CREDIT DYNAMICS AND NON-PERFORMING LOANS IN THE CZECH REPUBLIC: BAYESIAN APPROACH

• Authors: Šulganová Monika
• Languages of publication: EN

Abstracts

EN

The paper deals with the relationship between provided credit and non-per-forming loans (NPL) in the Czech Republic (CR). In the period 1994 – 2016 the CR experienced both periods of rapid credit growth and the transition to market economy followed by a strong convergence process. The aim of the paper is to investigate the effects of credit growth on the NPL dynamics. The selected method is Bayesian estimation with instrumental variables. Results demonstrate positive relationship between the credit growth and the NPL dynamics; however, estimated posterior mean values are rather small and imply that the credit growth influenced the accumulation of credit risk and the origination of the NPL in a modest way. Moreover, the effects are stronger in the CR compared to the prior value (close to zero), which is calculated based on the information obtained from the international empirical studies.

Keywords

EN

BAYESIAN ESTIMATION; CREDIT; GDP; GAP; NON-PERFORMING LOANS; CZECH REPUBLIC

• Publisher: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Journal: Ekonomický časopis (Journal of Economics)
• Year: 2018
• Volume: 66
• Issue: 6
• Pages: 541 – 560

Contributors

author

Šulganová Monika

• VŠB – Technical University of Ostrava, Faculty of Economics, Sokolská třída 33, 701 21 Ostrava, Czech Republic