<abstract xmlns="http://www.w3.org/1999/xhtml"><p>The study builds on previous studies of the consequences of non-performing loans on an economy. Using a seven-by-seven matrix in the impulse response function (IRF) of the structural autoregressive model, we find a long-run impact of an impulse to non-performing loans on the banking system and the macroeconomy in Nigeria. Conversely, non-performing loans also respond to the innovation of all macro-banking variables aside from the exchange rate and the growth rate to GDP. Also, the level of non-performing loans grows in influence in relation to the changes to the exchange rate using the variance decomposition tool of Structural VAR. Hence, a prominent role is assigned to the level of NPLs in linking the friction in the credit market to the susceptibility of both the banking system and the macroeconomy. This study passes the serial correlation tests and the three tests of normality.</p></abstract>

The study builds on previous studies of the consequences of non-performing loans on an economy. Using a seven-by-seven matrix in the impulse response function (IRF) of the structural autoregressive model, we find a long-run impact of an impulse to non-performing loans on the banking system and the macroeconomy in Nigeria. Conversely, non-performing loans also respond to the innovation of all macro-banking variables aside from the exchange rate and the growth rate to GDP. Also, the level of non-performing loans grows in influence in relation to the changes to the exchange rate using the variance decomposition tool of Structural VAR. Hence, a prominent role is assigned to the level of NPLs in linking the friction in the credit market to the susceptibility of both the banking system and the macroeconomy. This study passes the serial correlation tests and the three tests of normality.

Non-Performing Loans, Banking System and Macroeconomy

Studia Universitatis Babes-Bolyai Oeconomica

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

{"article-title":"Non-Performing Loans, Banking System and Macroeconomy"}

The study builds on previous studies of the consequences of non-performing loans on an economy. Using a seven-by-seven matrix in the impulse response function...

Non-Performing Loans, Banking System and Macroeconomy

Data publikacji: 01 gru 2018

Zakres stron: 67 - 86

DOI: https://doi.org/10.2478/subboec-2018-0009

Słowa kluczowe
SVAR, non-performing loans, impulse response function, variance decomposition, macro-banking

© 2018 Akinola Morakinyo et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Non-Performing Loans, Banking System and Macroeconomy

Data publikacji: 01 gru 2018

Zakres stron: 67 - 86

DOI: https://doi.org/10.2478/subboec-2018-0009

Słowa kluczoweSVAR, non-performing loans, impulse response function, variance decomposition, macro-banking

© 2018 Akinola Morakinyo et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Słowa kluczowe
SVAR, non-performing loans, impulse response function, variance decomposition, macro-banking