Makroekonomiczne determinanty ryzyka kredytowego w Polsce ze szczególnym uwzględnieniem kursów walut obcych

• Authors: Anna Pluskota

Title variants

Makroekonomiczne determinanty ryzyka kredytowego w Polsce ze szczególnym uwzględnieniem kursów walut obcych

• Languages of publication: PL

Abstracts

EN

The purpose of the article. The aim of the study is to show the impact of the key macroeconomic determinants of the credit risk of the banking sector in Poland in 2011–2020. This aim was achieved by analysis of the Pearson correlation coefficient and econometric models allowing to determine the impact of individual variables on the NPL index. Methodology: The empirical part includes the presentation and description of basic descriptive statistics, as well as the calculation of the Pearson correlation coefficient with the interpretation of the obtained results. The dynamic econometric model describing the variability of the NPL ratio was built using mainly macroeconomic variables. Results of the research: Research has shown the impact of changes in the unemployment rate and the inflation rate on credit risk. On the other hand, the impact of economic growth on the NPL ratio in the analyzed period was not statistically significant. The relationship between credit risk and changes in foreign exchange rates (CHF, USD, EUR) turned out to be negative in the analyzed period, which means that the increases in exchange rates of these currencies did not result in a significant burden of credit risk in the banking sector in Poland.

Keywords

PL

credit risk; determinants of credit risk; exchange rates; credit risk; determinants of credit risk; exchange rates

EN

credit risk; determinants of credit risk; exchange rates

• Publisher: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
• Journal: Finanse i Prawo Finansowe
• Year: 2021
• Volume: 3
• Issue: 31
• Pages: 107-118

Dates

published

2021-09-30

Contributors

author

Anna Pluskota

• Uniwersytet Łódzki, Wydział Ekonomiczno-Socjologiczny

• https://orcid.org/0000-0002-2566-3420

References

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Identifiers

DOI

10.18778/2391-6478.3.31.07