Credit dynamics and non-performing loans in the Czech Republic

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F17%3A86098227" target="_blank" >RIV/61989100:27510/17:86098227 - 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 dynamics and non-performing loans in the Czech Republic

Popis výsledku v původním jazyce

A strand of literature associates rapid credit growth (CG) with the build-up of credit risk during the expansionary phase of business cycle, and its materialization in the downturn (see e.g. Jimenéz and Saurina, 2006 or Festić et al., 2011). Aim of the paper is to investigate the effects of credit growth on credit risk, measured by ratio of non-performing loans to total loans (NPLR), in the Czech Republic (CR) during the period 1994Q2-2016Q2. Chosen Bayesian estimation method with instrumental variables considers possible endogeneity of credit provision developments vis-a-vis non-performing loans (NPLs), and exploits a priori information obtained from international empirical studies. Preliminary results suggest that credit growth in CR influenced the non-performing loans ratio and origination of non-performing loans in a modest way in the researched time period.

Název v anglickém jazyce

Credit dynamics and non-performing loans in the Czech Republic

Popis výsledku anglicky

A strand of literature associates rapid credit growth (CG) with the build-up of credit risk during the expansionary phase of business cycle, and its materialization in the downturn (see e.g. Jimenéz and Saurina, 2006 or Festić et al., 2011). Aim of the paper is to investigate the effects of credit growth on credit risk, measured by ratio of non-performing loans to total loans (NPLR), in the Czech Republic (CR) during the period 1994Q2-2016Q2. Chosen Bayesian estimation method with instrumental variables considers possible endogeneity of credit provision developments vis-a-vis non-performing loans (NPLs), and exploits a priori information obtained from international empirical studies. Preliminary results suggest that credit growth in CR influenced the non-performing loans ratio and origination of non-performing loans in a modest way in the researched time period.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

<a href="/cs/project/EE2.3.20.0296" target="_blank" >EE2.3.20.0296: Výzkumný tým pro modelování ekonomických a finančních procesů na VŠB-TU Ostrava</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

2017

Kód důvěrnosti údajů

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

Název statě ve sborníku

9th International Conference on Currency, Banking and International Finance : &quot;Challenges for Financial Sector of CEE Countries in Overcoming Problems of Economic Integration in the EU&quot;

ISBN

978-80-225-4362-0

ISSN

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e-ISSN

neuvedeno

Počet stran výsledku

7

Strana od-do

255-261

Název nakladatele

Ekonóm

Místo vydání

Bratislava

Místo konání akce

Bratislava

Datum konání akce

20. 9. 2016

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000411851600033