Work detail

Feedback effects of non-performing loans in EMU: A Panel VAR Approach

Author: Mgr. Anna Bezuchová
Year: 2022 - summer
Leaders: PhDr. Jaromír Baxa Ph.D.
Consultants:
Work type: Finance, Financial Markets and Banking
Masters
Language: English
Pages: 121
Awards and prizes:
Link: https://dspace.cuni.cz/handle/20.500.11956/174200
Abstract: This thesis investigates long-run feedback eects 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 local 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, worsened 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 dierent magnitude of responses to shocks
in core and periphery countries of EMU, which proves financial fragmentation.
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