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

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  • Zawadzki Adam

    (SGH Warsaw School of Economics, al. Niepodległości 162, 02-554 Warsaw, Poland)

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.

Suggested Citation

  • Zawadzki Adam, 2023. "Macroeconomic Determinants of Credit Risk on the Example of Non-performing Loans," Central European Economic Journal, Sciendo, vol. 10(57), pages 275-286, January.
    • Handle: RePEc:vrs:ceuecj:v:10:y:2023:i:57:p:275-286:n:9
    DOI: 10.2478/ceej-2023-0016
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    References listed on IDEAS

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    More about this item

    Keywords

    credit risk; non-performing loans (NPLs); macroeconomic factors; G20; M21; E44;
    All these keywords.

    JEL classification:

    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • M21 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - Business Economics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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