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

Non-Performing Loans and The Macroeconomy: Modeling the Systemic Credit Risk in the Czech Republic

Ales Melecky, Martin Melecký and Monika Šulganová

Politická ekonomie, 2015, vol. 2015, issue 8, 921-947

Abstract: Aggregate 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 significantly positive and robust, effect of economic growth and income effect of the exchange rate on the financial condition of borrowers. We also find a significantly negative and robust effect of lending rates on the financial condition of borrowers. The effects of inflation and unemployment are significant but not as robust as the experience of other countries suggests. The balance sheet effect of the exchange rate is positive, but its significance is changing with model specifications. 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.

Keywords: systemic credit risk; non-performing loans; instrumental variables; Czech banking system; bayesian estimation; a priori information (search for similar items in EconPapers)
JEL-codes: E32 G21 G28 (search for similar items in EconPapers)
Date: 2015
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Working Paper: Úvěry v selhání a makroekonomika: Modelování systémového kreditního rizika v České republice (2014)
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DOI: 10.18267/j.polek.1045

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