მაკროეკონომიკური გარემოს გავლენა საქართველოს საბანკოსექტორზე (ეკონომეტრიკული ანალიზი)

In this research, we analyse the impact of macroeconomic environment on banking sector. The research is based on the economy of Georgia. The fact that, in Georgia, the main distributors of financial resources are still banks emphasizes their big importance and contribution to economic growth and development.
In the first section of the research, we review the literature in details, in the second section, we have represented the macroeconomic and bank specific variables, which will be used in analysis later, to see the current environment in which we make an analysis. Third section starts with the overview of the variables used in regressions and continues with the analysis of chosen model and it‟s results. In the forth section of this research, we analyse the sensitivity of banking sector.
In this research, we analyse a credit risk model and expand the results on banking system‟s profitability. As results show, macroeconomic variables which have the biggest impact on credit risk are the growth rate of a real gross domestic product, the change of a nominal interest rate, weighted by maturities and currencies, and the change of a USD/GEL real exchange rate.
A credit risk model is based on ordinary least squares of dynamic series data, which is modified by Cochrane Orcutt and Prais Winsten estimation. We also incorporate the results derived from ADL and ECM models, which helps us to develop short and long term links between variables. After credit risk model, we analyse stress scenario based on simplified assumptions and assess the impact of credit risk in this scenario on a banking sector‟s profitability. This exercise gives us an image of how significant loss can be experienced by banking sector during macroeconomic fluctuations.