ANALIZA OSETLJIVOSTI RIZIKA POSLOVNIH DELATNOSTI NA MAKROEKONOMSKE ŠOKOVE: IMPLIKACIJE NA INSTITUCIONALNU ALOKACIJU KAPITALA

Institucionalne promene kao determinanta privrednog razvoja Republike Srbije (2026) [pp. 209-227]  

AUTHOR(S) / АУТОР(И): Drljača Kanazir Svetlana
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DOI: https://doi.org/10.46793/IP26.209D
ABSTRACT / САЖЕТАК:

Cilj istraživanja je da se utvrdi da li postoji statistički značajna razlika u izloženosti kreditnom riziku između poslovnih delatnosti pod uticajem makroekonomskih šokova. Tradicionalna procena kreditnog rizika fokusira se na pokazatelje na nivou preduzeća, kao što su finansijski pokazatelji poslovanja, kreditna disciplina, veličina kompanije i ročnost finansiranja, dok u velikoj meri zanemaruje pripadnost poslovnoj delatnosti. Korišćenjem mikropodataka iz jedne sistemski značajne poslovne banke u Srbiji u periodu 2012–2018. godine, preduzeća su grupisana u 26 poslovnih delatnosti. Stopa neizvršenja obaveza predstavlja zavisnu varijablu, dok su BDP i devizni kurs nezavisne varijable. Primenjen je panel ARDL model, pri čemu su jedinice panela definisane na nivou poslovnih delatnosti. Rezultati ukazuju na postojanje značajnih međusektorskih razlika u osetljivosti kreditnog rizika na makroekonomske šokove. Rezultati istraživanja opravdavaju primenu institucionalne alokacije kapitala uključivanjem rizika poslovne delatnosti u interme modele kreditnog rizika poslovnih banaka i obračun potrebnog nivoa kapitala, naročito kod dugoročnih plasmana.

KEYWORDS / КЉУЧНЕ РЕЧИ:

rizik poslovne delatnosti, makroekonomski šokovi, alokacija kapitala, kreditni rejting i kapitalni zahtevi

ACKNOWLEDGEMENT / ПРОЈЕКАТ:
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