Non-performing Loans and Credit Dynamics in the Czech Republic: Sectoral Differences

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F17%3A10236656" target="_blank" >RIV/61989100:27510/17:10236656 - isvavai.cz</a>

Výsledek na webu

<a href="https://msed.vse.cz/msed_2017/article/160-Hodula-Martin-paper.pdf" target="_blank" >https://msed.vse.cz/msed_2017/article/160-Hodula-Martin-paper.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Non-performing Loans and Credit Dynamics in the Czech Republic: Sectoral Differences

Popis výsledku v původním jazyce

The global financial crisis highlighted the evident unpreparedness of economists to properly identify, monitor and evaluate systemic credit risks. While the Czech banking sector demonstrated relatively high resistance towards financial pressures during the crisis, the systemic credit risk monitoring still remains underresearched. We address this research gap by analysing the components of the most frequently used credit risk indicator - the non-performing loans ratio (NPLR). We contribute to the existing literature by dismantling the NPLR components - the non-performing loans and client loans and analyse them through various economic sectors. For the purpose of the analysis, we construct a large factor-augmented VAR model (FAVAR) of the Czech economy which is not limited to number of variables used as in standard VAR models. We find that there are some striking differences among sectors in their response to lending rate innovations. Our evidence shows that the sectoral differences cannot be disregarded or even neglected in financial stability analysis.

Název v anglickém jazyce

Non-performing Loans and Credit Dynamics in the Czech Republic: Sectoral Differences

Popis výsledku anglicky

The global financial crisis highlighted the evident unpreparedness of economists to properly identify, monitor and evaluate systemic credit risks. While the Czech banking sector demonstrated relatively high resistance towards financial pressures during the crisis, the systemic credit risk monitoring still remains underresearched. We address this research gap by analysing the components of the most frequently used credit risk indicator - the non-performing loans ratio (NPLR). We contribute to the existing literature by dismantling the NPLR components - the non-performing loans and client loans and analyse them through various economic sectors. For the purpose of the analysis, we construct a large factor-augmented VAR model (FAVAR) of the Czech economy which is not limited to number of variables used as in standard VAR models. We find that there are some striking differences among sectors in their response to lending rate innovations. Our evidence shows that the sectoral differences cannot be disregarded or even neglected in financial stability analysis.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

<a href="/cs/project/GA16-22540S" target="_blank" >GA16-22540S: "Jak ty mně, tak já tobě?" Obnovení fiskální a finanční stability bez ohrožení měnové stability</a><br>

Návaznosti

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

Rok uplatnění

2017

Kód důvěrnosti údajů

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

Název statě ve sborníku

The 11th International Days of Statistics and Economics : conference proceedings : September 14-16, 2017, Prague, Czech Republic

ISBN

978-80-87990-12-4

ISSN

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e-ISSN

neuvedeno

Počet stran výsledku

11

Strana od-do

478-488

Název nakladatele

Melandrium

Místo vydání

Slaný

Místo konání akce

Praha

Datum konání akce

14. 9. 2017

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000455325300047