Default Rate in the Czech Republic Depending on Selected Macroeconomic Indicators

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F18%3A00011156" target="_blank" >RIV/47813059:19520/18:00011156 - isvavai.cz</a>

Výsledek na webu

<a href="https://dx.doi.org/10.15240/tul/001/2018-2-005" target="_blank" >https://dx.doi.org/10.15240/tul/001/2018-2-005</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.15240/tul/001/2018-2-005" target="_blank" >10.15240/tul/001/2018-2-005</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Default Rate in the Czech Republic Depending on Selected Macroeconomic Indicators

Popis výsledku v původním jazyce

The aim of this article is to analyse which macroeconomic indicators affect the default rate in the Czech Republic in the long run and to create a model that would allow to describe the expected share of the default rate depending on the development of selected macroeconomic indicators on the basis of this analysis. The vector error correction model was used for this purpose to determine both long-term and short-term causal relationships. To create the resulting model, the econometric methodology was used, namely unit root tests, Granger causality for the determination of statistically significant relationships, information criteria and the Johansen cointegration test. The results show the validity of expected assumptions in the case of short-term relationships. There was a positive correlation between the unemployment rate and the default rate delayed by one quarter. A negative short-term relationship to the default rate was found in the case of real GDP and in the case of the Czech c rown effective exchange rate index with a one-quarter delay. In the case of long-term relationships, surprising results were found regarding GDP and oil price development. As expected, it was found in the long run that the default rate is positively related to the unemployment and effective exchange rate of the Czech crown. The default rate indicator is one of the inputs of the stress testing model developed by the Czech National Bank. The model is based on the time series of the share of outstanding loans and the total amount of loans, and on selected macroeconomic indicators. Achieved empirical results are influenced by the fact that the Czech economy has undergone the period of currency crisis. The data used have the character of quarterly time series in the period from 2005Q1 to 2017Q1. EViews software version 9 was used for the calculations.

Název v anglickém jazyce

Default Rate in the Czech Republic Depending on Selected Macroeconomic Indicators

Popis výsledku anglicky

The aim of this article is to analyse which macroeconomic indicators affect the default rate in the Czech Republic in the long run and to create a model that would allow to describe the expected share of the default rate depending on the development of selected macroeconomic indicators on the basis of this analysis. The vector error correction model was used for this purpose to determine both long-term and short-term causal relationships. To create the resulting model, the econometric methodology was used, namely unit root tests, Granger causality for the determination of statistically significant relationships, information criteria and the Johansen cointegration test. The results show the validity of expected assumptions in the case of short-term relationships. There was a positive correlation between the unemployment rate and the default rate delayed by one quarter. A negative short-term relationship to the default rate was found in the case of real GDP and in the case of the Czech c rown effective exchange rate index with a one-quarter delay. In the case of long-term relationships, surprising results were found regarding GDP and oil price development. As expected, it was found in the long run that the default rate is positively related to the unemployment and effective exchange rate of the Czech crown. The default rate indicator is one of the inputs of the stress testing model developed by the Czech National Bank. The model is based on the time series of the share of outstanding loans and the total amount of loans, and on selected macroeconomic indicators. Achieved empirical results are influenced by the fact that the Czech economy has undergone the period of currency crisis. The data used have the character of quarterly time series in the period from 2005Q1 to 2017Q1. EViews software version 9 was used for the calculations.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název periodika

E+M Ekonomie a Management

ISSN

1212-3609

e-ISSN

—

Svazek periodika

21

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

14

Strana od-do

69-82

Kód UT WoS článku

000437424800005

EID výsledku v databázi Scopus

2-s2.0-85049154607