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

Melecky, Ales and Melecky, Martin and Sulganova, Monika (2014): Úvěry v selhání a makroekonomika: Modelování systémového kreditního rizika v České republice.

Abstract

Agregátní úvěry v selhání jsou úvěry bankovního sektoru se zpožděnými splátkami. Tento článek zkoumá, jak agregátní úvěry v selhání, jakožto indikátor agregátního kreditního rizika, reagují na makroekonomický vývoj v České republice v letech 1993-2014. Naše studie využívá metodu bayesovského odhadu instrumentálních proměnných. Tato metoda používá apriorní informace získané z mezinárodních empirických studií a zohledňuje případnou endogenitu makroekonomického vývoje vzhledem k úvěrům v selhání. Získané výsledky ukazují, že úvěry v selhání vykazují silnou persistenci, že vliv ekonomického růstu a důchodového efektu měnového kurzu na finanční kondici dlužníků je signifikantně pozitivní a robustní, a že efekt výpůjčních sazeb je významně negativní a robustní. Efekt inflace a nezaměstnanosti je významný, avšak ne tak robustní, jak naznačuje zkušenost jiných zemí. Bilanční efekt měnového kurzu je pozitivní, ale jeho významnost se mění spolu se specifikací modelu. Z pohledu tvůrců hospodářské politiky se jeví včasné využití reálné depreciace koruny v případě narůstajícího kreditního rizika jako účinné opatření pro stabilizaci solventnosti bankovního sektoru.

• Item Type: MPRA Paper
• English Title: Non-performing loans and the macroeconomy: Modeling the systemic credit risk in Czech Republic
• Language: Czech
• Keywords: systémové kreditní riziko, český bankovní systém, úvěry v selhání, bayesovský odhad instrumentálních proměnných, apriorní informace.
• Subjects: E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles; G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages; G - Financial Economics > G2 - Financial Institutions and Services > G28 - Government Policy and Regulation

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