Default rate in the Czech Republic depending on selected macroeconomic indicators

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Show simple item record Stoklasová, Radmila
dc.contributor.other Ekonomická fakulta cs 2018-06-28 2018-06-28 2018-06-28
dc.identifier.issn 1212-3609
dc.description.abstract The aim of this article is to analyse which macroeconomic indicators affect the default rate in the Czech Republic in the long run and to create a model that would allow to describe the expected share of the default rate depending on the development of selected macroeconomic indicators on the basis of this analysis. The vector error correction model was used for this purpose to determine both long-term and short-term causal relationships. To create the resulting model, the econometric methodology was used, namely unit root tests, Granger causality for the determination of statistically significant relationships, information criteria and the Johansen cointegration test. The results show the validity of expected assumptions in the case of short-term relationships. There was a positive correlation between the unemployment rate and the default rate delayed by one quarter. A negative short-term relationship to the default rate was found in the case of real GDP and in the case of the Czech crown effective exchange rate index with a one-quarter delay. In the case of long-term relationships, surprising results were found regarding GDP and oil price development. As expected, it was found in the long run that the default rate is positively related to the unemployment and effective exchange rate of the Czech crown. The default rate indicator is one of the inputs of the stress testing model developed by the Czech National Bank. The model is based on the time series of the share of outstanding loans and the total amount of loans, and on selected macroeconomic indicators. Achieved empirical results are influenced by the fact that the Czech economy has undergone the period of currency crisis. The data used have the character of quarterly time series in the period from 2005Q1 to 2017Q1. EViews software version 9 was used for the calculations. en
dc.format text
dc.format.extent 14 stran cs
dc.language.iso en
dc.publisher Technická Univerzita v Liberci cs
dc.publisher Technical university of Liberec, Czech Republic en
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dc.relation.ispartof Economics and Management en
dc.rights CC BY-NC
dc.subject ADF test of stationarity en
dc.subject Banking sector en
dc.subject Cointegration test en
dc.subject default rate en
dc.subject VAR model en
dc.subject VECM en
dc.subject.classification C22
dc.subject.classification C32
dc.subject.classification E27
dc.subject.classification G21
dc.title Default rate in the Czech Republic depending on selected macroeconomic indicators en
dc.type Article en
dc.publisher.abbreviation TUL
dc.relation.isrefereed true
dc.identifier.doi 10.15240/tul/001/2018-2-005
dc.identifier.eissn 2336-5604
local.relation.volume 21
local.relation.issue 2
local.relation.abbreviation E+M cs
local.relation.abbreviation E&M en
local.faculty Faculty of Economics
local.citation.spage 69
local.citation.epage 82
local.access open
local.fulltext yes
local.filename EM_2_2018_05

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