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| Description
| - The global recession has increased credit risk in the Czech banking system as the macroeconomic fundamentals weakened. This led to the reduction of the public spending on construction works. The paper analyzes the sensitiveness of credit risk in the Czech construction sector, measured by the ratio of non-performing loans to total loans (NPLR) granted in this sector by the banking in-stitutions, to changes in macroeconomic fundamentals. The author uses quarter-ly data from 2002 to 2013 and estimates the sensitivity of the NPLR to unem-ployment rate, PPI inflation, lending interest rates, and the change of real effec-tive exchange rate of the Czech Crown (CZK). The author employs a vector er-ror correction model (VECM) which is suitable for cointegrated series and can distinguish long run relations and short run dynamics. The author finds that, macroeconomic variables are significant determinants of NPLR in Construction sector. VECM reveals high and statistically significant impact of the change in the companies´ lending rate and unemployment rate to the change of NPLR in the Czech Republic. These findings may help policymakers to better understand behavior of NPLR in this endangered sector and improve their reaction in order to prevent possible spillovers to the entire economy.
- The global recession has increased credit risk in the Czech banking system as the macroeconomic fundamentals weakened. This led to the reduction of the public spending on construction works. The paper analyzes the sensitiveness of credit risk in the Czech construction sector, measured by the ratio of non-performing loans to total loans (NPLR) granted in this sector by the banking in-stitutions, to changes in macroeconomic fundamentals. The author uses quarter-ly data from 2002 to 2013 and estimates the sensitivity of the NPLR to unem-ployment rate, PPI inflation, lending interest rates, and the change of real effec-tive exchange rate of the Czech Crown (CZK). The author employs a vector er-ror correction model (VECM) which is suitable for cointegrated series and can distinguish long run relations and short run dynamics. The author finds that, macroeconomic variables are significant determinants of NPLR in Construction sector. VECM reveals high and statistically significant impact of the change in the companies´ lending rate and unemployment rate to the change of NPLR in the Czech Republic. These findings may help policymakers to better understand behavior of NPLR in this endangered sector and improve their reaction in order to prevent possible spillovers to the entire economy. (en)
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| Title
| - Credit risk in the Czech construction Sector
- Credit risk in the Czech construction Sector (en)
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| skos:prefLabel
| - Credit risk in the Czech construction Sector
- Credit risk in the Czech construction Sector (en)
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| skos:notation
| - RIV/61989100:27510/14:86090359!RIV15-MSM-27510___
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| http://linked.open...avai/riv/aktivita
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| http://linked.open...avai/riv/aktivity
| - P(EE2.3.30.0016), P(GA13-20613S)
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| http://linked.open...vai/riv/dodaniDat
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| http://linked.open...aciTvurceVysledku
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| http://linked.open.../riv/druhVysledku
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| http://linked.open...iv/duvernostUdaju
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| http://linked.open...titaPredkladatele
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| http://linked.open...dnocenehoVysledku
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| http://linked.open...ai/riv/idVysledku
| - RIV/61989100:27510/14:86090359
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| http://linked.open...riv/jazykVysledku
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| http://linked.open.../riv/klicovaSlova
| - Vector error correction model; Construction sector; Czech Republic; Non-performing loans ratio; Credit risk (en)
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| http://linked.open.../riv/klicoveSlovo
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| http://linked.open...ontrolniKodProRIV
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| http://linked.open...v/mistoKonaniAkce
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| http://linked.open...i/riv/mistoVydani
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| http://linked.open...i/riv/nazevZdroje
| - Mathematical Methods in Economics, MME 2014 : 32nd international conference : September 10-12, 2014, Olomouc, Czech Republic : conference proceedings
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| http://linked.open...in/vavai/riv/obor
| |
| http://linked.open...ichTvurcuVysledku
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| http://linked.open...cetTvurcuVysledku
| |
| http://linked.open...vavai/riv/projekt
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| http://linked.open...UplatneniVysledku
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| http://linked.open...iv/tvurceVysledku
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| http://linked.open...vavai/riv/typAkce
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| http://linked.open.../riv/zahajeniAkce
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| number of pages
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| http://purl.org/ne...btex#hasPublisher
| - Univerzita Palackého v Olomouci
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| https://schema.org/isbn
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| http://localhost/t...ganizacniJednotka
| |
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