Non-performing Loans and Credit Dynamics in the Czech Republic: Sectoral Differences

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F17%3A10236656" target="_blank" >RIV/61989100:27510/17:10236656 - isvavai.cz</a>
Result on the web
<a href="https://msed.vse.cz/msed_2017/article/160-Hodula-Martin-paper.pdf" target="_blank" >https://msed.vse.cz/msed_2017/article/160-Hodula-Martin-paper.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Non-performing Loans and Credit Dynamics in the Czech Republic: Sectoral Differences
Original language description
The global financial crisis highlighted the evident unpreparedness of economists to properly identify, monitor and evaluate systemic credit risks. While the Czech banking sector demonstrated relatively high resistance towards financial pressures during the crisis, the systemic credit risk monitoring still remains underresearched. We address this research gap by analysing the components of the most frequently used credit risk indicator - the non-performing loans ratio (NPLR). We contribute to the existing literature by dismantling the NPLR components - the non-performing loans and client loans and analyse them through various economic sectors. For the purpose of the analysis, we construct a large factor-augmented VAR model (FAVAR) of the Czech economy which is not limited to number of variables used as in standard VAR models. We find that there are some striking differences among sectors in their response to lending rate innovations. Our evidence shows that the sectoral differences cannot be disregarded or even neglected in financial stability analysis.
Czech name
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Czech description
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Project
<a href="/en/project/GA16-22540S" target="_blank" >GA16-22540S: "Eye for eye?" Restoring Fiscal and Financial Stability without Jeopardizing Monetary Stability</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
The 11th International Days of Statistics and Economics : conference proceedings : September 14-16, 2017, Prague, Czech Republic
ISBN
978-80-87990-12-4
ISSN
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e-ISSN
neuvedeno
Number of pages
11
Pages from-to
478-488
Publisher name
Melandrium
Place of publication
Slaný
Event location
Praha
Event date
Sep 14, 2017
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000455325300047

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