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. |