Sofia University “St.

Kliment Ohridski”

Faculty of Economics and Business Administration

Applied research
on topic:
„Economic factors influencing corporate
interest rates in Bulgaria”

Sofia
2018
 1. Introduction
For centuries economics as a science tries to explain factors causing changes in market
relations and consumer behavior. In basic macroeconomic and monetary policy courses the
accent is in relation between real and financial sector, studying as prime cause equilibrium
between saving and investments. Then the model is expanding from I-S to IS-LM and in his
final form becomes IS-LM-BP.1 Also some of them focus on central bank transmission
mechanisms as an instruments for achieving her goals2. In theory central bank policy must
be independent form local government. In most textbooks at the end are given several
apocalyptical examples from recent history, where this rule was violated and consequences
of that. In my opinion this independence existed a long time ago (if it has ever existed). At a
first look this statement may sounds ridiculous, but if we do a little research for institutions
like Word bank or International monetary fund everything will fall into place3. Even in
Europe and USA – ECB4 and Fed5 are not politically independent (actually the only way to be
independent through direct elections from citizens). In most cases government (using fiscal
policy) and central bank (with their monetary policy) cooperate to achieve their goals.
In my opinion Bulgaria is a special case – we are having currency board, Bulgarian lev is
fixed to Euro and our national central bank has limited monetary instruments (and can’t
influence to money supply)6. That’s why ECB monetary decisions have direct impact on
national economy and our exchange rate. Even if this was not the case we are small opened
economy and would be extremely dangerous to provide own policy. Also we have political
instability and non-continuity in fiscal policy through different governments. As we know
stability and foreseeability are major factors when business makes decisions about
expenditures, investments, etc. That’s why I decided to do a research about factors and
relations that cause change in corporate loans interest rates because they indirectly
determine investments, growth and our future.

1
Samuelson, P. and W. Nordhaus, Economics 19e, McGraw-Hill Irwin, 2010.
2
For example ECB monetary policy has a goal: “to maintain price stability is the primary objective of the
Eurosystem and of the single monetary policy for which it is responsible.” – source: Treaty on the Functioning
of the European Union, Article 127 (1).
3
“The IMF currently has a near-global membership of 189 countries. To become a member, a country must
apply and then be accepted by a majority of the existing members. ” – source: official website
https://www.imf.org/external/about/howwedo.htm. Also “The organizations that make up the World Bank
Group are owned by the governments of member nations, which have the ultimate decision-making power
within the organizations on all matters, including policy, financial or membership issues.” – source: official
website http://www.worldbank.org/en/about/leadership/members
4
“The President, the Vice-President and the other members of the Executive Board shall be appointed by the
European Council, acting by a qualified majority, from among persons of recognised standing and professional
experience in monetary or banking matters, on a recommendation from the Council, after it has consulted the
European Parliament and the Governing Council of the European Central Bank. ” – source: Treaty on the
Functioning of the European Union, Article 283 (2).
5
“Within the System, certain responsibilities are shared between the Board of Governors in Washington, D.C.,
whose members are appointed by the President with the advice and consent of the Senate, and the Federal
Reserve Banks and Branches, which constitute the System’s operating presence around the country. ” – source:
official website of FED - https://www.federalreserve.gov/aboutthefed/structure-federal-reserve-system.htm
6
http://www.bnb.bg/AboutUs/AUAboutBNB/AUMission/index.htm
 2. Brief review of literature
I have used Paul Samuelson textbook - Economics as a main source of theoretical
indicators that may be important. But there isn’t examined in deep the nature of these
relations. That’s why I had to use Monetary Economics – textbook written by Jagdish Handa
– in the end of some chapters, the author presents is an interesting empirical testing and
verification of economic and monetary relations. Finally I checked about other researches on
this topic and analyzed their models as a generator of ideas about variables, relations and
useful conclusions. All of them will be discussed in details at part three.

3. General model and explanatory variables

Classical approach suggests economic growth, wage inflation, unemployment,
commodity price, exchange rate and other factors as important variables. It’s good to be
notices that there are many others but we have to be careful in constantly adding variables,
because in economy most of the things are related to each other and it is easy thing to get
ugly. First I will use logical, theoretical and causation approach before adding/excluding
variables. Also have to be careful because some of the indicators produce their impact over
time – imposing us to use lagged variables and as a result reducing degrees of freedom. This
is a serious problem because as a young democratic society in transition to market economy
some of the statistical methods for obtaining information may be misleading (especially in
the first years after Soviet Union collapse). Also later we had to harmonize our methodology
accordingly to Eurostat’s.

An empirical research published in BNB discussion materials on topic: “Loans interest

rates in Bulgaria: role of monetary factors in Eurozone and influence of economic activity”
would be helpful in our analysis. Main focus in this article is transmission mechanism from
Eurozone monetary policy to Bulgaria and the concomitant questions: does this mechanism
works, in what strength, what time is needed to impact our economy etc. The author starts
his introduction with review of theoretical approach about formation of interest rates and
factors that determine their rigidity. About the last phenomenon he mentions several
reasons like:
 Willingness of banks to avoid borrowers with risky profile. Presence of asymmetry in
information plus raising interest rates will attract more customers with bad credit
indicators and leading to moral hazard problem.
 For the customer marginal costs of changing current financial institution are bigger
than the expected benefits.
 Presence of long-term relationship (personally attitude) and unavailability to be built
another in short-term.
 Structure of the bank expenditures – presence of fixed costs and impossibility to be
transformed as variable.

In my opinion there are also other factors that determ this phenomenon:
 Shareholders/Management set of goals – market share, ROIC and other indicators.
 Market shifting – like entering of a new player on the market.
It’s important to be noted that most of the factors above can’t be measured and information
about them is confidential, that’s why they aren't included in this analysis.

Another useful approach used by the author is error correction time model – used to
estimate both long-run and short-run effect (that last period deviation from long-run
equilibrium has an impact in short-run dynamics). In exploring this relation are used lagged
values. Unfortunately it’s hard to be found such strong theory that leads to equilibrium
between interest rate and different macroeconomic factors, but it’s logical to suggest that
some of macro factors may have impact in long-term. Also I find the final conclusion as quite
interesting: “in long term interest rates levels are determined from bank deposits in
Eurozone and local economic conjuncture”.

Another two documents – “Factors Affecting Pricing of Loanable Funds by

Commercial Banks in Kenya” and “Influence of Interest Rates Determinants on the
Performance of Commercial Banks in Kenya” tries to get answer about Kenyan interest rates.

First one is published in International Journal of Business and Social Science in June 2014.
Introduction contains a brief historical review of economic history and current market
situation. From there we could make interesting parallels. For example: in early 90’s Kenyan
economy go through market liberalization, fast growing debt and vast fluctuation in interest
rates. Another interesting parallel is that their top 5 banks (from 43 at all) have about
57.11% market share, also industry has a private organization for providing their goals -
Kenya Institute of Bankers (KIB) – according to the authors (two of them are chairman’s in
Kenyatta University departments) this is a classic example of an oligopoly. And back to our
reality - latest statistic published from BNB shows that in Q3/2016 top 5 (system) banks in
Bulgaria holds 57.66% (51 823 mln. BGN from 89 882 mln. BGN total assets for all
participants)7. Here we have ABB – association of Bulgarian banks with main purpose to
“coordinating and harmonizing the interests of its members in performing their activities,
protecting the rights and interests of its members“8.

In their analysis they used following function to explain interest rates:

r = f(WO, Rte, Lb, Rrb, GtO,e), where:
r – is the price of loanable funds or lending interest rate
WO – Changes in wealth
Rte – Expected return on bonds relative to alternative assets (TBs)
Lb – Liquidity of bonds relative to alternative assets
Rrb – Risk of bonds relative to alternative assets
GtO – Government short term borrowing
e – Changes in expected inflation
Although they performed Pearson correlation test between the variable, the results shows
clearly that this model has a problems and need additional specification – for example D-W
coefficient is 0.371 (elegantly skipped from interpretation and focused on the obtained
regression betas).

7
For additional information see Appendix 1. Source: BNB.
8
http://abanksb.bg/en/about-us/
Similar weaknesses can be found in second document. Again there is no variable analysis,
neither is researched relation between them. Authors had tried to estimate interest rates
with randomly picked variables like: inflation rates, reserve requirement, discount rate and
exchange rate.

Quite different approach is used by Karel Janda and Pavel ZetekIn their project named
“Macroeconomic factors influencing interest rates of micro finance institutions (MFI) in Latin
America”. At the beginning they use deductive method to analyze MFI progress in all
continents in last 12 years and then focus on particular target group and indicators that
differ them from others. They divide factors at two groups:
 loans attributes - margin, avg. exposure, ROA calculated from balance sheets etc.
and
 macroeconomic indicators – unemployment, inflation, rural population, GDP growth.
The hypothesis that they test is about the significance of the impact of world finance crisis
on MFI interest rates in Latin America. Again the established model is linear, but they use
also dummy variable to check for breakpoint in 2009.

Another research done by Frączek on household savings reach interesting conclusions

(based also on other studies) like:
 ”savings accumulated for special purposes (such as education) or due to the
precautionary motive are insensitive to changes in interest rate.
 savings react to the availability as well as conditions and costs of credits
 people who accumulate large sums of money react to interest rates
 people who accumulate small sums of money don’t react to interest rates
 people who have information about efficiency of different financial products are
more likely to react to interest rates. ”

As a last source of ideas for important factors and different kind of relation in economy I
used J. Handa “monetary economics” textbook. In the end of chapter 19 (The
macroeconomic theory of the rate of interest) author provides empirical evidences about
some of the theories. Using distributed lag autoregressive model he present empirical proofs
about liquidity preference theory and loanable funds theory9. As useful ideas I would
mention the reminding that people cares about real interest rate while my research focus is
on nominal, also first difference could be useful and benefits from lin-log models.

As a result (of all above) I will include following variables in my model:

A. GDP in absolute value per Q (quarter) with base 2010 prices. As we know quarterly
data may suffer from seasonality trend – and that’s the case here – Q2 and Q3
normally have greater absolute values. To remove this trend I had to transform the
variable as a difference between current Q value and same Q in year 2000.
B. Employment – as absolute value and as absolute change with base 2000.
C. Gross Value Added (GVA) – is another indicator that might be important, because is
directly related with GDP and salary.
D. Salary.

9
Handa, J., Monetary economics, second edition, Routledge, 2009, p. 680-686
 E. As I mentioned above people calculate real interest rate so HICP will give is idea
about inflation and from there indirectly about real rate.
F. 3m. Euribor, 3m. Sofibor and Treasury bonds were significant in first two examined
papers, that’s why I will include them.
G. In 2009 – 65% of Bulgarian export and 60% of import was from EU members. In 2015
– 65% of export and 64% from import are from there10. For these countries we have
fixed exchange rate, but for other 35% we use dollars. As an absolute value (if we
sum both values – export and import) we obtain around 34 000 mln. BGN trade
value. That’s why I think EUR/USD exchange rate should present.
H. As I final variable I will use price of new corporate deposits. I took the present values,
because they represent better the current market situation.

For data source I used NSI, BNB, ECB and investing.com statistics. As a starting year I took
2003, because this is the first year with full statistical information about Bulgarian
government treasury bonds. Also as you may guess some of the data above suffers from
non-stationarity, that’s why I had to use later some data derivatives (in major case – first
difference).

4. Estimating the model and handling with data

At a first look there is some logic behind each variable11 but if we look close we may find
problems even before estimating the model. As we know from macroeconomic theory GDP
can be calculated by value added approach, which sums the added value in each stage and
could be easily calculated using 3 major variables – avg. list of workers, productivity per hour
and working hours per year. As long as we have employment rate and GVA we can expel
GDP variables from our analysis.
Continuing with fundamental approach economic agents care more about real interest rates
(and not so much about their nominal values). According to theory – Fisher equation
suggests solution of this problem – real interest rate is a function of nominal interest rate
and inflation. So I will do data manipulation clearing different variables from inflation
influence. It’s good to be mentioned that avg. salary is in absolute values and will be
recalculated too. The result can be found in appendix 4.

Before model estimation it’s better to perform a test for correlation between our
explanatory variables. As we can see from our correlation matrix (appendix 5) we may have
a problem with multicollinearity, but as Gujarati says: “that such pair-wise correlations may
be a sufficient but not a necessary condition for the existence of multicollinearity” 12. Also in
his opinion: “Another suggested rule of thumb is that if the pair-wise or zero-order
correlation coefficient between two regressors is high, say, in excess of 0.8, then
multicollinearity is a serious problem”13. In my opinion this output is very useful and would
give us a starting point when we stuck with multicollinearity problem, that’s why I have
yellowed all cells with values above 0.65.

10
For additional information see Appendix 2. Data sourse: NSI
11
For additional information about starting data see Appendix 3.
12
Gujarati, D., Basic Econometrics fifth edition, McGraw Hill Education, 2009, p. 372
13
Gujarati, D., Basic Econometrics fifth edition, McGraw Hill Education, 2009, p. 359
 The easiest way to check of multicollinearity presence is to estimate linear model and
then test for presence. As major consequences of her presence we can highlight:
 high R square,
 Sensitivity (significant changes) in t-ratios, confidence intervals and slopes to small
data changes.

In Appendix 6 is shown the result if just expelling one variable (3m. Sofibor) how the
slope, std. error and t-statistic have changed for treasury bonds more than 2 times. That’s
why I will get rid of:
 Treasury bonds – as a primary reason to be included is that they are alternative on
loans. But Bulgarian bond market is not so developed, we have no regular emissions
and when banks excess liquidity they will invest in anything that has acceptable
return rate and risk.
 Salary – productivity (GVA) and salary are highly correlated – and that’s the way it
should be. As long as GVA and employment present GDP it’s better to expel salary.
 EUR/USD ratios – if we want to be more precise we have to include purchasing power
parity theory and this would cause a lot of transformations and calculations for a
variable that has an indirect impact on loans rate.

3m. Sofibor is highly correlated too. That’s why I’ll try to explain them indirectly with
instrumental variables in two-stage LS model. From now is performed data mining technique
to be obtained the final model. I know that’s kind of gap but otherwise I will have to analyze
in this text the output of a dozen performed models and reasons for their rejection. Main
rules that I will follow in this mining process are: common sense, causation approach, lagged
technique and composite variables.
The obtained result with performed tests is in appendix 8.

As we can see from the output I used Two Stage LS method to estimate quarterly
change in loans interests. An explanatory variable is 3m. Sofibor first difference,
instrumental variables are 3m. Euribor and deposits first differences. Also we can’t use log
form because we use difference and we have negative results, but even if that was not the
case Euribor has a negative values as an index.
3m. Sofibor is measuring the price of unsecured deposits offered on the Bulgarian interbank
market. It’s kind of obvious that our local banks can borrow cheap money from Eurozone
through their parent companies. It’s logical banks to use local deposits as a source of
liquidity too. From here we can say that 3m. Sofibor is derivative of 3m. Euribor and deposits
price.
Adding lagged values shows that they are insignificant for all variables and it’s is kind
of normal – our data is quarterly and even there is an event in first Q the shock will be
accumulated till the end of the period because market indexes like Euribor and Sofibor are
calculated on daily base.
In the appendix is missing the J-stat omitted variable test, but this is because I
wanted to check for all other variables and compositions of them (like change in
employment per Q multiplied by percentage change in GVA or salary), but Eviews does not
allow to check more than 3 at a time (kind of restrictive because I have more than 15
variables). That’s why I simply used Ramsey reset test and he confirmed that the model is
fine. This is confirmed also from D-W statistic, serial correlation and heteroscedasticity tests.
At first look residuals histogram looks good – it’s obvious that kurtosis is a little bit low, but
in my opinion this is not necessarily bad, because when you want to explain interest rates
even a small deviation in estimated output could lead to dramatic loses. After additional
calculation the average deviation is 0.52%. But if we combine this histogram with the
residual graph we can see that most of the time our prediction is under/over- estimating and
in the end the gap between two periods is getting bigger. That’s why if we want a precise
analyze we have to search for other factors explaining this fluctuation.

In conclusion I would like to say that this project does not pretend for exhaustiveness
of the problem. His primary idea – to find direct relation between macroeconomic factors is
kind of unsuccessful, because the final model includes only market indices. But sometimes
we have to take the reality and assume that is hard to find direct relation where she does
not exist.
 References
1. Frączek B., The factors affecting the level of household savings and their influence on
economy development, 8th International scientific conference Financial management of
firms and financial institutions Ostrava, VŠB-TU Ostrava, faculty of economics, finance
department 6th – 7th September 2011
2. Gujarati, D., Basic Econometrics fifth edition, McGraw Hill Education, 2009,
3. Handa, J., Monetary economics, second edition, Routledge, 2009
4. Janda K. and P. Zetek, Macroeconomic factors influencing interest rates of microfinance
institutions in Latin America, Munich Personal RePEc Archive, 2013
5. Maigua, C. and G. Mouni, Influence of Interest Rates Determinants on the Performance of
Commercial Banks in Kenya, International Journal of Academic Research in Accounting,
Finance and Management Sciences, Vol. 6, No.2, April 2016, pp. 121–133
6. Matete J., F. Ndede and J. Ambrose, Factors Affecting Pricing of Loanable Funds by
Commercial Banks in Kenya, International Journal of Business and Social Science Vol. 5, No. 7;
June 2014
7. Mihailov, M., Loans interest rates in Bulgaria: role of monetary factors in Eurozone and
influence of economic activity, BNB discussion materials, DP/97/2014
8. Samuelson, P. and W. Nordhaus, Economics 19e, McGraw-Hill Irwin, 2010.
9. Review of factors affecting levels of interest rates in Zambia, IMCS Limited, 2003
10. Treaty on the Functioning of the European Union
11. www.abanksb.bg
12. www.bnb.bg
13. www.federalreserve.gov
14. www.imf.org
15. www.worldbank.org
 Appendix
Appendix 1

Banking system Reference date: First group Reference date:

30.9.2016 30.9.2016
1. Balance Sheet Statement [Statement of Financial Position] 1. Balance Sheet Statement [Statement of Financial Position]

1.1 Assets 1.1 Assets

Thousand BGN Thousand BGN
Carrying Carrying
amount amount
Cash, cash balances at central banks and other Cash, cash balances at central banks and other
010 010
demand deposits 16 988 734 demand deposits 9 531 825
050 Financial assets held for trading 1 757 309 050 Financial assets held for trading 1 315 447
Financial assets designated at fair value Financial assets designated at fair value
100 100
through profit or loss 227 408 through profit or loss 0
140 Available-for-sale financial assets 8 601 012 140 Available-for-sale financial assets 5 479 080
180 Loans and receivables 55 749 970 180 Loans and receivables 32 933 599
210 Held-to-maturity investments 2 201 119 210 Held-to-maturity investments 27 382
240 Derivatives – Hedge accounting 0 240 Derivatives – Hedge accounting 0
Fair value changes of the hedged items in Fair value changes of the hedged items in
250 250
portfolio hedge of interest rate risk 0 portfolio hedge of interest rate risk 0
Investments in subsidaries, joint ventures and Investments in subsidaries, joint ventures and
260 260
associates 367 867 associates 133 974
270 Tangible assets 1 805 188 270 Tangible assets 971 781
300 Intangible assets 170 973 300 Intangible assets 115 478
330 Tax assets 24 087 330 Tax assets 5 189
360 Other assets 1 484 046 360 Other assets 1 220 966
Non-current assets and disposal groups Non-current assets and disposal groups
370 370
classified as held for sale 444 844 classified as held for sale 89 072
380 TOTAL ASSETS 89 822 557 380 TOTAL ASSETS 51 823 793

Appendix 2

Export - FOB Import - CIF Export - FOB Import - CIF

Countries and groups of countries Countries and groups of countries
2009 2015
mln. BGN mln. BGN
Total 22 882 33 005 Total 44 950 51 549
EU 14 858 19 789 EU 29 049 33 157
Third counrties 8 024 13 216 Third counrties 15 900 18 392
Appendix 3

GDP price - Q Change avg. list of Change in GVA per HICP Inflation per % change Treasury Rate on
avg. EUR/USD 3m 3m. Rate on
Period base 2010 (in base 2000 (in workers in employee per Q hour (base (base Q (base in EUR/USD bonds term
salary ratio euribor Sofibor loans
mln. BGN) mln. BGN) thousands (base previous Q) 2010) 2010) previous Q) ratio rate deposits
2003Q1 11 856 1 549 1 995 20 264 7,0 62,59% 1,74% 1,0924 8,94% 2,37% 6,93% 3,28% 2,63% 9,59%
2003Q2 12 662 1 702 2 056 61 275 7,0 62,25% -0,55% 1,1511 -7,00% 2,12% 6,78% 4,27% 2,23% 9,29%
2003Q3 15 098 1 887 2 122 66 275 8,5 62,26% 0,02% 1,166 9,08% 2,32% 5,91% 3,65% 1,87% 8,53%
2003Q4 15 575 2 310 2 143 21 284 8,9 64,41% 3,44% 1,2588 4,17% 2,25% 6,06% 3,72% 2,20% 8,44%
2004Q1 12 423 2 117 2 110 -33 279 7,0 66,60% 3,40% 1,2315 -2,40% 2,17% 5,48% 3,45% 2,31% 8,82%
2004Q2 13 565 2 604 2 174 64 288 6,8 66,45% -0,22% 1,2187 0,04% 2,36% 5,30% 4,42% 2,42% 8,59%
2004Q3 16 255 3 044 2 242 69 293 8,8 66,47% 0,04% 1,2432 8,81% 2,34% 5,30% 3,46% 2,03% 8,13%
2004Q4 16 500 3 234 2 216 -27 304 9,0 67,46% 1,48% 1,3558 -0,31% 2,31% 5,01% 3,62% 2,36% 7,88%
2005Q1 13 415 3 109 2 198 -18 303 7,4 69,11% 2,45% 1,2963 -7,13% 2,26% 4,17% 3,63% 2,30% 7,26%
2005Q2 14 678 3 717 2 266 68 317 7,2 70,17% 1,53% 1,2102 0,30% 2,16% 3,90% 3,62% 1,98% 7,28%
2005Q3 17 184 3 974 2 341 75 322 8,9 71,07% 1,28% 1,203 -4,55% 2,44% 3,60% 3,62% 2,21% 7,40%
2005Q4 17 649 4 384 2 297 -44 332 9,4 72,74% 2,35% 1,1843 1,17% 2,84% 3,49% 3,60% 2,25% 7,63%
2006Q1 14 109 3 803 2 250 -47 331 7,7 75,13% 3,28% 1,2119 7,30% 3,21% 3,90% 3,60% 2,39% 7,39%
2006Q2 15 735 4 774 2 348 98 343 7,5 76,22% 1,45% 1,2789 -0,04% 3,52% 4,35% 3,59% 2,52% 7,48%
2006Q3 18 396 5 186 2 393 45 351 9,4 75,83% -0,50% 1,2672 3,42% 3,79% 4,40% 3,69% 2,81% 7,64%
2006Q4 19 012 5 747 2 363 -30 371 9,9 76,92% 1,43% 1,3199 -0,03% 4,03% 4,18% 3,88% 2,75% 8,11%
2007Q1 15 145 4 839 2 361 -2 389 7,9 79,07% 2,80% 1,3358 1,68% 4,24% 4,22% 4,12% 3,05% 8,19%
2007Q2 17 203 6 243 2 418 57 411 8,1 79,82% 0,94% 1,3541 1,31% 4,58% 4,57% 4,41% 3,48% 7,95%
2007Q3 19 489 6 279 2 444 26 427 9,5 82,69% 3,60% 1,4272 7,21% 4,66% 4,44% 4,91% 3,67% 8,03%
2007Q4 20 354 7 089 2 400 -44 456 10,3 85,54% 3,45% 1,459 3,72% 4,55% 5,08% 6,16% 3,89% 8,14%
2008Q1 16 290 5 984 2 466 66 505 8,0 88,86% 3,89% 1,5774 2,51% 4,80% 4,85% 6,63% 3,95% 8,19%
2008Q2 18 383 7 422 2 503 37 537 8,3 91,02% 2,43% 1,5756 -5,62% 5,36% 5,17% 6,89% 4,11% 8,48%
2008Q3 20 819 7 609 2 603 100 541 9,7 93,06% 2,24% 1,4104 -13,88% 4,99% 5,17% 7,27% 4,30% 8,80%
2008Q4 21 047 7 782 2 545 -58 571 10,2 93,27% 0,22% 1,398 0,65% 2,74% 7,76% 7,78% 5,09% 8,98%
2009Q1 15 856 5 550 2 487 -57 581 8,2 93,42% 0,16% 1,3251 11,42% 1,77% 7,73% 6,74% 4,80% 8,81%
2009Q2 17 938 6 977 2 515 28 604 8,6 93,87% 0,48% 1,4036 1,25% 1,45% 7,30% 5,99% 4,61% 8,68%
2009Q3 20 198 6 988 2 480 -35 600 10,3 93,83% -0,04% 1,4636 4,68% 1,24% 7,45% 5,37% 4,36% 9,12%
2009Q4 19 803 6 537 2 436 -44 622 10,5 94,13% 0,32% 1,4318 -9,49% 1,23% 6,61% 4,78% 4,55% 8,04%
2010Q1 15 296 4 989 2 362 -73 622 8,5 95,25% 1,18% 1,3512 -9,88% 1,23% 5,82% 4,31% 4,31% 8,62%
2010Q2 18 440 7 480 2 389 27 643 9,3 96,55% 1,36% 1,2236 3,30% 1,36% 6,21% 4,19% 3,68% 8,18%
2010Q3 20 343 7 133 2 397 8 642 10,6 96,95% 0,41% 1,3633 2,84% 1,49% 5,90% 4,03% 3,39% 7,98%
2010Q4 20 692 7 427 2 355 -43 675 11,4 97,92% 1,00% 1,3379 6,21% 1,60% 5,76% 3,97% 3,26% 8,58%
2011Q1 15 588 5 281 2 342 -13 669 8,7 99,53% 1,65% 1,4166 4,39% 2,05% 5,38% 3,90% 3,28% 8,43%
2011Q2 19 123 8 162 2 370 28 698 10,0 99,85% 0,32% 1,4506 -0,12% 2,14% 5,39% 3,77% 3,87% 9,12%
2011Q3 20 827 7 617 2 381 11 691 11,1 99,96% 0,11% 1,3386 -6,37% 2,07% 5,30% 3,72% 3,25% 8,94%
2011Q4 20 666 7 400 2 302 -79 728 11,6 100,40% 0,44% 1,2948 -0,78% 1,84% 5,23% 3,65% 3,05% 8,94%
2012Q1 15 807 5 501 2 292 -10 711 8,9 101,41% 1,00% 1,3344 -7,30% 1,38% 5,07% 3,15% 3,39% 9,31%
2012Q2 18 917 7 956 2 337 45 736 10,2 101,69% 0,28% 1,266 1,85% 1,05% 5,07% 2,58% 3,35% 7,77%
2012Q3 20 841 7 631 2 352 15 732 11,3 102,96% 1,25% 1,2858 3,22% 0,66% 3,80% 1,81% 2,75% 8,12%
2012Q4 20 661 7 396 2 279 -73 765 11,9 103,26% 0,29% 1,3196 0,67% 0,57% 3,44% 1,47% 3,12% 7,99%
2013Q1 15 756 5 450 2 291 11 752 8,8 103,59% 0,32% 1,282 -0,38% 0,52% 3,54% 1,25% 3,02% 8,48%
2013Q2 18 812 7 852 2 339 48 773 10,0 102,77% -0,79% 1,301 1,72% 0,52% 3,40% 1,21% 2,67% 8,07%
2013Q3 21 114 7 904 2 354 15 770 11,4 102,27% -0,49% 1,3526 2,78% 0,53% 3,64% 1,10% 2,55% 7,84%
2013Q4 21 201 7 936 2 278 -76 804 12,2 102,25% -0,02% 1,3746 1,60% 0,55% 3,43% 0,99% 2,17% 7,69%
2014Q1 15 793 5 486 2 214 -64 796 9,0 101,71% -0,53% 1,3771 -1,22% 0,59% 3,54% 0,89% 2,07% 8,53%
2014Q2 19 099 8 138 2 267 53 817 10,1 101,10% -0,61% 1,3692 -3,67% 0,49% 3,11% 0,83% 2,01% 8,27%
2014Q3 21 285 8 074 2 289 22 809 11,4 101,06% -0,03% 1,2632 -5,24% 0,34% 3,26% 0,73% 1,36% 7,12%
2014Q4 21 730 8 464 2 215 -74 847 12,8 100,43% -0,62% 1,2099 -10,35% 0,29% 2,96% 0,67% 1,26% 6,78%
2015Q1 16 407 6 101 2 231 16 859 9,2 99,95% -0,48% 1,0731 -1,66% 0,19% 2,49% 0,61% 1,09% 7,59%
2015Q2 19 698 8 738 2 279 48 879 10,4 100,50% 0,55% 1,1138 2,09% 0,16% 2,36% 0,55% 1,00% 6,56%
2015Q3 22 102 8 892 2 299 20 874 11,9 100,12% -0,38% 1,1177 -5,89% 0,12% 2,36% 0,52% 0,78% 6,66%
2015Q4 22 517 9 251 2 234 -66 915 13,0 99,42% -0,71% 1,086 2,92% 0,03% 2,43% 0,49% 0,81% 5,11%
2016Q1 16 995 6 689 2 271 38 922 9,5 98,86% -0,56% 1,138 2,50% -0,01% 2,66% 0,21% 0,56% 6,21%
2016Q2 20 390 9 430 2 331 59 946 10,5 98,18% -0,69% 1,1105 0,24% -0,04% 2,40% 0,13% 0,60% 5,48%
Appendix 4

avg. list of Change in avg. salary GVA per % change Treasury Rate on
EUR/USD 3m 3m. Rate on
Period workers in employee per Q (base hour (base in EUR/USD bonds term
ratio euribor Sofibor loans
thousands (base previous Q) 2010) 2010) ratio rate deposits
2003Q1 1 995 20 422 7,0 1,0924 8,94% 0,61% 5,10% 1,51% 0,87% 7,71%
2003Q2 2 056 61 442 7,0 1,1511 -7,00% 2,69% 7,37% 4,84% 2,79% 9,89%
2003Q3 2 122 66 442 8,5 1,166 9,08% 2,30% 5,89% 3,63% 1,85% 8,50%
2003Q4 2 143 21 441 8,9 1,2588 4,17% -1,15% 2,53% 0,26% -1,20% 4,83%
2004Q1 2 110 -33 419 7,0 1,2315 -2,40% -1,19% 2,01% 0,05% -1,05% 5,25%
2004Q2 2 174 64 433 6,8 1,2187 0,04% 2,58% 5,53% 4,65% 2,65% 8,83%
2004Q3 2 242 69 441 8,8 1,2432 8,81% 2,30% 5,26% 3,43% 2,00% 8,10%
2004Q4 2 216 -27 451 9,0 1,3558 -0,31% 0,81% 3,47% 2,10% 0,87% 6,30%
2005Q1 2 198 -18 438 7,4 1,2963 -7,13% -0,18% 1,68% 1,15% -0,15% 4,69%
2005Q2 2 266 68 452 7,2 1,2102 0,30% 0,62% 2,33% 2,05% 0,44% 5,66%
2005Q3 2 341 75 453 8,9 1,203 -4,55% 1,15% 2,30% 2,31% 0,92% 6,04%
2005Q4 2 297 -44 456 9,4 1,1843 1,17% 0,48% 1,11% 1,22% -0,11% 5,15%
2006Q1 2 250 -47 441 7,7 1,2119 7,30% -0,06% 0,60% 0,31% -0,86% 3,98%
2006Q2 2 348 98 450 7,5 1,2789 -0,04% 2,04% 2,86% 2,11% 1,05% 5,94%
2006Q3 2 393 45 463 9,4 1,2672 3,42% 4,32% 4,93% 4,22% 3,33% 8,18%
2006Q4 2 363 -30 482 9,9 1,3199 -0,03% 2,56% 2,71% 2,42% 1,30% 6,59%
2007Q1 2 361 -2 492 7,9 1,3358 1,68% 1,40% 1,38% 1,28% 0,24% 5,24%
2007Q2 2 418 57 515 8,1 1,3541 1,31% 3,60% 3,60% 3,44% 2,51% 6,94%
2007Q3 2 444 26 516 9,5 1,4272 7,21% 1,02% 0,81% 1,27% 0,07% 4,27%
2007Q4 2 400 -44 533 10,3 1,459 3,72% 1,06% 1,58% 2,62% 0,43% 4,54%
2008Q1 2 466 66 568 8,0 1,5774 2,51% 0,88% 0,93% 2,64% 0,06% 4,14%
2008Q2 2 503 37 590 8,3 1,5756 -5,62% 2,86% 2,68% 4,36% 1,65% 5,91%
2008Q3 2 603 100 581 9,7 1,4104 -13,88% 2,69% 2,86% 4,92% 2,01% 6,41%
2008Q4 2 545 -58 612 10,2 1,398 0,65% 2,51% 7,53% 7,54% 4,86% 8,75%
2009Q1 2 487 -57 622 8,2 1,3251 11,42% 1,61% 7,55% 6,56% 4,63% 8,63%
2009Q2 2 515 28 643 8,6 1,4036 1,25% 0,97% 6,78% 5,49% 4,12% 8,16%
2009Q3 2 480 -35 639 10,3 1,4636 4,68% 1,28% 7,49% 5,40% 4,39% 9,16%
2009Q4 2 436 -44 661 10,5 1,4318 -9,49% 0,91% 6,27% 4,45% 4,22% 7,70%
2010Q1 2 362 -73 653 8,5 1,3512 -9,88% 0,05% 4,58% 3,09% 3,09% 7,35%
2010Q2 2 389 27 666 9,3 1,2236 3,30% -0,01% 4,78% 2,79% 2,28% 6,73%
2010Q3 2 397 8 662 10,6 1,3633 2,84% 1,07% 5,46% 3,60% 2,97% 7,53%
2010Q4 2 355 -43 689 11,4 1,3379 6,21% 0,59% 4,71% 2,94% 2,24% 7,51%
2011Q1 2 342 -13 672 8,7 1,4166 4,39% 0,39% 3,67% 2,21% 1,61% 6,67%
2011Q2 2 370 28 699 10,0 1,4506 -0,12% 1,81% 5,05% 3,43% 3,53% 8,77%
2011Q3 2 381 11 691 11,1 1,3386 -6,37% 1,96% 5,18% 3,60% 3,13% 8,82%
2011Q4 2 302 -79 725 11,6 1,2948 -0,78% 1,40% 4,77% 3,20% 2,60% 8,47%
2012Q1 2 292 -10 701 8,9 1,3344 -7,30% 0,37% 4,03% 2,12% 2,36% 8,22%
2012Q2 2 337 45 724 10,2 1,266 1,85% 0,77% 4,78% 2,30% 3,07% 7,47%
2012Q3 2 352 15 711 11,3 1,2858 3,22% -0,58% 2,52% 0,55% 1,49% 6,79%
2012Q4 2 279 -73 741 11,9 1,3196 0,67% 0,28% 3,14% 1,17% 2,82% 7,67%
2013Q1 2 291 11 726 8,8 1,282 -0,38% 0,20% 3,20% 0,92% 2,69% 8,13%
2013Q2 2 339 48 752 10,0 1,301 1,72% 1,33% 4,22% 2,02% 3,49% 8,93%
2013Q3 2 354 15 753 11,4 1,3526 2,78% 1,02% 4,14% 1,60% 3,05% 8,36%
2013Q4 2 278 -76 786 12,2 1,3746 1,60% 0,57% 3,45% 1,01% 2,19% 7,70%
2014Q1 2 214 -64 783 9,0 1,3771 -1,22% 1,13% 4,09% 1,43% 2,62% 9,11%
2014Q2 2 267 53 808 10,1 1,3692 -3,67% 1,10% 3,74% 1,44% 2,63% 8,93%
2014Q3 2 289 22 800 11,4 1,2632 -5,24% 0,38% 3,30% 0,76% 1,40% 7,15%
2014Q4 2 215 -74 843 12,8 1,2099 -10,35% 0,92% 3,60% 1,30% 1,89% 7,45%
2015Q1 2 231 16 859 9,2 1,0731 -1,66% 0,67% 2,99% 1,10% 1,58% 8,11%
2015Q2 2 279 48 875 10,4 1,1138 2,09% -0,39% 1,79% 0,00% 0,45% 5,97%
2015Q3 2 299 20 873 11,9 1,1177 -5,89% 0,50% 2,75% 0,90% 1,17% 7,06%
2015Q4 2 234 -66 920 13,0 1,086 2,92% 0,74% 3,16% 1,21% 1,52% 5,86%
2016Q1 2 271 38 933 9,5 1,138 2,50% 0,55% 3,24% 0,78% 1,12% 6,81%
2016Q2 2 331 59 964 10,5 1,1105 0,24% 0,65% 3,11% 0,83% 1,30% 6,21%
Appendix 5
Change in
avg. list of
employee per Q avg. salary GVA per hour % change in Treasury bonds Rate on term
workers in EUR/USD ratio 3m euribor 3m. Sofibor
(base previous (base 2010) (base 2010) EUR/USD ratio rate deposits
thousands
Q)
avg. list of workers in thousands 1
Change in employee per Q (base previous Q) 2,67% 1
avg. salary (base 2010) 13,51% -19,67% 1
GVA per hour (base 2010) 21,60% -39,25% 70,62% 1
EUR/USD ratio 65,52% -13,55% -14,02% 0,24% 1
% change in EUR/USD ratio -8,26% -0,34% -18,19% -11,34% -9,45% 1
3m euribor 32,39% 31,92% -26,02% -12,48% 22,83% -3,23% 1
Treasury bonds rate 10,32% -6,61% 5,57% 3,61% 7,46% 6,93% 39,30% 1
3m. Sofibor 52,43% 4,76% -24,91% -15,18% 42,17% -1,76% 66,63% 75,52% 1
Rate on term deposits 42,15% -12,19% 30,62% 26,61% 28,78% -8,05% 45,55% 84,78% 71,09% 1

Appendix 6

Appendix 7

Estimated model
Residuals histogram

White test for heteroscedasticity. As log R squared is 0.0000000 the conclusion is obvious and I don’t
find as necessary to do additional calculations and compare the result with chi distribution.
Ramsey test output for omitted variable
Another heteroscedasticity test: Breush-Pagan-Godfrey

Test for Serial Correlation

Residual Graph