Types of bank loans and their impact on economic development: a case study of the Czech republic

34 2017, XX, 4 Ekonomie DOI: 10.15240/ ul/001/2017-4-003 In oduc ion In his a icle, we discuss he ela ionship o banks, o loans p o ided by hem, and economic de elopmen . We decided o in es iga e his ela ionship as banks in oday’s economies play a signi i can ole as a i al ins i u ion in he i nancial ma ke s, whe e he e is a dis ibu ion o mone a y unds om su plus en i ies o de i ci en i ies. A necessa y p econdi ion o a unc ioning economy, in i s p esen mos ly mixed o m, is a unc ioning and s able banking sys em. Cu en ly, unco e ed money is o a g ea ex en he money gene a ed by p i a e banks, mainly in he o m o loans. In hese u bulen imes, when economies a e g owing and declining a as e in e als han we e cus oma y in p e ious decades, his is e y much a con empo a y issue. I is due o he ac ha he a e o g ow h/decline in lending, due o he impo ance and size o he i nancial ma ke s and he o m o he unco e ed money issued, signi i can ly in l uences he economic cycle. As epo ed by Če noho ský (2015), banks p o ide loans o businesses and households o hei consump ion and in es men and hus suppo he economy. Wha is impo an is he du a ion o a loan, as pa icula ly long- e m in es men s con ibu e o long- e m economic g ow h. Fo his eason, we decided o examine he impac o o al loans, as well as di iding hem in o loans o non- i nancial businesses, loans o households, mo gage loans and consume loans. The impo ance o c edi access o banks is also compounded by he i nancial and economic c isis which mos o he de eloped coun ies expe ienced in ecen yea s. The consequence o his c isis oday is an abno mal si ua ion on he i nancial ma ke s, which is e l ec ed in nega i e in e es a es, o eign exchange in e en ion and quan i a i e easing by cen al banks. They a e ying o use hese uncon en ional mone a y policies o es o e he impai ed c edi channel o he mone a y policy ansmission mechanism. The main idea o his a icle is exp essed by he hypo hesis ha he de elopmen o a ious ypes o bank lending has a posi i e e ec on economic de elopmen . We will examine he alidi y o his hypo hesis using selec ed s a is ical and ma hema ical me hods as p esen ed below. The aim o his a icle is o assess he impac o he de elopmen o di e en ypes o loans in he banking sec o on economic de elopmen , based on he example o he Czech Republic. In achie ing his se goal, we shall begin wi h he hypo hesis ha economic pe o mance inc eases wi h he g ow h o he a e o a ious ypes o loans. 1. Theo e ical Backg ound In he pas , he ela ionship o he i nancial sys em and economic g ow h was examined by a numbe o enowned economis s. Schumpe e (1912) emphasised he s ong in l uence o banks on economic g ow h by encou aging inno a ion. P o iding loans o hese inno a ions and in es men s leads o he g ow h o business ope a ions and hus o economic g ow h. In con as , Lucas (1988), in mo e mode n imes, e e s o an excessi e in l uence o banks on he economy in a nega i e sense. Robinson (1952) conside s ha banks ha e a passi e impac on economic de elopmen . As can be seen, e en in he pas hese dis inguished economis s held di e en iews on he impac o he banking sec o on economic de elopmen . I is s ill he same oday, as e idenced by subsequen esea ch. Ou pape is based on he ansmission mechanism o mone a y policy as i is unde s ood bo h in economic heo y and applied in p ac ice in he en o cemen o mone a y policy by cen al banks. In pa icula , TYPES OF BANK LOANS AND THEIR IMPACT ON ECONOMIC DEVELOPMENT: A CASE STUDY OF THE CZECH REPUBLIC Jan Če noho ský EM_4_2017.indd 34EM_4_2017.indd 34 13.12.2017 12:53:2813.12.2017 12:53:28 35 4, XX, 2017 Economics we ollow he logic o he c edi channel o he mone a y policy ansmission mechanism. This is based on he change in he in e es a es se by he cen al bank, which a ec in e bank in e es a es and in he end also he ma ke in e es a es o e ed o clien s. I we conside declining in e es a es, his esul s in a highe demand o loans om banks by companies and households. These loans a e used o co po a e in es men and household consump ion (o om a mac oeconomic poin o iew also o in es men s h ough he pu chase o eal es a e). A he same ime, he amoun o money in ci cula ion is g owing. The inc ease in consump ion and in es men hus con ibu es o he g ow h o he economy. In he case o inc easing in e es a es, he change in he gi en a iables is he opposi e o i may, o example, esul no only in a dec ease, bu also in a decline in he g ow h a e, o he gi en quan i ies. A de i ni e ac o in suppo o his p ocess is he cen al banks moni o ing and s i ing o in l uence he a e o lending o a ce ain ex en in o de o suppo economic g ow h o o ensu e ha he economy doesn’ ge o e hea ed. The e ec o he amoun o money issued as bank loans on economic de elopmen is highligh ed by he main p oponen o mone a ism, Mil on F iedman (1968). As well, F iedman and Schwa z (1963) came o he conclusion ha he co ela ion coe i cien s be ween he change in money and he nominal ou pu ange om 0.79 o 0.92 pe su ey pe iod. They quan i y he ime delays in he e ec i eness o mone a y policy in a ange o 12-24 mon hs, wi h he maximum g ow h in he amoun o money being in ad ance o 18 mon hs ahead o he peak o economic g ow h. The minimum amoun o money g ow h, acco ding o his calcula ions, will be e l ec ed in he economy in he o m o a ecession ea lie , wi h an in e al o app oxima ely 12 mon hs. Also, he money supply is unde s ood as an au onomous exogenous quan i y gi en by he cen al bank, which a ec s o he mac oeconomic a iables. The logic o his app oach is suppo ed by Miskhkin (2016), who, in addi ion o he c edi channel, also de i nes o he channels o mone a y policy ac ion. Kau mann and Kugle (2010) also es ima e eal GDP on he basis o he de elopmen o M3, including he aspec o coin eg a ion o he gi en a iables. This idea is suppo ed by Hol emölle (2004), who se s he ime delay o he mone a y policy ools on p oduc changes a six qua e s. Fo his he uses in eg a ion and coin eg a ion analysis. Cu en ly, he connec ion be ween bank pe o mance (measu ed, o example, in he o m o lending a e) and economic pe o mance is much close . This is due o he eno mous scale o globalised and also local i nancial ma ke s due o he size o he economies and hei impac on business ac i i ies. Today he e is a highe deg ee o in e connec i i y o i nancial ma ke s and economic de elopmen . The i nal p oo is ce ainly he i nancial c isis in he USA. I de eloped p ima ily in he banking sec o and spilled o e in o a public i nance c isis and an economic down u n in he economically impo an coun ies in he wo ld and Eu ope. The e o e examining he ela ionship be ween bank lending and economic de elopmen has gained impo ance. Among he a ious wo ks a ious indica o s o lending a e used o measu e economic pe o mance. These con ibu ions can be di ided in o h ee basic g oups. The mos signi i can in e ms o numbe s is he g oup o economis s who belie e in he posi i e impac o bank loans on economic de elopmen . Le ine and his co- economis s in hei wo ks (Le ine & Ze os, 1998; Beck, Le ine, & Loayza, 2000; Beck & Le ine, 2004) examined a ious combina ions o he e ec s o he liquidi y o s ock ma ke s and banks (collec i ely, i nancial in e media ion) on economic g ow h, capi al accumula ion and inc eased p oduc i i y. All he abo e, acco ding o he au ho s, is posi i ely in l uenced by he ac i i ies o banks. A meanu e al. (2015) es ed he e ec s o c edi expansion on sus ainable economic g ow h. They see a g ea e e ec wi h loans o legal en i ies a he han o na u al pe sons. The impo ance o loans o legal en i ies (companies) ac s o e a longe pe iod, because hei in es men s lead o u he g ow h. Banu (2013) ocused on he ques ion o whe he an economy, speci i cally he Romanian economy, would be capable o economic g ow h in he absence o lending. Wi hou he loans p o ided o he p i a e sec o , he Romanian economy would no g ow, as no new p ojec s would a ise. Con e sely, e y low dependence was ound be ween loans o he public sec o and economic g ow h. Kelly e al. (2013) began wi h a ange o da a om 10 yea s o he economy o I eland, which was signi i can ly a ec ed EM_4_2017.indd 35EM_4_2017.indd 35 13.12.2017 12:53:2913.12.2017 12:53:29 36 2017, XX, 4 Ekonomie by he i nancial c isis speci i cally because o he banking sec o . Despi e his signi i can l uc ua ion, Kelly i nds a posi i e impac o lending ac i i ies on g ow h in he economy. As well, E misoglu e al. (2013) in es iga ed whe he da a on loans would be an app op ia e o ecas o he de elopmen o g oss domes ic p oduc (GDP). They s essed he impo ance o loan da a in e ms o a minimum delay. Again, hey ound a posi i e e ec ; i.e., hey s a e ha using he a iable “c edi incen i es” in GDP p edic ion models inc eases hei accu acy. The esul s o a u he s udy by Ce o elli and Gambe (2001) show ha he banking sec o acili a es access o c edi o “young” i ms, he eby suppo ing he pace o economic g ow h, as in es men s by new i ms a e mo e likely o be in ol ed in inno a i e echnologies. Benci enga and Smi h (1993) conclude ha he banking sec o can also educe excessi e c edi limi a ion h ough educed moni o ing cos s and hus ensu e accele a ed economic g ow h in a coun y. Le ine (2005) shows he link be ween he ope a ion o he i nancial sys em and economic g ow h. On he o he hand, he e a e s udies ha show a nega i e ela ionship be ween bank loans and economic de elopmen as measu ed by GDP g ow h. Lei ao (2012) came o his conclusion based on an analysis o mac oeconomic a iables (economic g ow h, ade balance and in l a ion) and bank loans. He concluded ha in l a ion is nega i ely co ela ed wi h economic g ow h. The main idea behind he s udy is ha excessi e c edi g ow h ends o weaken a banking sys em and inc ease in l a iona y p essu es, he eby unde mining economic g ow h. Mian e al. (2015) based hei s udy on an analysis o he ela ionship be ween household deb and GDP. Acco ding o hei esul s, he g ow h o household deb in ela ion o GDP p edic s a lowe g ow h in p oduc ion and highe unemploymen a es in he medium e m. As well, an inc ease in household deb will esul in consump ion g ow h and wo sening cu en accoun balances as a esul o he inc eased impo o consume goods. Koi u (2002) published a s udy based on da a om 25 ansi ional economies in he yea s 1993-2000. In his wo k, he concluded ha an inc ease in lending does no accele a e economic g ow h. The causes a e a se ies o banking c ises in hese economies and i scal es ain . He also s essed ha hese esul s a e non-s anda d wi h economic i ndings p ima ily due o speci i c condi ions in ansi ion economies. Ibáñez- He nández e al. (2015) came o he conclusion ha he high g ow h in lending leads o ins abili y in he i nancial sec o and hus nega i ely a ec s economic de elopmen . The e a e also s udies ha do no indica e any signi i can ela ionship be ween he loans p o ided and economic g ow h. Fo example, Taka s and Uppe (2013) in es iga ed he e ec o bank loans on economic g ow h a e he i nancial c isis on he basis o da a om 39 i nancial c ises ha had been p eceded by a c edi boom. They ound ha a declining amoun o bank lending o he p i a e sec o does no necessa ily hinde economic eco e y a e a i nancial c isis. In hese c ises, changes in he a e o bank lending, ei he in eal e ms o in ela ion o GDP, do no co ela e wi h g ow h du ing he i s wo yea s o eco e y. In he hi d and ou h yea , he ela ionship becomes s a is ically signi i can , bu s ill emains insigni i can in economic e ms. De G ego io and Guido i (1995) ound a posi i e co ela ion be ween he g ow h a e o bank loans o he p i a e sec o and he g ow h o GDP, bu he impac a ies in di e en coun ies. In La in Ame ican coun ies, he ela ionship is ac ually nega i e. Thei a ionale was he ecen i nancial libe alisa ion in hese ma ke s combined wi h a poo le el o egula o y amewo k. They also emphasise ha he main me hod whe eby he g ow h o lending a ec s economic g ow h is p ima ily ha hese loans mus be p o ided o e ec i e p ojec s; i.e., no a c i ical amoun o hese loans. Based on he lis men ioned abo e, i is clea ha s udies a e p e alen which con i m he logic o he c edi channel o he mone a y policy ansmission mechanism and show a posi i e ela ionship be ween he g ow h o lending and he g ow h o he economy. This co esponds o he cu en p e ailing heo e ical knowledge o bank con ibu ions h ough money issuance by p o iding bank loans o g ow he economy. As well, we a e awa e o he in e dependence o he e ec s o bank loans and he de elopmen o he economy in bo h di ec ions (i.e., ac ing as a mul iplie and accele a o ). Howe e , in his a icle we ha e ocused on he impac o bank loans on he de elopmen o he economy. A wo-way ela ionship is also aken in o accoun in he discussion o he esul s achie ed. EM_4_2017.indd 36EM_4_2017.indd 36 13.12.2017 12:53:2913.12.2017 12:53:29 37 4, XX, 2017 Economics 2. Me hods This a icle ocuses on examining he ela ionship be ween wo a iables – loans g an ed and economic de elopmen . I is clea ha in economic p ac ice, he e a e a numbe o ac o s which a ec economic de elopmen . We ha e d a ed ou analysis on he basis o he ce e is pa ibus condi ion, which simpli i es he eal ela ionship, bu is s ill sui able o examining he ela ionship o wo a iables. In he i nal discussion, we also de i ne he ac o s ha will o he wise de i ni ely ha e an impac on he de elopmen o he economy. In his wo k we ha e decided o use coin eg a ion analysis; i.e., a me hod ha dis inguishes sho and long e m ela ionships o ime se ies. This is a ela i ely mode n me hod used in many o he s udies men ioned abo e and s udies o cen al banks. The esul o his is whe he he ime se ies a e coin eg a ed o no . Coin eg a ion means ha he de ia ion in he di ec ions o he de elopmen o he ime se ies can only be sho - e m, and he e is a limi beyond which he de ia ion may no con inue. The ime se ies a e hen in equilib ium and ha e a long- e m ela ionship be ween hem; i.e., hey ha e a common elemen ha can be examined (A l & A l , 2007). The ad an age o his me hod o e adi ional s a is ical me hods is ha i iden i i es any appa en eg ession. The analysis model selec ed is designed in acco dance wi h p o essional analyses and based on he speci i c cha ac e is ics o he ime sequence. The model is c ea ed o es ing delays o he dependen a iable o GDP and s a iona i y es ing, including necessa y adjus men s o da a by di e encing. Coin eg a ion is hen es ed and he i nal es is o pe o m G ange causali y. The i s s ep is he need o es he ime sequence on he op imum o de o delays o he dependen a iable GDP. To de e mine he delay, we used a calcula ion using Akaike’s in o ma ion c i e ion (AIC) in he equa ion below: (1) whe e M de i nes he numbe o pa ame e s in he model, is he esidual a iance, and T is he numbe o obse a ions. The bes ange o delay is he one whe e he in o ma ion c i e ion eaches he lowes alues. The es ou pu s o he bes ange o delay a e applied in he ollowing es s. An impo an p e equisi e be o e es ing coin eg a ion is o e i y he s a iona i y o he ime sequence being inpu o he model. S a iona i y o he ime se ies is equi ed in o de o es ima e he eg ession model. In he case o non-s a iona y da a and modelling using he leas squa es me hod, he analysis could ha e dis o ed ou comes and could p esen an appa en eg ession. In he case o non-s a iona y ime sequence, adjus men should be made using di e en ia ion o he o iginal da a. A s ochas ic p ocess is a ime- o de ed se o andom a iables, which in heo y may be iewed as a unc ion o mean alue, a iance, co a iance and co ela ion unc ions. A s ochas ic p ocess is hus e e ed o as s a iona y i he cha ac e is ics o he andom a iable a e ime cons an . These condi ions a e o mally w i en as ollows (A l e al., 2007):  Mean alue unc ion: (2)  Va ia ion unc ion: (3)  Co a iance unc ion: (4)  Co ela ion unc ion: (5) whe e X is he dependen a iable, E(X ) is he mean alue D(X ) is he a iance. S a iona i y e i i ca ion is pe o med using he ex ended Dickey-Fulle es (ADF es ) o es he hypo hesis o he exis ence o a uni oo . The es is based on eg ession o he i s di e ences o he ime sequence based on hei own delayed alues, o he delayed di e ences. In p ac ice he e a e h ee o ms o he ADF es s: wi hou a cons an , wi h a cons an , and las is wi h a cons an and a end. The selec ion is made h ough he lowes Akaike c i e ia. E alua ion is based on an assessmen o he null hypo hesis when i is es ed a a signi i cance le el o 0.05, i he ime sequence has a uni oo . Then we may say ha he ime sequence is non-s a iona y. EM_4_2017.indd 37EM_4_2017.indd 37 13.12.2017 12:53:2913.12.2017 12:53:29 38 2017, XX, 4 Ekonomie Ve i i ca ion o he null hypo hesis is e alua ed based on he calcula ed p- alues. In es ing, we assume ha he gene a ing p ocess has he o m (A l e al., 2007): (6) whe e we es ha Ø = 0 ( a iable con ains a uni oo ), X is he dependen a iable, p is a delay and e is a esidual componen . In he e en ha i is a non-s a iona y ime sequence, i is necessa y o adjus he ime sequence by using he i s di e ence. Based on he new alues o he ime sequence we decide on i s s a iona i y. I he inpu ime sequences a e non- s a iona y and a e adjus men by di e en ia ion, hey acqui e s a iona i y o he same o de , i is possible o pe o m a coin eg a ion analysis. When he abo e condi ions a e me , he Engle-G ange es (EG es ) will be applied on he ime sequence o de e mine he coin eg a ion o he ime sequence. This es is based on es ing he es ima ed esidues o he coin eg a ing eg ession o he p esence o a uni oo . Coin eg a ion eg ession will be pe o med using he smalles squa es me hod. In acco dance wi h he Engle-G ange heo ies in he nex s ep, andom componen s a e es ed using he ADF es o he p esence o uni oo s. E alua ion o his es is iden ical o he ADF es men ioned p e iously, including he selec ion o he ype o eg ession model by he lowes AIC. We will es he null hypo hesis ha he ime sequences a e no coin eg a ed a a signi i cance le el o 0.05. I he p- alue o he esidues es ed is highe han he le el o signi i cance o 0.05, we will no ejec he null hypo hesis and he es ed ime sequences a e no coin eg a ed. The a iables a e hen es ed o a possible mu ual causal link be ween he es ed se ies on he basis o G ange causa ion. The coe i cien o de e mina ion obse ed, o he co ec ed (adjus ed) coe i cien o de e mina ion desc ibes he closeness o he connec ion. The esul ing alue can be in e p e ed in e ms o pe cen age, while indica ing wha pe cen age he changes in he esponse a iables a e dependen on changes in he explana o y a iables. The coe i cien o de e mina ion indica es he quali y o he eg ession model; exp essed mo e p ecisely, i indica es wha pe cen age o a iance o he esponse a iables is explained by he model and how much emains unexplained. The i nal es is o es he causal link be ween he ime sequences, using he G ange causali y analysis. G ange de i ned he concep o causali y in he p ac ical use o ec o au o eg ession models (VAR models) o es ic ed and un es ic ed eg ession. The basic idea is ha when a se ies X a ec s a se ies Y, hen he se ies X should imp o e p edic ions o he se ies Y (Hendl, 2012). VAR models a e based on a compa ison o esidues o indi idual models di e ing in he numbe o delays. The mos sui able model is chosen o a ype ha has a minimum alue o AIC. Fo he G ange causali y es we will use he null hypo hesis ha he a iable X does no a ec he a iable Y unde G ange ’s condi ions. The basic models ake he ollowing o m (Hušek, 2007): (7) (8) whe e αi and βi a e he coe i cien s o he a iables, X and Y a e ime sequence a iables, p is he delay and u is he andom componen . The i s equa ion es ima es he dependen a iable based on i s own delayed alues, he second equa ion adds o i s own delayed alues he delayed alues o he i s a iable. The es is conduc ed using VAR models in which an in e ac ion o up o eigh delays is es ed. We ejec he null hypo hesis i he p- alue is less han he signi i cance le el o 0.05. Hnízdo (2015) u he explains he issue in de ail. 3. Da a Da a on loans a e aken om he Czech Na ional Bank (ČNB) da abase. These a e loans o non- i nancial businesses, loans o households, mo gage loans, consume loans and o al loans. All a iables a e in he o m o ela i e annual change in a qua e ly equency. These da a a e seasonally adjus ed o he ime pe iod 2004-2015. The ime se ies is based on i nancial ma ke de elopmen s and changes in he Czech economy. One eason o se ing his se ies is he ac ha be o e 2004 he e we e signi i can changes in he banking sec o in he Czech Republic, which changed he owne ship s uc u e, and he go e nmen had in e ene o EM_4_2017.indd 38EM_4_2017.indd 38 13.12.2017 12:53:2913.12.2017 12:53:29 39 4, XX, 2017 Economics s abilise he banking sec o and clea he deb s o declining la ge banking companies. The da a a e shown in he ollowing able. De elopmen o he economy is measu ed using s anda d indica o s o g oss domes ic p oduc in he Czech Republic, epo ed in he s a is ics o he Czech S a is ical O i ce and also e e ed o in he da abase o he Czech Na ional Bank. Again, o compa a i e pu poses, hese a iables a e in he o m o ela i e annual changes in a qua e ly equency. These da a a e shown in he ollowing i gu e (Fig. 1). Fig. 1 shows he s ong g ow h o all componen s o loans g an ed in 2005-2008, household loans and mo gages om an ea lie pe iod. This is ela ed o he apid g ow h o he economy, including expo s, which a e, among o he hings, d i en by in es men ac i i y. This is widely unded by loans p o ided o businesses as well as by mo gage loans. In addi ion, in e es a es ha e allen sha ply a his ime, con ibu ing o a g ea e willingness pa icula ly among households o incu deb s. Ano he ac o is undoub edly he demog aphic de elopmen , whe e a signi i can po ion o he popula ion in his pe iod deal wi h hei housing needs. A e 2008, on he o he hand, he e ec s o he i nancial c isis in de eloped coun ies begin o show. These ha e mani es ed hemsel es in he Czech Republic in he economic c isis and he decline in in es men and c edi ac i i y esul ing om a c isis o con i dence; i.e., due o he cau ion o banks in g an ing loans. Va iables a e examined in absolu e alues and in in e -annual changes. Tab. 1 shows desc ip ions o he a iables used. Fig. 1: De elopmen o GDP and selec ed ypes o loans (annual change in %) Sou ce: Czech Na ional Bank (2016) EM_4_2017.indd 39EM_4_2017.indd 39 13.12.2017 12:53:2913.12.2017 12:53:29 40 2017, XX, 4 Ekonomie 4. Resul s As men ioned abo e, we a e in e es ed in whe he he e is coin eg a ion among he selec ed a iables. Tha is, whe he he gi en ime se ies e ol e simila ly o e he long e m. This is, om an economic poin o iew, he unde lying idea o he c edi channel o he mone a y policy ansmission mechanism. In he sho e m, based on he in e p e a ion o he coin eg a ion analysis, some disc epancies may occu . Based on he model chosen, an op imum o de o delay is es ed, as well as da a s a iona i y, coin eg a ion es and subsequen ly he G ange causali y es is pe o med. Fo his model, we i s de e mined he op imum delay o de on he basis o AIC (acco ding o Fo mula 1) o GDP in absolu e e ms as well as in e -annual changes. The esul s a e shown in he Tab. 2. Based on he lowes alue o AIC, we can conclude ha o he dependen a iable GDP, he op imum delay is ha o he second o de . The semi-annual delay iden i i ed will be e l ec ed in subsequen es s. We will p oceed o e i y he s a iona i y o he ime sequence. The i ndings o s a iona i y in he ime se ies will be made using he ex ended Dickey-Fulle es (see o mula 6). A null hypo hesis is used o he ADF es when he ime sequences es ed a e no s a iona y. S a iona i y es esul s o he se ies in absolu e alues and in e -annual changes o GDP and o al loans a e shown in he Tab. 3. The esul s o he ADF uni oo es indica e ha he o iginal da a o all ime sequences a e non-s a iona y. Non-s a iona i y o he ime se ies means ha appa en co ela ion could occu o he co ela ion analysis. S a iona i y o all ime sequence was achie ed only a e hei di e en ia ion and he ime sequences a e he e o e in eg a ed in s age I (1); see Pa 2 o he Tab. 3. Based on he esul s shown abo e, we can p oceed o he coin eg a ion es . The coin eg a ion es is pe o med using he Engle-G ange es (see o mula 2). This es equi es non-s a iona i y o he o iginal ime sequence and he same deg ee o in eg a ion. Bo h condi ions a e shown in Tab. 3. The null hypo hesis o coin eg a ion is ha he ime sequences es ed a e no coin eg a ed. The ype o es chosen is based on he lowes alue o he Akaike c i e ion. Tes ing coin eg a ion ela ionships o a iables in absolu e alues is pe o med using he EG es , whe e he model is chosen wi h a cons an and end based on he lowes alue o Va iable Mac oeconomic alue Uni Sou ce Y G oss domes ic p oduc bn. CZK ČNB Uc To al loans bn. CZK ČNB ∆Y GDP g ow h % ČNB ∆Uc To al loan g ow h % ČNB Sou ce: own O de o Delays AIC o ∆Y 13.41229 22.94612 32.99098 43.03142 Sou ce: own Tab. 1: De i ni ion o he a iables used in he analyses Tab. 2: Resul s o op imum o de o delay EM_4_2017.indd 40EM_4_2017.indd 40 13.12.2017 12:53:3013.12.2017 12:53:30 41 4, XX, 2017 Economics AIC, which amoun s o 1,121.736. The esul ing calcula ed alues o de e mining coin eg a ion a e lis ed in he Tab. 4. Based on es s, we will no ejec he null hypo hesis o non-coin eg a ion o he ime sequence, as he calcula ed all p- alues a e highe han he speci i ed signi i cance le el o 0.05. Fo his eason, in bo h cases, he es se ies is non-coin eg a ed. In he ollowing es , causali y is pe o med using a VAR model (see o mula 3 and 4). Fo he G ange es s o ime causali y, a null hypo hesis is se , ha he de elopmen o bank loans does no a ec he economic cycle and he e o e has no impac on he o ecas s o he GDP. Tes s a e pe o med o eigh qua e ly delays, whe e any causali y can be assumed. Tes esul s o in e -annual changes o qua e ly alues a e gi en in he ollowing able (Tab. 5). Causal ela ions o he de elopmen o loans o GDP a e shown a a signi i cance le el o 0.05 a wo, ou and eigh qua e ly delays. Based on he calcula ed p- alue, i is possible in h ee cases, o decide o ejec he null hypo hesis a a signi i cance le el o 0.05. F om he economic poin o iew i means ha he de elopmen o bank loans in he o m o ela i e annual changes ( o o al loans) Model p- alue E alua ed esul o ADF es Tes wi h cons an ∆Y0.6492 Time sequence is non-s a iona y ∆Uc 0.7910 Time sequence is non-s a iona y ∆Up 0.5196 Time sequence is non-s a iona y ∆Ud 0.8450 Time sequence is non-s a iona y ∆Uh 0.4006 Time sequence is non-s a iona y ∆Us 0.8225 Time sequence is non-s a iona y Tes wi h cons an Fi s di e ence ∆Y0.01756 Time sequence is s a iona y Fi s di e ence ∆Uc 0.00427 Time sequence is s a iona y Fi s di e ence ∆Up 0.00007 Time sequence is s a iona y Fi s di e ence ∆Ud 0.00010 Time sequence is s a iona y Fi s di e ence ∆Uh 0.00068 Time sequence is s a iona y Fi s di e ence ∆Us 0.00006 Time sequence is s a iona y Sou ce: own Model Va iable AIC p- alue H0: 2 delays wi h cons an ∆Y 239.4507 0.0693 No ejec ed 1 delay wi h cons an and end ∆Up 232.1227 0.4894 No ejec ed 1 delay wi h cons an and end ∆Ud 231.2742 0.2772 No ejec ed 1 delay wi h cons an and end ∆Uh 228.4799 0.1836 No ejec ed 1 delay wi h cons an ∆Us 237.2326 0.1728 No ejec ed Sou ce: own Tab. 3: Resul s o ADF s a iona i y es o o al loans and GDP Tab. 4: Resul s o he E-G coin eg a ion es in annual changes EM_4_2017.indd 41EM_4_2017.indd 41 13.12.2017 12:53:3013.12.2017 12:53:30 42 2017, XX, 4 Ekonomie causally ac wi hin he meaning o G ange causali y on he de elopmen o GDP, wi h a ce ain ime lag. The ollowing able (Tab. 6) shows he esul s o he G ange causali y in qua e ly in e -annual changes be ween de elopmen s in loans o non- i nancial businesses and GDP g ow h. Causal ela ions o he de elopmen o loans o non- i nancial businesses o GDP a e shown a a signi i cance le el o 0.05 a wo, ou and eigh qua e ly delays. Based on he calcula ed p- alue, i is possible in h ee cases, o decide o ejec he null hypo hesis a a signi i cance le el o 0.05. F om he economic poin o iew i means ha he de elopmen o bank loans in he o m o ela i e annual changes ( o loans o non- i nancial businesses) causally ac wi hin he meaning o G ange causali y on he de elopmen o GDP, wi h a ce ain ime lag. The Tab. 7 shows he esul s o he G ange causali y in qua e ly in e -annual changes be ween de elopmen s in loans o households and GDP g ow h. Causal ela ions o he de elopmen o loans o households o GDP a e shown a a signi i cance le el o 0.05 a one, wo, ou and six qua e ly delays. Based on he calcula ed p- alue, i is possible in ou cases, o decide o ejec he null hypo hesis a a signi i cance le el o 0.05. F om he economic poin o iew i means ha he de elopmen o bank loans in he o m o ela i e annual changes ( o loans o households) causally ac wi hin he meaning o G ange causali y on he de elopmen o GDP, wi h a ce ain ime lag. The Tab. 8 shows he esul s o he G ange causali y in qua e ly in e -annual changes be ween de elopmen s in mo gage loans and GDP g ow h. Null hypo hesis Delay p- alue H0: ∆Uc does no causally ac on ∆Y1 0.1843 No ejec ed ∆Uc does no causally ac on ∆Y2 0.0070 Rejec ed ∆Uc does no causally ac on ∆Y3 0.2816 No ejec ed ∆Uc does no causally ac on ∆Y4 0.0086 Rejec ed ∆Uc does no causally ac on ∆Y5 0.3925 No ejec ed ∆Uc does no causally ac on ∆Y6 0.4210 No ejec ed ∆Uc does no causally ac on ∆Y7 0.1402 No ejec ed ∆Uc does no causally ac on ∆Y8 0.0176 Rejec ed Sou ce: own Null hypo hesis Delay p- alue H0: ∆Up does no causally ac on ∆Y1 0.5110 No ejec ed ∆Up does no causally ac on ∆Y2 0.0039 Rejec ed ∆Up does no causally ac on ∆Y3 0.4321 No ejec ed ∆Up does no causally ac on ∆Y4 0.0172 Rejec ed ∆Up does no causally ac on ∆Y5 0.6775 No ejec ed ∆Up does no causally ac on ∆Y6 0.8680 No ejec ed ∆Up does no causally ac on ∆Y7 0.0769 No ejec ed ∆Up does no causally ac on ∆Y8 0.0458 Rejec ed Sou ce: own Tab. 5: Resul s o G ange causali y in annual changes – o al loans Tab. 6: Resul s o G ange causali y in annual changes – loans o non- i nancial businesses EM_4_2017.indd 42EM_4_2017.indd 42 13.12.2017 12:53:3013.12.2017 12:53:30