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Econometric model of non-performing loans determinants

Author

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  • Radivojević, Nikola
  • Cvijanović, Drago
  • Sekulic, Dejan
  • Pavlovic, Dejana
  • Jovic, Srdjan
  • Maksimović, Goran

Abstract

The paper presents the use of the difference GMM and the system GMM for the purpose of determining the critical determinants of non-performing loans. The aim of the paper is to point out the theoretical advantages of GMM in relation to other (often used) panel data estimators in the study of NPLs, and to demonstrate its advantages in the case of the emerging markets in the countries of Latin America. The paper seeks to identify a relevant econometric model in order to demonstrate the impact of crucial macro and microeconomic variables on the NPLs. No evidence was found in support of the significance of the impact of the inflation rate and the microeconomic variables that were the subject of research in this paper.

Suggested Citation

  • Radivojević, Nikola & Cvijanović, Drago & Sekulic, Dejan & Pavlovic, Dejana & Jovic, Srdjan & Maksimović, Goran, 2019. "Econometric model of non-performing loans determinants," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 520(C), pages 481-488.
    • Handle: RePEc:eee:phsmap:v:520:y:2019:i:c:p:481-488
    DOI: 10.1016/j.physa.2019.01.015
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    2. Liu, Suyi & Jin, Justin & Nainar, Khalid, 2023. "Does ESG performance reduce banks’ nonperforming loans?," Finance Research Letters, Elsevier, vol. 55(PA).
    3. Vyshnevskyi, Iegor & Sohn, Wook, 2023. "Nonperforming loans and related lending: Evidence from Ukraine," Emerging Markets Review, Elsevier, vol. 57(C).
    4. Jiajia, Liu & Kun, Guo & Fangcheng, Tang & Yahan, Wang & Shouyang, Wang, 2023. "The effect of the disposal of non-performing loans on interbank liquidity risk in China: A cash flow network-based analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 105-119.
    5. Candida Ferreira, 2023. "The Influence of Bank Performance, Market Condition and Economic Growth on Non-Performing Loansa," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 9(1), pages 77-98, June.
    6. Nada Milenković & Branimir Kalaš & Vera Mirović & Jelena Andrašić, 2024. "Static and Dynamic Modeling of Non-Performing Loan Determinants in the Eurozone," Mathematics, MDPI, vol. 12(21), pages 1-21, October.
    7. Lahura, Erick & Espino, Freddy, 2019. "Cartera morosa en moneda extranjera y tipo de cambio real: Evidencia para el Perú, 2003-2018," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 37, pages 31-48.

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    More about this item

    Keywords

    General moment method; Non-performing loans; Macroeconomic variables; Microeconomics variables; Banking system; Dynamic panel;
    All these keywords.

    JEL classification:

    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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