Default Rate in the Czech Republic Depending on Selected Macroeconomic Indicators

@article{32037,
   author = {Krkošková, Radmila},
   article_number = {2},
   keywords = {ADF test of stationarity; Banking sector; Cointegration test; default rate; VAR model; VECM},
   language = {eng},
   issn = {1212-3609},
   journal = {E @ M EKONOMIE A MANAGEMENT},
   title = {Default Rate in the Czech Republic Depending on Selected Macroeconomic Indicators},
   volume = {21},
   year = {2018}
}

TY  - JOUR
ID  - 32037
AU  - Krkošková, Radmila
PY  - 2018
TI  - Default Rate in the Czech Republic Depending on Selected Macroeconomic Indicators
JF  - E @ M EKONOMIE A MANAGEMENT
VL  - 21
IS  - 2
SP  - 69-82
EP  - 69-82
SN  - 12123609
KW  - ADF test of stationarity
KW  - Banking sector
KW  - Cointegration test
KW  - default rate
KW  - VAR model
KW  - VECM
N2  - The 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.
ER  - 

KRKOŠKOVÁ, Radmila. Default Rate in the Czech Republic Depending on Selected Macroeconomic Indicators. \textit{E @ M EKONOMIE A MANAGEMENT}. 2018, roč.~21, č.~2, s.~69-82. ISSN~1212-3609.