Loan loss provisioning in banking sectors of Central Europe: Do local banks really behave in a procyclical way?

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F26138077%3A_____%2F14%3A%230000693" target="_blank" >RIV/26138077:_____/14:#0000693 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Loan loss provisioning in banking sectors of Central Europe: Do local banks really behave in a procyclical way?

Popis výsledku v původním jazyce

This paper sets out to discuss the extent of procyclicality in Central European banks´ lending behaviour and how much the regulatory and accounting framework may contribute to it. The main focus is the behaviour of banks regarding provisioning against impaired financial assets. To examine the potential procyclical behaviour of banks, we applied the model showing the banks´ dependence on the business cycle when provisioning (the left-hand side of the equation) and proxies for the business cycle (the right-hand side of the equation). The variables in the equation can be divided into (i) macroeconomic ones ů growth rate of real GDP per capita and unemployment gap, and (ii) bank-specific variables ? the ratio of loan loss provisions to average total assets, the real loan growth, the ratio of total loans to average total assets, pre-tax earnings ratio, and the ratio of equity capital to average total assets. We employed panel data models with fixed effects.

Název v anglickém jazyce

Loan loss provisioning in banking sectors of Central Europe: Do local banks really behave in a procyclical way?

Popis výsledku anglicky

This paper sets out to discuss the extent of procyclicality in Central European banks´ lending behaviour and how much the regulatory and accounting framework may contribute to it. The main focus is the behaviour of banks regarding provisioning against impaired financial assets. To examine the potential procyclical behaviour of banks, we applied the model showing the banks´ dependence on the business cycle when provisioning (the left-hand side of the equation) and proxies for the business cycle (the right-hand side of the equation). The variables in the equation can be divided into (i) macroeconomic ones ů growth rate of real GDP per capita and unemployment gap, and (ii) bank-specific variables ? the ratio of loan loss provisions to average total assets, the real loan growth, the ratio of total loans to average total assets, pre-tax earnings ratio, and the ratio of equity capital to average total assets. We employed panel data models with fixed effects.

Druh

O - Ostatní výsledky

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GA13-08549S" target="_blank" >GA13-08549S: Pokrizová bankovní regulace a její dopad na ekonomickou aktivitu v malé exportně orientované ekonomice</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů