Determinants of Non-Performing Loans in Central and Eastern European Countries
AbstractThis paper analyses the determinants of the changes in non-performing loans (NPL) ratio in selected European emerging markets. The model was estimated on a panel dataset using fixed effects estimator for seven Central and Eastern European (CEE) countries between Q3:2007 and Q3:2012. The analyzed countries are Bulgaria, Croatia, Czech Republic, Hungary, Latvia, Romania and Slovakia. Although the literature on NPLs is quite extensive, this is the first empirical research on the countries of CEE region using aggregate, country – level data on problem loans. The results suggest that the primary cause of high levels of NPLs is an economic slowdown, which is evident from statistically significant and economically large coefficients on GDP, unemployment and inflation rate.
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Bibliographic InfoPaper provided by Faculty of Economics and Business, University of Zagreb in its series EFZG Working Papers Series with number 1307.
Date of creation: 19 Nov 2013
Date of revision:
non-performing loans; macro-financial linkages; Central and Eastern Europe; panel regressions; financial stability;
Find related papers by JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-22 (All new papers)
- NEP-CIS-2013-11-22 (Confederation of Independent States)
- NEP-EUR-2013-11-22 (Microeconomic European Issues)
- NEP-MAC-2013-11-22 (Macroeconomics)
- NEP-TRA-2013-11-22 (Transition Economics)
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