Credit Risk and the Czech Macroeconomy: The Differences between Aggregate and Sectoral Levels

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86086778" target="_blank" >RIV/61989100:27510/13:86086778 - 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

Credit Risk and the Czech Macroeconomy: The Differences between Aggregate and Sectoral Levels

Popis výsledku v původním jazyce

The Czech Republic has been one of the more resistant countries to the global financial crisis, at least at its onset. However, the ensuing global recession have increased credit risk in the Czech banking system as the Czech macroeconomic fundamentals weakened. This paper analyzes the sensitiveness of credit risk, measured by the ratio of non-performing loans to total loans (NPLR) of banks, to changes in macroeconomic fundamentals. The paper uses quarterly data on NPLR from 2002 to 2013 at the aggregateand sectoral levels. The main macroeconomic fundamentals considered are GDP growth, PPI inflation, lending interest rates, and the real effective exchange rate. The authors employ the autoregressive distributed lag (ARDL) approach to estimate the NPLR elasticity to macroeconomic fundamentals. The authors find that the elasticities of aggregate NPLR to macroeconomic fundamentals could be vastly different to the elasticities of sectoral NPLRs. For instance, the elasticity of NPLRs to the

Název v anglickém jazyce

Credit Risk and the Czech Macroeconomy: The Differences between Aggregate and Sectoral Levels

Popis výsledku anglicky

The Czech Republic has been one of the more resistant countries to the global financial crisis, at least at its onset. However, the ensuing global recession have increased credit risk in the Czech banking system as the Czech macroeconomic fundamentals weakened. This paper analyzes the sensitiveness of credit risk, measured by the ratio of non-performing loans to total loans (NPLR) of banks, to changes in macroeconomic fundamentals. The paper uses quarterly data on NPLR from 2002 to 2013 at the aggregateand sectoral levels. The main macroeconomic fundamentals considered are GDP growth, PPI inflation, lending interest rates, and the real effective exchange rate. The authors employ the autoregressive distributed lag (ARDL) approach to estimate the NPLR elasticity to macroeconomic fundamentals. The authors find that the elasticities of aggregate NPLR to macroeconomic fundamentals could be vastly different to the elasticities of sectoral NPLRs. For instance, the elasticity of NPLRs to the

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 14th International Conference on Finance and Banking : 16-17 October 2013, Ostrava, Czech Republic

ISBN

978-80-7248-939-8

ISSN

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e-ISSN

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Počet stran výsledku

10

Strana od-do

267-276

Název nakladatele

Silesian University, School of Business Administration

Místo vydání

Karviná

Místo konání akce

Ostrava

Datum konání akce

16. 10. 2013

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000345575000031