Pregledni rad
https://doi.org/10.17818/EMIP/2021/2.13
PREDICTING NPLs FOR CROATIA WITH MACROECONOMIC VARIABLES
Mile Bošnjak
orcid.org/0000-0002-7663-198X
; Faculty of Economics and Business, University of Zagreb
Jurica Vukas
; Croatian National Bank
Ivan Šverko
; Eurizon Asset Management Croatia d.o.o.
Sažetak
This paper aims to examine some of the macroeconomic drivers of nonperforming loans (NPL) in Croatia. Unemployment rate, industrial production index, construction works volume and the number of tourist arrivals were evaluated as the drivers on a quarterly data sample from 2008q4 to 2020q4. Following quantile regression approach, unemployment rates and construction works volume appeared as significant drivers of NPL in Croatia. Furthermore, empirical findings from this paper suggest asymmetric effects on NPL from its drivers. While decrease in construction works volume and increase in unemployment rates were found to correspond with increase in NPL, an increase in construction works volume and decrease in unemployment rates were not correlated with decrease in NPL. Consequently, the paper brings implications for credit institutions in Croatia within the context of COVID-19 pandemic crises.
Ključne riječi
asset quality; macroeconomic determinants; coronavirus crisis
Hrčak ID:
267149
URI
Datum izdavanja:
14.12.2021.
Posjeta: 1.060 *