Showing 1 - 10 of 13
<title>Abstract</title> This paper examines the systematic risk and validity of the basic capital asset pricing model of Sharpe (1964), Lintner (1965) and Mossin (1966) in three Central and Eastern European stock markets (i.e. Slovenia, Hungary and Czech Republic). The CAPM is tested on a multiscale basis,...
Persistent link: https://www.econbiz.de/10010971441
<title>Abstract</title> The article tests if foreign banks have lowered their market share in the Baltic States, Romania and Bulgaria during the recent financial crisis after 2007, due to the perception of risk exposure in local markets. It has been proved that, the credit supply by foreign banks in the Baltic...
Persistent link: https://www.econbiz.de/10010971491
<title>Abstract</title> Rapid credit growth has been one of the most pervasive developments in recent years in Central and Eastern Europe. We tested for the significance of macroeconomic and banking sector variables that condition non‐performing loan ratios and the hypothesis of procyclicality between...
Persistent link: https://www.econbiz.de/10010971664
There was a need to establish an independent central bank and effective instruments after getting independent. Slovenia dismissed the non-market instruments of monetary policy that were used in the former Yugoslavia. Old, selective instruments of monetary policy were replaced by new instruments:...
Persistent link: https://www.econbiz.de/10005258099
Because of growing awareness of financial needs for public pensions, attention has been focused on privatisation of the pension systems. While the privatisation of pension funds can encourage development of capital markets in New Member States, equity investment in transition economies is even...
Persistent link: https://www.econbiz.de/10008548661
An exposure to macroeconomic risk factors across banks is a source of systemic risk that influences the banking sector performance. In this paper, we present some evidence on macroeconomic variables affecting the non-performing loans (NPL) ratio in the Czech Republic, Slovakia and Slovenia. The...
Persistent link: https://www.econbiz.de/10008548671
We tested for the significance of macroeconomic variables that condition nonperforming loan (NPL) ratios. The hypothesis of procyclicality between economic activity and improving NPL ratio in the Baltic States was proved. The increased economic activity improved the NPL ratio. Due to a high...
Persistent link: https://www.econbiz.de/10004998465
Financial sector is prone to cyclical movements and procyclicality of the financial system may endanger financial stability, which depends on asset prices and loan losses due to the fact that the deterioration of bank assets through non-performing loans is characteristics of banking distress....
Persistent link: https://www.econbiz.de/10005036496
We tested the hypothesis of procyclicality against the economic activity and stock exchange of Croatia - as a country preparing for EU accession - in order to investigate the spillover effect, i.e., the degree and pace of integration into larger financial markets such as the EU. The empirical...
Persistent link: https://www.econbiz.de/10010602016
Persistent link: https://www.econbiz.de/10010663488