Nonperforming Loans in China: Do We (Still) Need to Worry?
|Author:||Mgr. Alžbeta Sočuvková|
|Year:||2012 - winter|
|Leaders:|| doc. PhDr. Adam Geršl Ph.D.
|Work type:|| Economic Theory
|Awards and prizes:|
|Abstract:||This thesis overviews and discusses the issue of nonperforming loans in general and in China,
and financial sector development from the beginning of Deng Xiaoping's reform era in 1978. The
focus is put on the underlying institutional framework as it is found to be one of key contributing
factors of NPLs in China. Utilizing a sample of 23 countries over the period 2000-2009, we
estimate the impact of macroeconomic determinants on nonperforming loans. One of the
regressors, output gap, is estimated via Kalman filtering technique based on the multivariate
unobserved component (MUC) method. Consequently, out-of-sample method forecasts for five
subgroups of countries, thus providing different benchmarks for China, are compared with
official data. The conclusion argues the NPLs ratio to be understated in official statistics,
especially towards the end of the series, which might be a sign of increasing macroeconomic
instability in China.
|Downloadable:|| Diploma Thesis of Sočuvková