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.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|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.