Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2019.1627894
Bank-specific and macroeconomic determinants of non-performing loans in the Republic of Macedonia: Comparative analysis of enterprise and household NPLs
Jordan Kjosevski
; Department financial management, Faculty of macroeconomics, Sport Life, Ohrid, Macedonia
Mihail Petkovski
; Department of Financial Management, Faculty of Economics, Ss Cyril and Methodius University in Skopje and member of the Council of National Bank of the Republic of Macedonia, Skopje, Macedonia
Elena Naumovska
; Department of Financial Management, Faculty of Economics, Ss Cyril and Methodius University in Skopje, Skopje, Macedonia
Sažetak
The purpose of this paper is to explore the influence of bank-specific and macroeconomic determinants of all non-performing loans (NPLs) to enterprises and households in the Republic of Macedonia. The analysis is performed for the whole banking sector for the period 2003Q4 to 2014Q4, by applying the Autoregressive Distributed Lag Modelling Approach (ARDL), the co-integration model implementing quarterly time series. The results of the research indicate that the profitability of banks, the growth of loans to enterprises and to households respectively, as well as the growth of GDP, all have a negative impact, while banks’solvency and unemployment have a positive impact on the rise of non-performing loans in both models. In addition, regarding enterprises, we found that the exchange rate has a positive and statistically significant impact on the level of NPLs, while inflation has a negative and statistically significant impact on the increase in non-per- forming loans to households. The main contribution of this paper is that the results obtained by econometric analysis may be used for forecasting non-performing loans several years in the future, as well as for stress-testing both the entire banking system and the individual banks operating in the Republic of Macedonia.
Ključne riječi
Non-performing loans; bank-specific determinants; macroeconomic determinants; ARDL model; Republic of Macedonia
Hrčak ID:
228754
URI
Datum izdavanja:
22.1.2019.
Posjeta: 3.031 *