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Macroeconomic determinants of credit risk: a P-VAR approach evidence from Europe

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  • Ahlem-Selma Messai
  • Mohamed Imen Gallali

Abstract

The aim of this study is to develop a macroprudential approach in order to determine the most relevant factors able to explain the emergence of non-performing loans (NPL). For this purpose, we estimate an econometric model for analysing interrelationship among non-performing loans and the determinants of the credit risk in 18 European countries by using a panel vector autoregressive (PVAR) approach during the period 2000-2011. This study implies that credit risk determinants are similar to early warning indicators. Our empirical results show a bi-directional causal relationship between the credit risk evolution and four variables (GDP growth rate, unemployment rate, the stock price index and the non-performing loans).

Suggested Citation

  • Ahlem-Selma Messai & Mohamed Imen Gallali, 2019. "Macroeconomic determinants of credit risk: a P-VAR approach evidence from Europe," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 12(1), pages 15-24.
    • Handle: RePEc:ids:ijmefi:v:12:y:2019:i:1:p:15-24
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    Cited by:

    1. Wang, Haibo & Sua, Lutfu & Dolar, Burak, 2023. "CAMELs-DEA in Assessing the Role of Major Factors in Achieving Higher Efficiency Levels: Evidence from Turkish Banks," SocArXiv qx59v, Center for Open Science.
    2. Wang, Wei & Huang, Jun & Wang, Haibo & Alidaee, Bahram, 2022. "Internal and external analysis of community banks' performance," International Review of Financial Analysis, Elsevier, vol. 84(C).
    3. Faaza Fakhrunnas & Rindang Nuri Isnaini Nugrohowati & Razali Haron & Mohammad Bekti Hendrie Anto, 2022. "The Determinants of Non-Performing Loans in the Indonesian Banking Industry: An Asymmetric Approach Before and During the Pandemic Crisis," SAGE Open, , vol. 12(2), pages 21582440221, June.

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