Foreign and Domestic Currency Loans in Central Europe: An Empirical Analysis
|Author:||Mgr. Nikola Burešová|
|Year:||2013 - summer|
|Leaders:|| prof. Roman Horváth Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||This thesis describes the history and present situation of dollarization process and
analyzes the situation in three new EU member states. It describes the development of the
official and unofficial dollarization of credits and deposits, and concludes the results of
previous studies. Furthermore, it provides a detailed analysis of situation concerning
borrowing denominated in foreign currencies in the Czech, Hungarian and Polish household
sector, for the period of last eleven years.
The empirical analysis investigates the determinants of foreign currency loans in a
household sector. Using three different panel data regressions, we found that share of
foreign currency denominated loans in examined countries are positively influenced by
dollarization of deposits, banks’ net foreign assets and loan to deposit ratio. Other tested
variables, such as EU membership, interest rate differential or exchange rate volatility,
changes their significance and impact according to the model or the method used. Their
impact on a dependent variable is insignificant and not stable.