PREDICTING NPLs FOR CROATIA WITH MACROECONOMIC VARIABLES

Abstract

This paper aims to examine some of the macroeconomic drivers of nonperforming loans (NPL) in Croatia. Unemployment rate, industrial production index, construction works volume and the number of tourist arrivals were evaluated as the drivers on a quarterly data sample from 2008q4 to 2020q4. Following quantile regression approach, unemployment rates and construction works volume appeared as significant drivers of NPL in Croatia. Furthermore, empirical findings from this paper suggest asymmetric effects on NPL from its drivers. While decrease in construction works volume and increase in unemployment rates were found to correspond with increase in NPL, an increase in construction works volume and decrease in unemployment rates were not correlated with decrease in NPL. Consequently, the paper brings implications for credit institutions in Croatia within the context of COVID-19 pandemic crises.

Predicting LCR with GDP, NPLs and ROE

“…Nedavna primjena kvantilnog regresijskog pristupa može se naći u Bošnjak et al (2020) ili Bošnjak et al (2021). Općenito, jednadžba je procijenjena primjenom kvantilnog regresijskog pristupa -kako bi se ilustrirali učinci kvantile zavisne varijable.…”

“…Recent application of quantile regression approach can be found in Bošnjak et al (2020) or Bošnjak et al (2021) among others. In general, equation was estimated by using quantile regression approach -to illustrate effects across quantile of dependent variable.…”

Macroeconomic determinants of non- performing loans in the Republic of North Macedonia

“…Many studies have attempted to explore the effects of macroeconomic determinants on non-performing loans which had derived several variables such as gross domestic product rate, inflation rate, interest rate, exchange rate, unemployment rate, etc. Notable among them is the study conducted by Bošnjak et al (2021). They examine the impact of some macroeconomic determinants on non-performing loans in Croatia and revealed that the unemployment rate and construction work volume have an impact on the NPL levels.…”