Analýza dopadu vybraných proměnných na vývoj nevýkonných hypotečních úvěrů v České republice

Abstract

This master's thesis analyzes the macroeconomic determinants influencing the development of non-performing mortgage loans in the Czech Republic during the period 2010–2025. The aim of the study is to quantify the sensitivity of the inflow of new mortgage defaults to specific income and cost shocks faced by Czech households. The theoretical part defines the concepts of financial stability and macroprudential policy, with an emphasis on the specific characteristics of the domestic mortgage market. The practical part utilizes multiple regression analysis, applying the Newey-West estimator to address autocorrelation and heteroskedasticity in time series data. The primary variables examined include the unemployment rate, real wages, mortgage interest rates, the house price index, and the household saving rate. The results of the empirical investigation confirm that developments in the labor market (unemployment) are the key factor in the growth of credit risk. The thesis provides a comprehensive perspective on the mechanisms of macroeconomic shock transmission into the stability of the banking sector and offers a basis for assessing borrower resilience within the current economic cycle.