Macro Stress Testing of the Slovak Banking Sector
In 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.
|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
When requesting a correction, please mention this item's handle: RePEc:svk:wpaper:1001. See general information about how to correct material in RePEc.
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.