Original title: Dopady nesplácených půjček na Eurozónu: Panel VAR analýza
Translated title: Feedback effects of non-performing loans in EMU: A Panel VAR Approach
Authors: Bezuchová, Anna ; Baxa, Jaromír (advisor) ; Komárek, Luboš (referee)
Document type: Master’s theses
Year: 2022
Language: eng
Abstract: [eng] [cze]
This thesis investigates long-run feedback e ects between non-performing loans and their determinants in the Economic and Monetary Union countries using a panel VAR method with generalized impulses response functions and lo- cal projections. The results suggest a bi-directional relationship between the non-performing loans and their determinants. The non-performing loans ratio increases after a negative shock in GDP growth, rising unemployment, wors- ened fiscal balance and increasing risk. On the other hand, a positive shock to non-performing loans decreases the unemployment rate, risk and return on assets. Furthermore, we revealed a di erent magnitude of responses to shocks in core and periphery countries of EMU, which proves financial fragmentation. JEL Classification C23, C51, G21, E32, E44 Keywords Non-performing loans, Panel VAR model, EMU, Generalised impulse response functions Title Feedback e ects of non-performing loans in EMU: A Panel VAR Approach Tato diplomová práce zkoumá dlouhodobé efekty mezi nesplácen˝mi p j kami a jejich determinanty ve státech Evropské hospodá ské a m nové unie pomocí panelové VAR metody, zobecn né funkce odezvy a metody local projections. V˝sledky ukazují obousm rn˝ vztah mezi nesplácen˝ch p j kami a jejich de- terminanty. Podíl nesplácen˝ch p j ek roste po negativním öoku v r stu HDP, rostoucí nezam stnanosti a po zhoröení fiskální balance. Na druhou stranu, pozitivní öok na pom r nesplácen˝ch p j ek sníûí míru nezam stnanosti, riziko a návratnost aktiv. Dále jsme odhalili, ûe velikost reakce se liöí pro zem na periferii a v jádru Evropské hospodá ské unie. Klasifikace JEL C23, C51, G21, E32, E44 Klí ová slova Nesplácené p j ky, Panelov˝ VAR, Eu- rozóna, Zobecn ná funkce odezvy Název práce Dopady nesplácen˝ch p j ek na Eurozónu: Panel VAR anal˝za

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/174200

Permalink: http://www.nusl.cz/ntk/nusl-507526


The record appears in these collections:
Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses