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Feedback effects of non-performing loans in EMU: A Panel VAR Approach
Bezuchová, Anna ; Baxa, Jaromír (advisor) ; Komárek, Luboš (referee)
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
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