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Bank System Vulnerability to Macroeconomic Shocks in Croatia (CROSBI ID 45289)

Prilog u knjizi | izvorni znanstveni rad

Cota, Boris ; Erjavec, Nataša ; Bogdan, Željko Bank System Vulnerability to Macroeconomic Shocks in Croatia // Toward Global Governance / Božina, Lovre ; Gonan Božac, Marli ; Krtalić, Sandra (ur.). Pula: Sveučilište Jurja Dobrile u Puli, 2011. str. 249-278

Podaci o odgovornosti

Cota, Boris ; Erjavec, Nataša ; Bogdan, Željko

engleski

Bank System Vulnerability to Macroeconomic Shocks in Croatia

Financial stability has become a dominant objective for the authorities during the past few decades. Important tools in financial stability analysis are macroeconomic stress tests. The aim of this paper is the application of these tests on the Croatian banking system. We try to find out how the Croatian banking system reacts to macroeconomic shocks. The empirical analysis is based on two VAR models each using different indicator of banks’ soundness: non-performing loans ratio and return on average equity. Quarterly data covers the period of 2000Q2 to 2010Q2. Our finding is that although (as expected) the variations in variables are mainly explained by their own shocks ; both GDP growth and inflation explain the variations in non-performing loans ratio. The variations in return on equity are partly explained by shocks to Croatian GDP growth. This is also supported by historical decomposition results.

stress testing, Croatian banking system, impulse responses, historical decomposition

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Podaci o prilogu

249-278.

objavljeno

Podaci o knjizi

Toward Global Governance

Božina, Lovre ; Gonan Božac, Marli ; Krtalić, Sandra

Pula: Sveučilište Jurja Dobrile u Puli

2011.

978-953-7498-46-7

Povezanost rada

Ekonomija