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

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  • Zawadzki Adam

    (SGH Warsaw School of Economics, al. Niepodległości 162, 02-554 Warsaw, Poland)

Abstract

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 was proven. The research examines the effects of the 2008 credit crunch, which triggered the financial crisis. The sample comprises 106 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.

Suggested Citation

  • Zawadzki Adam, 2023. "Macroeconomic Determinants of Credit Risk on the Example of Non-performing Loans," Central European Economic Journal, Sciendo, vol. 10(57), pages 275-286, January.
    • Handle: RePEc:vrs:ceuecj:v:10:y:2023:i:57:p:275-286:n:9
    DOI: 10.2478/ceej-2023-0016
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    References listed on IDEAS

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    More about this item

    Keywords

    credit risk; non-performing loans (NPLs); macroeconomic factors;
    All these keywords.

    JEL classification:

    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • M21 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - Business Economics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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