Non-Performing Loans in the Czech Republic: Lag Structure Identification of the Macroeconomic Determinants

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Non-Performing Loans in the Czech Republic: Lag Structure Identification of the Macroeconomic Determinants

Popis výsledku v původním jazyce

In recent years, mainly as a result of the financial crisis, the interest in the macroprudential policy and its role as a part of reformed regulatory framework has been rising. Problems in the financial (banking) system may occur if systemic risks, especially credit risk, are not properly managed. In this situation, the financial insta-bility/crisis has a large negative impact on economic activity. Non-performing loans (NPLs) are one of the commonly used indicators of credit risk which, at the system level, show cyclical behavior. The aim of this paper is to identify the structure of time lags of the most important macroeconomic determinants of non-performing loans in the Czech Republic using a linear regression model. The main determinants of NPLs used in the model are its lagged value, real economic growth, inflation, ex-change rate and lending rates. Estimation results suggest that non-performing loans are medium persistent and that the lag length of its main determinants ranges fro

Název v anglickém jazyce

Non-Performing Loans in the Czech Republic: Lag Structure Identification of the Macroeconomic Determinants

Popis výsledku anglicky

In recent years, mainly as a result of the financial crisis, the interest in the macroprudential policy and its role as a part of reformed regulatory framework has been rising. Problems in the financial (banking) system may occur if systemic risks, especially credit risk, are not properly managed. In this situation, the financial insta-bility/crisis has a large negative impact on economic activity. Non-performing loans (NPLs) are one of the commonly used indicators of credit risk which, at the system level, show cyclical behavior. The aim of this paper is to identify the structure of time lags of the most important macroeconomic determinants of non-performing loans in the Czech Republic using a linear regression model. The main determinants of NPLs used in the model are its lagged value, real economic growth, inflation, ex-change rate and lending rates. Estimation results suggest that non-performing loans are medium persistent and that the lag length of its main determinants ranges fro

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

Mathematical Methods in Economics 2013 : 31st international conference : 11-13 September 2013, Jihlava, Czech Republic

ISBN

978-80-87035-76-4

ISSN

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e-ISSN

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Počet stran výsledku

7

Strana od-do

612-618

Název nakladatele

College of Polytechnics Jihlava

Místo vydání

Jihlava

Místo konání akce

Jihlava

Datum konání akce

11. 9. 2013

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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