MACROECONOMIC DETERMINANTS OF NON-PERFORMING LOANS: AN APPLICATION TO THE CZECH REPUBLIC

被引:0
作者
Melecky, Ales [1 ]
Sulganova, Monika [1 ]
机构
[1] Tech Univ Ostrava, VSB, Ostrava, Czech Republic
来源
INTERNATIONAL CONFERENCE: HRADEC ECONOMIC DAYS 2013 - ECONOMIC DEVELOPMENT AND MANAGEMENT OF REGIONS, PT III | 2013年
关键词
non-performing loans; macroeconomic determinants; macroprudential policy; vector autoregressive model; Czech Republic;
D O I
暂无
中图分类号
F [经济];
学科分类号
02 ;
摘要
The last financial crisis, as the former crises, highlighted the need of wider regulation and supervision framework of financial system. Correct risk management in financial sector (including credit risk management) as a part of regulation and supervision framework helps to promote economic growth. The goal of this paper is to identify macroeconomic risk factors affecting the development of the non-performing loans (NPLs) in the Czech Republic. The causality of mutual relations of NPLs and their determinants is described in a theoretical way. Subsequently the most important macroeconomic factors influencing the NPLs dynamics are identified using the vector autoregressive model. The empirical results confirm a strong dependence of NPLs on the economic cycle and on the factors determining the external economic relations of the Czech Republic which is a small open economy.
引用
收藏
页码:241 / 251
页数:11
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