Econometric model of non-performing loans determinants

Radivojević, Nikola; Cvijanović, D.; Sekulić, Dejan; Pavlović, Dejana; Jović, Srđan; Maksimović, Goran

doi:10.1016/j.physa.2019.01.015

Cited by 46 publications

(31 citation statements)

References 33 publications

(42 reference statements)

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“…This behaviour could be interpreted as a spurious correlation due to jumps in all economic variables. Alternatively, the evidence can be the key to explaining the conflicting results between the delinquency rate and inflation, often found in the literature and already reported in a previous section (Ghosh 2017;Nkusu 2011;Radivojević et al 2019). In general, during slump times, central banks adopt more active behaviour to support economic activities, but our findings show that in periods of a deep recession, this policy has a limited effect.…”

Section: Resultssupporting

confidence: 44%

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Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach

Fallanca

Forgione

Otranto

2021

JRFM

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Several studies have explored the linkage between non-performing loans and major macroeconomic indicators, using a wide variety of methodologies, sometimes with different results. This occurs, we argue, because these relationships are generally derived in terms of correlation coefficients evaluated in certain time spans, which represent a sort of average level of correlations. However, such correlations are necessarily time-varying, because the relationships between bank loan indicators and macroeconomic variables could be stronger during particular periods or in correspondence with important economic events. We propose an empirical exercise using dynamic conditional correlation models, with constant and time-varying parameters. Applying these models to quarterly delinquency rates and an array of macroeconomic variables for the US, for the period 1985–2019, we find that the correlation is often negligible in this period except during periods of economic crises, in particular the early 1990 crisis and the subprime mortgage crisis.

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Section: Resultssupporting

confidence: 44%

“…On the other hand, the wellknown effect of inflation in wearing away the revenue of fixed-income earners reduces their creditworthiness (Nkusu 2011). Other authors find an insignificant effect of the inflation rate on NPLs (Radivojević et al 2019;Škarica 2014).…”

Section: Literature Reviewmentioning

confidence: 99%

Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach

Fallanca

Forgione

Otranto

2021

JRFM

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“…On the other hand, Radivojević et al worked on the emerging Latin countries for the period of 2000 and 2015. It is determined that there is no relationship between NPL and macroeconomic and microeconomic factors including GDP, inflation, unemployment, CAR, lending interest rates (Radivojević et al, 2019).…”

Section: Literature Reviewmentioning

confidence: 99%

Prediction on the volume of non‐performing loans in Turkey using multivariate adaptive regression splines approach

Depren

Kartal

2020

Int. J Fin Econ

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As the volume of non‐performing loans (NPL) plays an important role in the capacity of providing loans, increasing NPL problem is perceived as one of the major challenges in a bank‐based financial system. In recent years, Turkey has been confronted with this problem. In order to reduce NPL volume, necessary precautions that can contribute to government administrators should be taken. Therefore, the most important predictors on NPL volume were determined by using predictive analytics such as multivariate adaptive regression splines that is found out the optimal parameter effects from high‐dimensional data. The dataset, which is obtained from the Central Bank of the Republic of Turkey and Banking and Regulation Supervision Agency, consists of 14 independent variables from 2005 and 2019. As a result of this study, it is indicated that credits, USD/TL exchange rate, and the unemployment rate are the most statistically significant factors in defining the level of NPL volume.

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“…For the purpose of this study we are used one-step 1 IV-GMM. Since GMM depends only on moment conditions, it is a reliable estimation procedure for many models in economics and finance, especially for models which suffer from endogeneity problems, because it provides the efficient estimations of instrumental variables, under "orthogonality condition", instrumental variables and error term being orthogonal in the expectation sense (Radivojević et al, 2019).…”

Section: Methodsmentioning

confidence: 99%

Examining the Impact of Movements of the Commodity Price on the Value of the Baltic Dry Index during Covid19 Pandemic

Radivojević¹,

Muhović

Joksimović

et al. 2021

AJEER

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The Baltic Dry Index (BDI) is one of the most well-known indices, as it is perceived as a leading indicator of economic activity. Reductions in the movement of people, commodities, and capital in the conditions of economic crises, such as the one in 2008 and 2009, as well as the current economic crisis generated by the COVID-19 pandemic, were affected by the reduction of economic activities. It is interesting to point out that the analysis of the basic trend of the BDI movements in the period before the economic crisis shows that the index fell to near record lows just before the derivatives and credit crisis hit stocks full force. This is a clear signal that the index can be used as a tool for stock market forecasting. The paper aims to examine whether the changes in these raw materials affect the changes in the value of BDI. For these purposes in the paper was use GMM and 2SLS estimator. The results show that different raw materials have a different impact on the value of the BDI, which indicates that based on individual movements value of raw materials which composes the BDI cannot forecast its movement.

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Econometric model of non-performing loans determinants

Cited by 46 publications

References 33 publications

Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach

Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach

Prediction on the volume of non‐performing loans in Turkey using multivariate adaptive regression splines approach

Examining the Impact of Movements of the Commodity Price on the Value of the Baltic Dry Index during Covid19 Pandemic

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