Non - performing loans in the Czech Republic: A VECM analysis

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86096048" target="_blank" >RIV/61989100:27510/15:86096048 - isvavai.cz</a>

Výsledek na webu

<a href="http://www.asmmr.com/3rd_abrc_full_2014.pdf" target="_blank" >http://www.asmmr.com/3rd_abrc_full_2014.pdf</a>

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

Non - performing loans in the Czech Republic: A VECM analysis

Popis výsledku v původním jazyce

The paper examines the sensitivity of credit risk of banks, measured by the ratio of non-performing loans to total loans granted (NPLR) to changes in the main macroeconomic drivers of NPLR suggested by empirical literature. The author uses quarterly data from 2002 to 2013 and estimates the sensitivity of the NPLR to GDP growth, PPI inflation, companies’ lending interest rates, households’ lending interest rates and to change of real effective exchange rate of the Czech Crown (CZK). In the empirical analysis author uses Vector error correction model (VECM) which allows to distinguish long run relations and short run dynamics. The author finds that macroeconomic variables are significant determinants of NPLR both in the long run and in the short run. Estimated VECM reveals high and significant impact of change in the households´ lending rate on change of NPLR in the Czech Republic. The Global Financial Crisis which began in 2007 hit the Czech Republic in 2008 as the macroeconomic fundamentals weakened. As a consequence, the credit risk in the Czech banking system has increased. The results may help central authorities to improve preventive action to limit accumulation of credit risk in the Czech economy. Developed VECM could be further enlarge to capture two possible effects of the exchange rate on NPLR, i. e. balance sheet effect and income effect. To my knowledge there is not a published paper applying VECM on the Czech data in this area and there is only one paper on this topic using VAR approach but limited on precrisis period. The lag length selection in the VECM is limited due to employed method and available data span. The data on non-performing loans are in the Czech Republic publicly available only from 2002.

Název v anglickém jazyce

Non - performing loans in the Czech Republic: A VECM analysis

Popis výsledku anglicky

The paper examines the sensitivity of credit risk of banks, measured by the ratio of non-performing loans to total loans granted (NPLR) to changes in the main macroeconomic drivers of NPLR suggested by empirical literature. The author uses quarterly data from 2002 to 2013 and estimates the sensitivity of the NPLR to GDP growth, PPI inflation, companies’ lending interest rates, households’ lending interest rates and to change of real effective exchange rate of the Czech Crown (CZK). In the empirical analysis author uses Vector error correction model (VECM) which allows to distinguish long run relations and short run dynamics. The author finds that macroeconomic variables are significant determinants of NPLR both in the long run and in the short run. Estimated VECM reveals high and significant impact of change in the households´ lending rate on change of NPLR in the Czech Republic. The Global Financial Crisis which began in 2007 hit the Czech Republic in 2008 as the macroeconomic fundamentals weakened. As a consequence, the credit risk in the Czech banking system has increased. The results may help central authorities to improve preventive action to limit accumulation of credit risk in the Czech economy. Developed VECM could be further enlarge to capture two possible effects of the exchange rate on NPLR, i. e. balance sheet effect and income effect. To my knowledge there is not a published paper applying VECM on the Czech data in this area and there is only one paper on this topic using VAR approach but limited on precrisis period. The lag length selection in the VECM is limited due to employed method and available data span. The data on non-performing loans are in the Czech Republic publicly available only from 2002.

Druh

D - Stať ve sborníku

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

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

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název statě ve sborníku

Third Asian Business Research Conference : 15-16 September, 2014 : held at INSEAD Business School, Abu Dhabi, United Arab Emirates : abstracts

ISBN

—

ISSN

2227-7935

e-ISSN

neuvedeno

Počet stran výsledku

9

Strana od-do

45-53

Název nakladatele

Asian Society of Management and Marketing Research

Místo vydání

Abu Dhabi

Místo konání akce

Abú Zabí

Datum konání akce

15. 9. 2014

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

—