Naslov
Bank System Vulnerability to Macroeconomic Shocks in Croatia

Autori
Cota, Boris ; Erjavec, Nataša ; Bogdan, Željko

Vrsta, podvrsta i kategorija rada
Poglavlja u knjigama, znanstveni

Knjiga
Toward Global Governance

Urednik/ci
Božina, Lovre ; Gonan Božac, Marli ; Krtalić, Sandra

Izdavač
Sveučilište Jurja Dobrile u Puli

Grad
Pula

Godina
2011

Raspon stranica
249-278

ISBN
978-953-7498-46-7

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

Sažetak
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.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

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