Macroeconomic determinants for non-performing loans dynamic – the case of the Czech Republic
|Author:||Mgr. Jana Doutnáčová|
|Year:||2013 - summer|
|Leaders:|| PhDr. Jakub Seidler Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||The thesis investigates the linkages between macroeconomic performance and
banks loans portfolio quality represented by the non-performing loans ratio in the
Czech banking system in years 2003–2013. The empirical analysis evaluates how
banks non-performing loans are influenced by several macroeconomic indicators
such as GDP, inflation, interest rate, unemployment rate and exchange rate. First
we investigate loans quality on the aggregate level, next we analyze the quality of
loans of households and non-financial corporations sector separately as the
macroeconomic variables may affect these two sectors of borrowers differently.
Finally the analysis of mutual links is done for different loan categories according to
the level of failure also. The empirical results from vector autoregression model and
impulse response analysis generally suggest that favorable macroeconomic
conditions improve banks loans quality by lowering the non-performing loans ratio
and vice versa. The thesis also identifies the feedback effect of increasing nonperforming
loans ratio on economic performance.