Empirical Analysis of the Long-run Equilibrium of the Czech Economy and Banking Sector
|Author:||Mgr. Anna Pilařová|
|Year:||2004 - summer|
|Leaders:|| doc. Ing. Tomáš Cahlík CSc.
|Work type:|| Finance and Banking
|Awards and prizes:|
|Abstract:||The purpose of this thesis is to discover the long-run equilibrium of the Czech economy and banking sector. In particular, this paper empirically investigates the transmission involving a combination of a small set of macroeconomic and financial data series that describe the transition of the Czech economy over the past decade. After introducing the macroprudential framework to credit risk within the framework of VAR methodology we briefly describe the relevant literature. The key characteristics of the Czech banking sector development is covered in chapter 4. The fifth chapter includes the hypotheses describing the real loans, economic growth and non-performing loans relationships, supported by empirical findings across the US and Euro area. Investigated transmission is presented in chapter 6 and is designed to analyze the competitiveness, credit channel, utilization of domestic capacities and quality of aggregate loan portfolio of a small open economy. In the last chapter Johansen cointegration analysis is applied to the monthly data of the investigated variables. The results do not confirm any earlier suggested long-run relationships between the economic growth, agreggate loans and the share of non-performing loans, in the case of the Czech economy.|