Dopad změn podmínek pro aplikaci zvýhodněné daňové sazby u nemovitostních investičních fondů v České republice
Impact of Changing Preferential Tax Rate Conditions on Czech Real Estate Investment Funds

Summary/Abstract: This paper provides a framework for conducting simulations and stress testing in the nonfinancialcorporate sector. It relies on national accounting and uses a set of input-outputtables to track the propagation of shocks between parts of the sector while staying entirelyconsistent with the big picture framed by the core forecasting model and the underlyingscenario. The simulation framework allows standard macroeconomic developments to becaptured, but one-off measures such as government wage and salary compensation andloan moratoria can also be easily implemented. The main output of the simulation isa set of industry-level performance and profitability variables. These variables can beused for various types of analysis, such as credit risk modelling and profitability andliquidity analysis. Some of them – such as forecasting portfolio default rates – are shownin the paper. The historical default rate estimates obtained are accurate and economicallysensible for most industries and exhibit high reliability even under severe economicconditions. Given its national accounting framework and its level of detail, the modelcan be used to support decision-making processes and to evaluate the effects of existingor planned economic policies. Two different scenarios are considered to demonstratethe benefits of the proposed approach.

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