Naslov
Macroeconomic Stress Testing of Croatian Banking System

Autori
Cota, Boris ; Bogdan, Željko ; Rogić, Lucija

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Proceedings of the 9th International Conference Challenges of Europe: Growth and Competitiveness - Reversing the Trends / Reić, Zlatan ; Šimić, Vladimir - Split : Faculty of Economics in Split, 2011, 133-156

Skup
9th International Conference: "Challenges of Europe: Growth and Competititveness - Reversing the Trends"

Mjesto i datum
Bol, Hrvatska, 26.05.2011. - 28.05.2011

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
stress testing; nonperforming loans ratio; VEC model

Sažetak
Many macroeconomic researches have focused on assessing the strengths and vulnerabilities of financial systems since financial crises in the 1990s and 2000s. Nowadays, macroeconomic stress tests have become an important tool for financial stability analysis in many central banks. The most extensive appliance of macroeconomic stress testing was provided by the IMF as a part of its Financial System Assessment Programs. In addition, in our research we try to find out how the Croatian banking sector reacts to macroeconomic shocks. We present an application of macro stress testing to the Croatian banking system. Following the basic assumption that the deterioration of macroeconomic environment, which makes the single banks fail and cause chain reactions, will be expressed in a general worsening of balance sheet of the aggregated banking sector, we use nonperforming loans ratio as a measure for credit risk. The empirical analysis is based on VEC model using quarterly data for period between 2002Q2 and 2010Q2. Variables used in mode are nonperforming loans ratio, economic growth, exchange rate and interest rate. Results confirm that both GDP growth and HC (Kuna – Swiss franc exchange rate) explain the variations in nonperforming loans ratio, although (as expected) the variations in variables are mainly explained by their own shocks. Other variables (interest rate, kuna – euro exchange rate) explain small share of variations in nonperforming loans ratio.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA