The lag length structure of banking determinants of non-performing loans in the Czech Republic

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

The lag length structure of banking determinants of non-performing loans in the Czech Republic

Popis výsledku v původním jazyce

The paper is focused on the modeling of an aggregate credit risk whereby the monitoring of this risk is an important part of macroprudential analysis. Concretely, the aim of the paper is to identify the length of time lags of banking determinants on non-performing loans ratio in the Czech banking system in the period 2002Q1-2015Q1. The aim of the paper is fulfilled with the usage of dynamic linear autoregressive distributed lag (ARDL) model. The preliminary empirical results indicate that the goodness of fit using only the banking determinants is modest. Therefore, the paper also controls for the macroeconomic development. Among banking determinants, the shortest time lag was identified with Herfindahl-Hirschman Index (5 quarters). The rest of the chosen banking determinants influence non-performing loans ratio after a longer time period. Concretely, in the case of loans to assets ratio it is 8 quarters, in the case of FX lending it is 8 and 10 quarters, in the case of interest rate margin it is 5 and 9 quarters, and finally, in the case of credit growth it is 6 and 9 quarters.

Název v anglickém jazyce

The lag length structure of banking determinants of non-performing loans in the Czech Republic

Popis výsledku anglicky

The paper is focused on the modeling of an aggregate credit risk whereby the monitoring of this risk is an important part of macroprudential analysis. Concretely, the aim of the paper is to identify the length of time lags of banking determinants on non-performing loans ratio in the Czech banking system in the period 2002Q1-2015Q1. The aim of the paper is fulfilled with the usage of dynamic linear autoregressive distributed lag (ARDL) model. The preliminary empirical results indicate that the goodness of fit using only the banking determinants is modest. Therefore, the paper also controls for the macroeconomic development. Among banking determinants, the shortest time lag was identified with Herfindahl-Hirschman Index (5 quarters). The rest of the chosen banking determinants influence non-performing loans ratio after a longer time period. Concretely, in the case of loans to assets ratio it is 8 quarters, in the case of FX lending it is 8 and 10 quarters, in the case of interest rate margin it is 5 and 9 quarters, and finally, in the case of credit growth it is 6 and 9 quarters.

Druh

D - Stať ve sborníku

CEP obor

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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

2016

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the 15th International Conference on Finance and Banking

ISBN

978-80-7510-186-0

ISSN

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e-ISSN

neuvedeno

Počet stran výsledku

11

Strana od-do

400-410

Název nakladatele

Silesian University in Opava, School of Business Administration in Karviná

Místo vydání

Karviná

Místo konání akce

Praha

Datum konání akce

13. 10. 2015

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000447679800042