Review article

https://doi.org/10.17818/EMIP/2021/2.13

PREDICTING NPLs FOR CROATIA WITH MACROECONOMIC VARIABLES

Mile Bošnjak orcid.org/0000-0002-7663-198X ; Sveučilište u Zagrebu, Ekonomski fakultet
Jurica Vukas ; Hrvatska narodna banka
Ivan Šverko ; Eurizon Asset Management Croatia d.o.o.

Abstract

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.

Keywords

asset quality; macroeconomic determinants; coronavirus crisis

Hrčak ID:

267149

URI

https://hrcak.srce.hr/267149

Publication date:

14.12.2021.

Article data in other languages: croatian

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