Makroekonomické modelovanie agregátneho kreditného rizika pre potreby makroprudenciálnej politiky: aplikácia na Českú republiku

Abstract

The last financial and subsequent economic crisis have highlighted the lack of readiness of countries to monitor and evaluate credit risk, materialization of which has led banking systems of multiple countries to a crisis state. Therefore the subject of the thesis is the modeling of an aggregate credit risk, namely for the needs of macroprudential policy. Concretely, the goal of the thesis is to evaluate effects of aggregate shocks and business cycle on the aggregate credit risk of the banking sector in the Czech Republic during the period 1994-2014. The chosen indicator of an aggregate credit risk is the share of aggregate non-performing loans to total loans granted. The macroeconomic model of credit risk was estimated by the Bayesian estimation method of instrumental variables which exploit a priori information obtained from international empirical studies and consider possible endogeneity of macroeconomic developments vis-a-vis non-performing loans. The estimation results reveal a strong persistence of non-performing loans and a positive impact of real economic growth and inflation on the aggregate credit risk of the Czech banking sector. Conversely, increasing lending rates and unemployment have adverse effects. The distinction between the income and the balance sheet effect of the change in exchange rate seems to be effective. The results imply a positive impact of real depreciation of the koruna and an adverse effect of increase in the nominal exchange rate of koruna to euro. For economic policy, a timely, real depreciation of the koruna in response to rising credit risk could be an effective measure to stabilize the solvency of the banking sector.