The Influence of the Monetary Policy Rate on the Non-Performing Loans and their Determinants

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86086773" target="_blank" >RIV/61989100:27510/13:86086773 - 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

The Influence of the Monetary Policy Rate on the Non-Performing Loans and their Determinants

Popis výsledku v původním jazyce

In the recent years, an interest in the macroprudential policy, its role and interaction with the monetary policy has been rising. There is a need for cooperation between monetary policy makers and prudential regulators to achieve economic and financialstability because changes in monetary policy instruments can influence conducting of the macroprudential policy, and vice versa. The aim of this paper is to investigate the sensitivity of non-performing loans ratio (NPLR) and its macroeconomic determinants to the changes of monetary policy rate. In the empirical analysis we estimate Vector Autoregressive Model containing NPLR, lending rates of companies and households, real economic growth, changes in M2 money, changes in real effective exchange rate ofthe Czech Crown, and Czech National Banks´ monetary policy rate (two week repo rate). Based on the estimation results we found that there are different reactions of the households´ and companies´ lending rate to the monetary shock and NP

Název v anglickém jazyce

The Influence of the Monetary Policy Rate on the Non-Performing Loans and their Determinants

Popis výsledku anglicky

In the recent years, an interest in the macroprudential policy, its role and interaction with the monetary policy has been rising. There is a need for cooperation between monetary policy makers and prudential regulators to achieve economic and financialstability because changes in monetary policy instruments can influence conducting of the macroprudential policy, and vice versa. The aim of this paper is to investigate the sensitivity of non-performing loans ratio (NPLR) and its macroeconomic determinants to the changes of monetary policy rate. In the empirical analysis we estimate Vector Autoregressive Model containing NPLR, lending rates of companies and households, real economic growth, changes in M2 money, changes in real effective exchange rate ofthe Czech Crown, and Czech National Banks´ monetary policy rate (two week repo rate). Based on the estimation results we found that there are different reactions of the households´ and companies´ lending rate to the monetary shock and NP

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/EE2.3.30.0016" target="_blank" >EE2.3.30.0016: Příležitost pro mladé výzkumníky</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2013

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the 11th International Conference Economic Policy in the European Union Member Countries : [18.-20. September 2013, Ostrava]

ISBN

978-80-248-3095-7

ISSN

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e-ISSN

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Počet stran výsledku

9

Strana od-do

217-225

Název nakladatele

VŠB-Technical University of Ostrava

Místo vydání

Ostrava

Místo konání akce

Ostrava

Datum konání akce

18. 9. 2013

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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