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Effect of macroeconomic determinants on non-performing loans in Central and Eastern European countries

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  • Irena Szarowska

Abstract

The aim of the paper is to examine and quantify impact of macroeconomic determinants on non-performing loans (NPLs) in 11 selected Central and Eastern European (CEE) countries in the period 1999-2015. The empirical evidence is based on aggregate annual panel data collected from the Bluenomics. Panel regression with fixed effects analysis identified unemployment as the most important macroeconomic factor for NPLs - the relation between unemployment rate and NPLs is proportional. Next, results confirm negative influence of inflation, economic growth and exchange rate on NPLs. Impact of lending interest rate is positive and in line with expectation. Effect of crisis on NPLs is very strong and important as well. Impact of macro-variables is the strongest with a time lag 1 year.

Suggested Citation

  • Irena Szarowska, 2018. "Effect of macroeconomic determinants on non-performing loans in Central and Eastern European countries," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 11(1), pages 20-35.
    • Handle: RePEc:ids:ijmefi:v:11:y:2018:i:1:p:20-35
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    Cited by:

    1. Aswini Kumar Mishra & Shikhar Jain & Mohammad Abid, 2021. "Non‐performing assets and its determinants in the Indian banking system: An empirical analysis using dynamic panel data models," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5948-5962, October.
    2. Albulena Shala & Valentin Toçi & Arben Mustafa, 2022. "Macroeconomic, Structural, and Bank-specific Determinants of Non-performing Loans in Central and Eastern Europe," Journal of Economics / Ekonomicky casopis, Institute of Economic Research, Slovak Academy of Sciences, vol. 70(5), pages 411-429, May.
    3. Pluskota Anna, 2021. "Macroeconomic Determinants Affecting Credit Risk in Central and Eastern Europe," Folia Oeconomica Stetinensia, Sciendo, vol. 21(1), pages 92-104, June.
    4. Mustafa Tevfik Kartal & Derviş Kirikkaleli & Fatih Ayhan, 2023. "Nexus between non‐performing loans and economic growth in emerging countries: Evidence from Turkey with wavelet coherence approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1250-1260, April.

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