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EN
The research uses a portfolio simulation approach (PSA) to analyze an integrated market and credit risk of the Slovak banks. The model allows us to analyze the relationship between financial environment volatility and the potential losses faced by the financial institutions operating in
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.
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This paper contributes to the evidence that household credit relative to disposable income is a useful factor to inform house prices. This finding is observable both from persistent direct link between the two variables as well as from the relationship of credit with a residual of house price
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.
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EN
The paper challenges the traditional assumption of stable factor shares introduced in the Cobb-Douglas production function. We analyse factor shares for 20 EU countries among 1995 – 2015 and find evidence for differences in labour shares across both countries and time. On the example of
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.
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tom 68
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nr 10
981 – 1001
EN
We take an evidence-based approach and confirm that a high level of household debt is detrimental to consumption, disposable income, and hence economic growth in the medium term. Using a panel setting with both fixed and time effects, we isolate the effect of an excessive household debt level
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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