Úvěry v selhání a makroekonomika: modelování systémového kreditního rizika v České republice

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dc.contributor.authorMelecký, Aleš
dc.contributor.authorMelecký, Martin
dc.contributor.authorŠulganová, Monika
dc.date.accessioned2016-03-31T07:08:30Z
dc.date.available2016-03-31T07:08:30Z
dc.date.issued2015
dc.description.abstract-enAggregate non-performing loans are the loans of a banking sector with delayed payments. This paper examines how aggregate non–performing loans (NPLs), as an indicator of aggregate credit risk, respond to macroeconomic developments in the Czech Republic. It uses data for the period 1993–2014 and the Bayesian estimation method of instrumental variables. This method exploits a priori information from similar studies for other countries and considers the potential endogeneity of macroeconomic developments vis-a-vis non-performing loans. The estimation results reveal a strong persistence of NPLs and a signifi cantly positive and robust, effect of economic growth and income effect of the exchange rate on the fi nancial condition of borrowers. We also fi nd a signifi cantly negative and robust effect of lending rates on the fi nancial condition of borrowers. The effects of infl ation and unemployment are signifi cant but not as robust as the experience of other countries suggests. The balance sheet effect of the exchange rate is positive, but its signifi - cance is changing with model specifi cations. 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.cs
dc.description.firstpage921cs
dc.description.issue8cs
dc.description.lastpage947cs
dc.description.sourceWeb of Sciencecs
dc.description.volume63cs
dc.format.extent604913 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.citationPolitická ekonomie. 2015, vol. 63, issue 8, s. 921-947.cs
dc.identifier.doi10.18267/j.polek.1045
dc.identifier.issn0032-3233
dc.identifier.issn2336-8225
dc.identifier.urihttp://hdl.handle.net/10084/111422
dc.identifier.wos000370303300001
dc.language.isocscs
dc.publisherVysoká škola ekonomická v Prazecs
dc.relation.ispartofseriesPolitická ekonomiecs
dc.relation.urihttps://doi.org/10.18267/j.polek.1045cs
dc.rightsCreative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License
dc.rights.accessopenAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectsystemic credit riskcs
dc.subjectCzech banking systemcs
dc.subjectnon-performing loanscs
dc.subjectBayesian estimationcs
dc.subjectinstrumental variablescs
dc.subjecta priori informationcs
dc.titleÚvěry v selhání a makroekonomika: modelování systémového kreditního rizika v České republicecs
dc.title.alternativeNon-performing loans and the macroeconomy: modeling the systemic credit risk in the Czech Republiccs
dc.typearticlecs
dc.type.statusPeer-reviewedcs

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