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published_or_final_version / Real Estate and Construction / Master / Master of Science in Real Estate and Construction

vi Abstract The thesis investigates the linkages between macroeconomic performance and banks loans portfolio quality represented by the non-performing loans ratio in the Czech banking system in years 2003-2013. The empirical analysis evaluates how banks non-performing loans are influenced by several macroeconomic indicators such as GDP, inflation, interest rate, unemployment rate and exchange rate. First we investigate loans quality on the aggregate level, next we analyze the quality of loans of households and non-financial corporations sector separately as the macroeconomic variables may affect these two sectors of borrowers differently. Finally the analysis of mutual links is done for different loan categories according to the level of failure also. The empirical results from vector autoregression model and impulse response analysis generally suggest that favorable macroeconomic conditions improve banks loans quality by lowering the non-performing loans ratio and vice versa. The thesis also identifies the feedback effect of increasing non- performing loans ratio on economic performance. Keywords: banks loans quality, macrofinancial linkages, non-performing loans, Czech banking system

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This thesis first examines the role of banks in the transmission mechanism of monetary policy by focusing on the eight European new member States of Central and Eastern Europe over the 2004-2013 period. We specifically investigate the influence of monetary policy changes on bank lending activity and if this potential influence is contingent on bank characteristics, such as banks' size, capital, liquidity, risk factor and market power. Moreover, we focus on the prospective role of banks in the monetary policy transmission mechanism in order to reveal any clear trends in banks' lending behaviour during the 2008-2011 financial crisis. Secondly, we investigate the impact of a protracted period of low monetary policy rates on loosening of banks' credit standards regarding enterprises, households and consumer loans through concentrating on the nine Eurozone countries involved since the initiation of the Euro area Bank Lending Survey in the three distinct time frames of pre- (2002Q4-2008Q3), mid- (2008Q4-2010Q4) and post- (2011Q1-2014:Q4) financial crisis. Furthermore, we test the fundamental concept of the risk taking channel by examining excessive risk-taking behaviour by banks in stressed vs. non-stressed countries of the Eurozone. In an additional analysis, the efficacy of the European Central Bank's 3 year Long-Term Refinancing Operations is evaluated in great depth in order to determine whether banks' credit standards have been softened and the degree to which demand for loans has increased. Thirdly, we explore the financing structure of bank lending constrained Small and Medium Sized Enterprises in the eleven Eurozone countries by utilising firm-level data over the period of 2009 to 2014. We estimate if bank lending constrained firms demonstrate relatively more usage or requests for alternative financing. Additionally, a comprehensive investigation is presented by unveiling the impact and determinants of various financing constraints including credit lines, bank loans, trade credit and other lending on Eurozone firms. Furthermore, the notion of discouraged borrowers originally formulated by Kon and Storey (2003) is empirically evaluated. Finally, we present the conclusion of our research by further outlining its limitations and prospective scope for future studies.

Thesis (Ph. D.)--University of California, San Diego, 2001. / Vita. Includes bibliographical references (leaves 220-224).

Thesis (MSD (EAP))--Universiteit van Pretoria, 2003.

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