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Credit Growth in CEE Countries: Empirical Analysis of Early Warning Indicators
Název práce v češtině: Rust uveru ve stredni a vychodni Evrope: empiricka analyza indikatoru vcasneho varovani
Název v anglickém jazyce: Credit Growth in CEE Countries: Empirical Analysis of Early Warning Indicators
Klíčová slova anglicky: credit growth, countercyclical capital buffer, banking crisis
Akademický rok vypsání: 2011/2012
Typ práce: bakalářská práce
Jazyk práce: angličtina
Ústav: Institut ekonomických studií (23-IES)
Vedoucí / školitel: doc. PhDr. Adam Geršl, Ph.D.
Řešitel: skrytý - zadáno vedoucím/školitelem
Datum přihlášení: 05.06.2012
Datum zadání: 05.06.2012
Datum a čas obhajoby: 20.06.2013 00:00
Místo konání obhajoby: IES
Datum odevzdání elektronické podoby:17.05.2013
Datum proběhlé obhajoby: 20.06.2013
Oponenti: Mgr. Michal Paulus
Seznam odborné literatury
BCBS: “Guidance for National Authorities Operating the Countercyclical Capital Buffer.”
December 2010.

Borio, C., M. Drehmann: “Assessing the Risk of Banking Crises – Revisited.” BIS Quarterly
Review, March, pp. 29–46., 2009

Borio, C., M. Drehmann and K. Tsatsaronis: “Anchoring countercyclical capital buffers: the
role of credit aggregates” BIS Working Papers No 355, November 2011

Égert, B., P. Backé, and T. Zumer: “Credit Growth in Central and Eastern Europe - New
(Over)shooting Stars?” European Central Bank Working Paper No. 687. 2006

Geršl, A., J. Seidler: Credit Growth and Capital Buffers: Empirical Evidence from Central and
Eastern European Countries, Research and Policy Notes 2, 2011
Předběžná náplň práce
Excessive credit growth is often considered to be an indicator of future problems in financial
sector. Basel III regulatory package has introduced “countercyclical capital buffer” to
improve stability of banking sector and proposed using credit-to-GDP gap as an indicator for
calibrating the buffer. In BSCS methodology, Credit-to-GDP gap is counted as a difference
between current value and a long term trend obtained from data series using Hodrick-Prescott
filter. Current research was mainly focused on developed countries with long data series.
However, there are some drawbacks to be concerned with when applying this method to CEE
countries. Firstly, Hodrick-Prescott filter can be problematic when used on shorter data series
than at least 20 years and also this filtering method becomes unreliable at the end of the data
period. Secondly, rapid credit growth in this region can simply mean convergence to values
typical for developed countries.

To avoid these drawbacks, this paper uses so called out of sample method to create a model
for approximation of “normal” credit-to-GDP for a country and long term trend is then
extracted from this model. Furthermore, in addition to credit-to-GDP, credit-to-assets ratio
is used as another measure of risk in the system to construct more reliable early warning
indicator suitable for CEE countries.
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