KRKOŠKOVÁ, Radmila. Default Rate in the Sector Information and Communication Activities in the Czech Republic . Online. In Svatopluk Kapounek, Hana Vránová. 38th International Conference on Mathematical Methods in Economics. Brno: Mendel University in Brno Faculty of Business and Economics, 2020, p. 320-325. ISBN 978-80-7509-734-7.
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Basic 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
Original language English
Type of outcome Proceedings paper
Field of Study 10103 Statistics and probability
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
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
Changed by Changed by: Mgr. Radmila Krkošková, Ph.D., učo 48703. Changed: 22/12/2020 08:45.
Abstract
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.
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