<abstract xmlns="http://www.w3.org/1999/xhtml">

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.
</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.

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

Central European Economic Journal

This work is licensed under the Creative Commons Attribution 4.0 International License.

{"article-title":"Macroeconomic Determinants of Credit Risk on the Example of Non-performing Loans"}

The primary goal of this article is to examine the principal macroeconomic factors influencing credit risk as assessed by the nonperforming loan ratio...

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

Published Online: Oct 16, 2023

Page range: 275 - 286

DOI: https://doi.org/10.2478/ceej-2023-0016

Keywords
credit risk, non-performing loans (NPLs), macroeconomic factors

© 2023 Adam Zawadzki, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

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

Published Online: Oct 16, 2023

Page range: 275 - 286

DOI: https://doi.org/10.2478/ceej-2023-0016

Keywordscredit risk, non-performing loans (NPLs), macroeconomic factors

© 2023 Adam Zawadzki, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Keywords
credit risk, non-performing loans (NPLs), macroeconomic factors