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Slovakia due to the correlated market and to the credit risks. In the current study, we apply the model to a set of three (hypothetical) banks operating in Slovakia. The proposed simulation model explicitly links changes in the interest rates, the foreign exchange rates and the sector of GDP in Slovakia, with the distribution of the possible future capital ratios of the Slovak hypothetical banks. The model discussed in the article does not aim at evaluating the current state of the financial risk measurement methods in the banking sector in Slovakia, thus it proposes a methodology of how to solve the relations between the market risk and the credit risk measurements in the specific bank portfolio.
valuation equation. The latter has capacity also in its simplest form to identify overvaluation or undervaluation of property prices and relate them to actual market corrections observable over the post-crisis period in individual countries.
Slovakia, we demonstrate the impact of using different factor shares on output gap estimates quantified to reach up to 0.6 percentage points. Our research also confirms a positive correlation between the degree of economic development and relative labour shares.
and show that an additional one percentage point could be associated with a 0.1% drag on GDP growth over the next three years. Although we confirm this relationship on a panel of advanced economies, we show that emerging economies such as Central and Eastern European economies possess structural characteristics (shallow capital market, less finance and more social cohesion) that so far prevent such a demand constraint from materializing.
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