Macroeconomic determinants of Polish banks’ loan losses – results of a panel data study
AbstractThe paper investigates the links between business cycle variables and loan losses of Polish commercial banks. A panel approach was chosen in order to make maximum use of available supervisory data, and to capture the impact of bank profile on loan losses. Loan losses are proxied by the flow of loan loss provisions. We find a significant influence of real GDP growth, changes in real interest rate, and labour market variables such as changes in unemployment rate. Due to the high share of FX loans to households, the influence of exchange rate is also examined, but the results are inconclusive. The differences in loan losses between banks can be attributed to differences in business profile, described by classification of banks into “strategic groups”, as well as the structure of loan portfolio. The paper concludes with an example of a stress testing exercise conducted using scenarios generated through the National Bank of Poland’s macroeconomic model.
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Bibliographic InfoPaper provided by National Bank of Poland, Economic Institute in its series National Bank of Poland Working Papers with number 53.
Date of creation: Nov 2008
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More information through EDIRC
credit risk; banks; Poland; panel data; stress tests;
Find related papers by JEL classification:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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