Analýza dlouhodobých vazeb na českém trhu úvěrů

Successful transformation of the financial system in any transition country is essential precondition for efficient transformation of the whole economy. The financial system in the Central European countries is traditionally based on banks and credit market. Therefore, we see the necessity for modelling of the credit market and assessment of the factors that determine development of the credit market. The aim of the paper is to analyze long-run relationships in the Czech Republic’s credit market and to reveal significant determinants of the volume of credits disbursed. We apply cointegration analysis and vector error correction modelling on quarterly data to test existence of equilibrium relationships in credit supply and credit demand during the period 1994 – 2007. The results suggest positive influence of GDP and interest rate on the volume of credits provided. However, the VECM estimation does not prove the existence of a statistically significant long-run equilibrium relationship explaining the credit demand. The credit supply frequently and substantially departed from the equilibrium level. The results show that the more available sources the banks have the higher is the volume of credits provided. Likewise, more profitable the lending activity leads to higher volume of credits disbursed. The widest gap between the current credit supply and equilibrium level can be observed in the first half of 2001. At the same time, we witnessed a sharp decline in volume of the credits disbursed. All together can be interpreted as a sign of the credit crunch in the Czech banking sector. The credit supply has exceeded its long-run equilibrium since 2002. Banks probably respond to the growing credit demand and disburse credits as intensively as possible, which would result in deterioration of the credit portfolio quality.