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

• Authors: Adam Zawadzki

Abstracts

EN

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 wasproven. The research examines the effects of the 2008 credit crunch, which triggered the financial crisis. The sample comprises106 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.

Keywords

EN

credit risk; non-performing loans (NLPs); macroeconomic factors

• Publisher: Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
• Journal: Central European Economic Journal
• Year: 2023
• Volume: 10
• Issue: 57
• Pages: 275-286

Dates

published

2023

Contributors

author

Adam Zawadzki

• SGH Szkoła Główna Handlowa w Warszawie

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Identifiers

DOI

10.2478/ceej-2023-0016

Biblioteka Nauki

22443131