МАКРОЕКОНОМСКО ОКРУЖЕЊЕ И ПРОБЛЕМАТИЧНИ КРЕДИТИ-ПРИМЕР СРБИЈЕ И РЕПУБЛИКЕ ЧЕШКЕ/MACROECONOMIC ENVIRONMENT AND NPLS – EVIDENCE FROM SERBIA AND THE CZECH REPUBLIC

Александра Анић, Марко Маловић, Викторија Мисић

DOI Number
-
First page
175
Last page
190

Abstract


Апстракт
Такозвана близаначка природа текуће глобалне кризе апострофира везу из-међу сета кључних макроваријабли и квалитета банкарских портфолија зајмова. Циљ овог рада је да испита разлике у преовлађујућим макроекономским детер-минантама проблематичних кредита у, по којечему сличних, привреда Србије и Чешке. Како су све релевантне временске серије, показало се, процеси с једи-ничним кореном, примењена методологија је коинтегрисани VAR. Коинтегра-циона анализа посредством VECM искоришћена је за све 4 спецификације, мо-делирајући NPL рација за секторе домаћинстава и предузећа у обе земље. Ре-зултати указују на то да свега пар круцијалних специфичности српског, тј. чешког финансијског амбијента, привредне структуре и стратегије раста, про-узрокују позамашну разлику у NPL динамици сектора домаћинстава и предузећа у посматраним земљама, упркос једнако импресивној отпорности банкарске индустрије у обе земље.
Кључне речи: проблематични зајмови, макроекономски амбијент, коинтеграција, Србија, Чешка

Abstract
The so-called twin nature of the ongoing global crisis emphasizes the importance of the link between a set of key macro variables and the quality of loan portfolios of commercial banks. The aim of this paper is to explore the differences in prevailing macroeconomic determinants of the banks‟ NPLs (non-performing loans) in in many respects similar economies of Serbia and the Czech Republic. Due to the fact that all relevant time series turn out to be unit root processes, the methodology deployed is cointegrated VAR. Cointegration analysis has been performed through the VECM for each of the four specifications, modelling the NPL ratios for corporate and household sectors in both countries. Results reveal that only a few crucial particularities of the Serbian and the Czech financial environment, economic structure, as well as growth orientation, made all the difference in terms of NPL ratios‟ dynamics for households and corporate sectors in the two countries, in spite of the equally impressive financial resilience of the banking industry in both economies.

Key words: non-performing loans, macroeconomic environment, cointegration, Serbia, the Czech Republic.


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