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Credit Risk Determinants: Evidence from the Bulgarian Banking System

Author

Listed:
  • Petros Golitsis
  • Athanasios P. Fassas
  • Anna Lyutakova

Abstract

The present study examines a wide set of credit risk determinants for the Bulgarian banking system. Using both monthly and quarterly data and employing two methodologies, Vector Autoregressive and Autoregressive Distributed Lag models, we test ninety-one possible determinants of the banks’ credit risk, as measured by non-performing loans, loan loss provisions and problematic loans. Our empirical findings show that both bank-specific and institutional, in addition to macroeconomic, factors have a significant impact on the credit risk of the banking system in the country.

Suggested Citation

  • Petros Golitsis & Athanasios P. Fassas & Anna Lyutakova, 2019. "Credit Risk Determinants: Evidence from the Bulgarian Banking System," Bulletin of Applied Economics, Risk Market Journals, vol. 6(1), pages 41-64.
    • Handle: RePEc:rmk:rmkbae:v:6:y:2019:i:1:p:41-64
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    References listed on IDEAS

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    More about this item

    Keywords

    credit risk; non-performing loans; loan loss provisions; Bulgarian banking system.;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G01 - Financial Economics - - General - - - Financial Crises
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • O52 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Europe

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