Default rate in the Czech Republic depending on selected macroeconomic indicators

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dc.contributor.authorStoklasová, Radmila
dc.date.accessioned2019-02-26T13:17:15Z
dc.date.available2019-02-26T13:17:15Z
dc.date.issued2018
dc.description.abstract-translatedThe 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.format14 s.cs
dc.format.mimetypeapplication/pdf
dc.identifier.citationE+M. Ekonomie a Management = Economics and Management. 2018, roč. 21, č. 2, s. 69-82.cs
dc.identifier.doihttps://dx.doi.org/10.15240/tul/001/2018-2-005
dc.identifier.issn2336-5604 (Online)
dc.identifier.issn1212-3609 (Print)
dc.identifier.urihttp://hdl.handle.net/11025/31079
dc.language.isoenen
dc.publisherTechnická univerzita v Libercics
dc.relation.ispartofseriesE+M. Ekonomie a Management = Economics and Managementcs
dc.rightsCC BY-NC 4.0en
dc.rights.accessopenAccessen
dc.subjectADF test stacionaritycs
dc.subjectbankovní sektorcs
dc.subjectkointegrační testcs
dc.subjectstandardní sazbacs
dc.subjectmodel VARcs
dc.subjectVECMcs
dc.subject.translatedADF test of stationarityen
dc.subject.translatedbanking sectoren
dc.subject.translatedcointegration testen
dc.subject.translateddefault rateen
dc.subject.translatedVAR modelen
dc.subject.translatedVECMen
dc.titleDefault rate in the Czech Republic depending on selected macroeconomic indicatorsen
dc.typečlánekcs
dc.typearticleen
dc.type.statusPeer-revieweden
dc.type.versionpublishedVersionen

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