Macro and bank specific determinants of nonperforming loans in polish commercial banks

Petkovski, Mihail; Kjosevski, Jordan; Jovanovski, Kiril

doi:10.15611/aoe.2021.2.06

Cited by 7 publications

(6 citation statements)

References 24 publications

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“…Petkovski conducted more recent evaluations of the Polish banking sector on a panel of 18 Polish banks using annual data from 2005 to 2018. The results indicate that GDP growth, domestic lending to the private sector, public debt, and unemployment have the largest influence on the value of non-performing loans (Petkovski, Kjosevski & Jovanovski, 2021).…”

Section: Literature Reviewmentioning

confidence: 95%

Macroeconomic Determinants of Credit Risk on the Example of Non-performing Loans

Zawadzki

2023

Central European Economic Journal

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The primary goal of this article is to examine the principal macroeconomic factors influencing credit risk as assessed by the nonperforming loan ratio (hereinafter NPL ratio). Based on the results, the ratio of domestic credit to the private sector, Organization for Economic Cooperation and Development (OECD) membership with a negative correlation with NPLs while the unemployment rate and the ratio of public debt with a positive relation with NPLs were statistically significant. In addition, the correlation between the inflation rate and the depreciation of the home currency was proven. The research examines the effects of the 2008 credit crunch, which triggered the financial crisis. The sample comprises 106 countries for the period 2009–2019. The real GDP growth, unemployment rate, public debt ratio, domestic credit to private sector ratio, currency depreciation, inflation rate, and interest rate were analysed as macroeconomic factors. A dummy variable representing OECD membership has been included in the analysis. The estimations were performed using the ordinary least squares (OLS) method. This article contributes to the academic discourse on the panel data perspective with regard to non-performing loans, while the practical implications are beneficial for governments and international investors.

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Section: Literature Reviewmentioning

confidence: 95%

Macroeconomic Determinants of Credit Risk on the Example of Non-performing Loans

Zawadzki

2023

Central European Economic Journal

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“…Petkovski et al. (2021) study investigated the macroeconomic and bank-specific determinants of nonperforming loans.…”

Section: Literature Reviewmentioning

confidence: 99%

“…This study employs the regression technique, and the results of this study show the negative effect of political instability and terrorism on the soundness of nonfinancial firms. Petkovski et al (2021) study investigated the macroeconomic and bank-specific determinants of nonperforming loans. This study used sample data of 18 banks of Poland during the period 2005-2018.…”

Section: 4mentioning

confidence: 99%

Examining the effect of liquidity creation on banking profitability and stability: moderating role of political instability

Javid

Chandia

Zaman

et al. 2022

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PurposeThe paper aims to test the effect of liquidity creation on profitability and stability with the moderating role of political instability and its level of implication on the overall banking sector of Pakistan.Design/methodology/approachThis study uses the panel data estimation technique, including fixed- and random-effect model, by taking sample data of 28 banks of Pakistan that are providing their services from 2006 to 2019. Moreover, this study uses the Genreralized Method of Moments (GMM) estimation technique to check the robustness of the results.FindingsThe empirical outcomes of this study found a negative relationship of liquidity creation with profitability meanwhile positive relation with banking stability. However, this study shows a negative relation of political instability with liquidity creation, profitability and stability of overall banks of Pakistan.Practical implicationsThe findings of this paper recommended the vital role of liquidity creation in the profitability and stability of banks, especially in the decision-making process of the investors and bank managers, and how it is affected strongly in the presence of an unstable political situation. These findings may be helpful for policymakers to devise appropriate policies to maintain a fair field between state authority and financial institutions and also assist in formulating strategies to strengthen the banking sector of Pakistan to avoid financial turmoil in the future.Originality/valueAs per the knowledge of the authors, this study is the first contribution to examine the moderating effect of political instability on liquidity creation, profitability and stability of the overall banking sector of Pakistan.

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“…On the one hand, studies can provide an abstract presentation. For example, the results show that the NPLs can be explained mainly by macroeconomic variables, including the unemployment rate [18,59,[62][63][64]. On the other hand, studies can provide a detailed presentation, i.e., indicating the direction of the relationship and/or whether the relationship is significant.…”

Section: Labour Market Variablesmentioning

confidence: 99%

“…(1) Researchers document a significant-positive impact of unemployment on credit risk; i.e., credit risk rises when the unemployment rate increases [2,3,15,17,31,43,45,46,52,60,[64][65][66].…”

Section: Labour Market Variablesmentioning

confidence: 99%

Macroeconomic Determinants of Credit Risk: Evidence on the Impact on Consumer Credit in Central and Eastern European Countries

Kanapickienė

Keliuotytė-Staniulėnienė²,

Teresienė³

et al. 2022

Sustainability

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Although empirical studies show that different types of loans have different risks (moreover, consumer credit risk is higher compared to other types of loans), it is common to study the credit risk of the banking sector as a whole, or of an individual bank’s whole loan portfolio, and the macro-economic factors affecting it (without grouping them by type of loan). Thus, an analysis of the credit risk of the whole loan portfolio (measured by all non-performing loans) is insufficient. Therefore, the aim of this research is to identify the macroeconomic determinants of the consumer loan credit risk and quantitatively assess their impact in Central and Eastern European countries. After the analysis of scientific literature in the field of credit risk determinants, a detailed classification of factors influencing banking credit risk is proposed. The distinguishing feature of the classification is that the factors influencing credit risk are classified at five different levels; twelve groups of general macroeconomic conditions variables were selected as the potential factors of NPLs. This classification can be useful to better understand and investigate the factors influencing banking credit risk for the whole loan portfolio (in the same way as the factors that affect the credit risk of different types of loans, e.g., consumer loans). Using the methods of constant, fixed and random-effects panel analysis, simple OLS, least squares with breakpoints regression analysis and Markov regime-switching models, the impact of the macroeconomic variables from twelve separate groups is evaluated. The data from 11 CEE countries are used, and the period from 2008 to 2020 is covered. The results of this assessment reveal that in the group of CEE countries, such variables as GDP and labour market variables appeared to have contributed to the increase in the share of non-performing consumer loans, while inflation and real estate market variables were related to the decrease in consumer NPLs; at the same time, the impact of variables form other groups appeared to be mixed-nature or insignificant. The results of this research are useful in that they allow the identification of the most important determinants of consumer loan credit risk and thus allow making assumptions about NPL changes due to the changing macroeconomic situation. In the case of Lithuania, this kind of study (assessment of macroeconomic determinants of consumer loan credit risk) was conducted for the first time. Consumer loan credit risk assessment is especially relevant in an increasing interest rate environment, and deeper analysis can help banks and other financial institutions to manage credit risk. On the other hand, a better understanding of the main influencing factors of the macroeconomic environment can help central banks and other official institutions take appropriate monetary and fiscal policy decisions to ensure a good credit transmission channel for sustainable economic growth.

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Macro and bank specific determinants of nonperforming loans in polish commercial banks

Cited by 7 publications

References 24 publications

Macroeconomic Determinants of Credit Risk on the Example of Non-performing Loans

Macroeconomic Determinants of Credit Risk on the Example of Non-performing Loans

Examining the effect of liquidity creation on banking profitability and stability: moderating role of political instability

Macroeconomic Determinants of Credit Risk: Evidence on the Impact on Consumer Credit in Central and Eastern European Countries

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