Macro Stress Testing of the Slovak Banking Sector
AbstractIn this paper we estimate the impact of a simulated slowdown in the Slovak economy on the Slovak banking sector. Using a vector error correction model, the impact of the slowdown on interest rates and exchange rates is assessed. This allows us to estimate the aggregated impact of the credit risk, interest rate risk and exchange rate risk. The significance of indirect impact of interest rate risk and foreign exchange risk via possible worsening of financial situation of debtors has also been considered. The results suggest that even significant slowdown of the GDP growth would not substantially threaten the Slovak banking sector provided that the response of the monetary policy would be adequate. Given the current portfolio of the Slovak banking sector, this monetary policy would have positive impact on Slovak banking sector also by direct increase of real value of this portfolio, mainly through the interest rate channel. The shocks in GDP growth that would be left without relevant response in other factors might represent more noticeable threat.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Research Department, National Bank of Slovakia in its series Working and Discussion Papers with number WP 1/2008.
Length: 26 pages
Date of creation: Jan 2008
Date of revision:
Contact details of provider:
Postal: Imricha Karvasa 1, 813 25 Bratislava
Phone: ++421/2/5787 1111
Fax: ++421/2/6787 1100
Web page: http://www.nbs.sk/en/publications-issued-by-the-nbs/working-papers
More information through EDIRC
Macro stress testing; Credit risk; Slovakia;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Jarko Fidrmuc & Christa Hainz & Anton Malesich, 2006.
"Default Rates in the Loan Market for SMEs: Evidence from Slovakia,"
William Davidson Institute Working Papers Series
wp854, William Davidson Institute at the University of Michigan.
- Fidrmuc, Jarko & Hainz, Christa, 2010. "Default rates in the loan market for SMEs: Evidence from Slovakia," Economic Systems, Elsevier, vol. 34(2), pages 133-147, June.
- Jarko Fidrmuc & Christa Hainz, 2009. "Default Rates in the Loan Market for SMEs:Evidence from Slovakia," Ifo Working Paper Series Ifo Working Paper No. 72, Ifo Institute for Economic Research at the University of Munich.
- Festic, Mejra & Kavkler, Alenka & Repina, Sebastijan, 2011. "The macroeconomic sources of systemic risk in the banking sectors of five new EU member states," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 310-322, February.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.