Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/162676
Authors: 
Konečný, Tomáš
Seidler, Jakub
Belyaeva, Aelita
Belyaev, Konstantin
Year of Publication: 
2017
Series/Report no.: 
ECB Working Paper 2037
Abstract: 
Most studies focusing on the determinants of loss given default (LGD) have largely ignored possible lagged effects of the macroeconomy on LGD. We fill this gap by employing a wide set of macroeconomic covariates on a retail portfolio that represents 15% of the Czech consumer credit market over the period 2002-2012. We find an important time dimension to the links between LGD and the aggregate economy in the Czech Republic. The model that allows exclusively for contemporaneous effects includes a number of significant macroeconomic variables, some of which have non-intuitive signs. Nonetheless, a more general time structure of the LGD model makes current macroeconomic variables largely irrelevant and highlights the importance of delayed responses of LGD to the macroeconomic environment.
Subjects: 
credit losses
loss given default
recovery rates
workout LGD
JEL: 
C02
G13
G33
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-2759-8
Document Type: 
Working Paper

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