Credit Risk Determinants for the Bulgarian Banking System

Nikolaidou, Eftychia; Vogiazas, Sofoklis

doi:10.1007/s11294-013-9444-x

Cited by 48 publications

(32 citation statements)

References 31 publications

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“…The main body of the empirical literature uses VAR models instead of cointegration analysis, although several methods are available for conducting cointegration tests such as the Engle-Granger approach, the maximum likelihood based Johansen test and the Autoregressive Distributed Lag approach to cointegration (ARDL) (Nikolaidou and Vogiazas, 2014). Through the use of VAR, Nkusu (2011) concludes that slow GDP growth and unemployment positively affected credit risk in a large group of advanced economies from 1998 to 2009.…”

Section: Literature Reviewmentioning

confidence: 99%

Credit Risk Determinants in the Vulnerable Economies of Europe: Evidence from the Spanish Banking System

Gila-Gourgoura¹,

Nikolaidou²

2017

IJBESAR

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Purpose:The purpose of this paper is to investigate the determinants of non-performing loans in the Spanish banking system over the period 1997Q4-2015Q3. This timeframe includes not only the booming period for the Spanish economy but also an extended post-crises interval which is missing from other studies for Spain. Design/methodology/approach: Using quarterly data from the Central Bank of Spain and from the European Central Bank, the paper employs the ARDL approach to cointegration to identify the existence of a long or short-run relationship between NPLs and a set of macroeconomic, bank-related and country-specific indicators. Findings:Findings from the ARDL model indicate that macroeconomic, bank-specific variables and interest rates are important determinants of non-performing loans in the Spanish banking system. Specifically, the real GDP, the Spanish long-term government bond yield, the return on equity, the total credit granted by the Spanish banks and their capital to assets ratio, explain credit risk in Spain both in the short and the long run. Research limitations/implications:Data on the bank-specific variables are for the whole banking industry, and not for individual banks. If such data were available, a comparison of the credit risk determinants between small/ big banks, private/public or domestic/foreign could be possibly made. Originality/value: These findings provide useful evidence to bank managers and policymakers in dealing with loans' defaults in Spain and in undertaking crucial reforms to stabilize the economy.JEL Classifications C32, G17, G21

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Section: Literature Reviewmentioning

confidence: 99%

Credit Risk Determinants in the Vulnerable Economies of Europe: Evidence from the Spanish Banking System

Gila-Gourgoura¹,

Nikolaidou²

2017

IJBESAR

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“…Greenidge and Grosvenor (2009) employ the ARDL approach to investigate NPLs in Barbados over the period 1996-2008 and conclude that they are significantly affected by interest rates in the long run while Nikolaidou and Vogiazas (2013) following the same approach conclude that the lending growth jointly with money supply and unemployment have a significant long-run impact on Romania's credit risk over the period 2001-2010. Consistently, Nikolaidou and Vogiazas (2014) find that NPLs in the Bulgarian banking system are explained by both macroeconomic and industry-specific variables as well as by exogenous factors such as the recent global financial crisis. Gila-Gourgoura and Nikolaidou (2016), conclude that the real GDP, the Spanish long-term government bond yield, the return on equity, the total credit granted by the Spanish banks and their capital to assets ratio, explain credit risk in Spain both in the short and the long run.…”

Section: Literature Reviewmentioning

confidence: 70%

Credit Risk Determinants in the Vulnerable Economies of Europe: Evidence From the Italian Banking System

Gila-Gourgoura¹,

Nikolaidou²

2018

Proceedings of the 10th Economics &Amp; Finance Conference, Rome

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This study uses the ARDL approach to cointegration to identify the factors affecting credit risk in the Italian banking system over the period 1997Q4-2017Q1. The ratio of new bad loans to the outstanding amount of performing loans in the previous period is the selected proxy of credit risk whereas a wide range of explanatory variables are included in the study. Compared to the previous studies, a wider timeframe is investigated, which captures the booming period, the global financial crisis and the ongoing Eurozone sovereign debt crisis. The findings suggest that macroeconomic cyclical, bank-specific, and financial market variables affect the flow of new bad loans in the Italian banking system. The high significance of the sovereign debt crisis risk proxy signals the important link between banking and sovereign debt crisis.

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“…Banks have started to generate profits and have begun to increase the amount of credit extended to the public. The application of the provisions of the ratio of non-performing loans (Non Performing Financing or Non Performing Financing) below 5% issued by Bank Indonesia made the banks try to meet these provisions (Nikolaidou & Vogiazas, 2014).…”

Section: Difference In Profit Management Levels In Islamic Banks Andmentioning

confidence: 99%

Credit Risk Management in Financial Institution: Comparative Study in Islamic and Conventional Banking

Pambekti¹

2020

EkBis

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Credit and financing problems at conventional banks and Islamic banks are related to how businesses that have been financed by banks can be run, whether the loan recipient has actually run the business as stated in the contract or the business manager has been denied. The purpose of this study was to determine the differences in Non-Performing Loans in conventional banks and Non-Performing Financing of Islamic banks. Hypothesis testing techniques in this study used the first two choices of independent sample t-test if the data were normally distributed so the classical assumptions were tested first to ensure that the data used by researchers had a normal distribution and if the data were not normally distributed will use the Mann Whitney test to test the difference between Non Performing Loans and Non Performing Financing in Islamic commercial banks and conventional banks.. So the results of this study indicate that there are differences between PT. Bank Mandiri and NPF of PT Bank Syariah Mandiri, or it can be said there is a difference between ratios that indicate the ability of bank management in managing loans or financing problems provided by PT. Bank Mandiri and PT Bank Syariah Mandiri.

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Credit Risk Determinants for the Bulgarian Banking System

Cited by 48 publications

References 31 publications

Credit Risk Determinants in the Vulnerable Economies of Europe: Evidence from the Spanish Banking System

Credit Risk Determinants in the Vulnerable Economies of Europe: Evidence from the Spanish Banking System

Credit Risk Determinants in the Vulnerable Economies of Europe: Evidence From the Italian Banking System

Credit Risk Management in Financial Institution: Comparative Study in Islamic and Conventional Banking

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