Detailed Information on Publication Record
2020
Default Rate in the Sector Information and Communication Activities in the Czech Republic .
KRKOŠKOVÁ, RadmilaBasic information
Original name
Default Rate in the Sector Information and Communication Activities in the Czech Republic .
Authors
KRKOŠKOVÁ, Radmila (203 Czech Republic, guarantor, belonging to the institution)
Edition
Brno, 38th International Conference on Mathematical Methods in Economics, p. 320-325, 6 pp. 2020
Publisher
Mendel University in Brno Faculty of Business and Economics
Other information
Language
English
Type of outcome
Stať ve sborníku
Field of Study
10103 Statistics and probability
Country of publisher
Czech Republic
Confidentiality degree
není předmětem státního či obchodního tajemství
Publication form
electronic version available online
RIV identification code
RIV/47813059:19520/20:A0000155
Organization unit
School of Business Administration in Karvina
ISBN
978-80-7509-734-7
Keywords in English
ADF test; co-integration test; default rate; macroeconomic factors; sector IC activities; VECM
Změněno: 22/12/2020 08:45, Mgr. Radmila Krkošková, Ph.D.
Abstract
V originále
The main goal of this article is to analyze the relationship between the macroeconomic indicators and the default rate in the sector information and communication activities in the Czech Republic in the both long and short term. 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, and the Johansen cointegration test. The results confirm the existence of relationships between macroeconomic variables and the probability of default in the sector information and communication activities. 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. The empirical results could be influenced by a period of a currency crisis. The data used have the character of quarterly time series in the period from 2005Q1 to 2019Q4. EViews software version 9 was used for the calculations.