location
Praha
Event date
Oct 13, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000447679800042

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