Households Indebtedness and Financial Stability: Empirical Analysis from the Czech Republic
|Author:||Mgr. Jan Kroupa|
|Year:||2014 - summer|
|Leaders:|| PhDr. Jakub Seidler Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||This thesis studies interconnections between macroeconomic environment and
non-performing loans ratio (NPL) of banking loans provided to households in the Czech
Republic in years 2005–2014. This analysis serves as tool for macroprudential policy to detect
potential risks before negative consequences occur. The thesis examines mutual relations
between households’ non-performing loans ratio and variables capturing macroeconomic
environment such as GDP growth, unemployment rate, CPI, interest rate and exchange rate.
For purposes of this analysis, vector autoregressive approach and vector error correction
model are applied. Based on impulse response analysis, most of expected relations are
confirmed. Generally, favorable macroeconomic conditions increase payback capacity of
households and reduce share of non-performing loans. According to forecast variance
decomposition, increase in unemployment rate is the most serious threat for financial stability
of the country from the perspective of non-performing rate increase.