The Comparative Analysis of Credit Risk Determinants In the Banking Sector of the Baltic States
A vector error correction model is applied to empirically investigate and compare the influence of macroeconomic and real estate market variables on the level of non-performing loans in the three Baltic States. A secondary goal is to analyze the effect of constant loan portfolio growth on the level of non-performing loans in the related countries. The research indicates that the most significant reason for the growth of non-performing loans was caused by the changes in the real GDP in all the three Baltic States. The increasing influence of rapid loan portfolio growth proves the assumption that banks underestimated the changes in the macroeconomic variables during the analyzed periods, especially in Latvia. Rapid growth of the real estate market played an important role in Latvia and Lithuania, but it was not as crucial as it has been previously assumed in Estonia.
Volume (Year): 1 (2011)
Issue (Month): (June)
|Contact details of provider:|| Postal: |
Web page: http://www.bapress.ca
|Order Information:|| Postal: 17 Alton Towers Circle, Unit 101 Toronto, ON, M1V3L8, Canada|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
- Pesola, Jarmo, 2001. "The role of macroeconomic shocks in banking crises," Research Discussion Papers 6/2001, Bank of Finland.
- William R. Keeton, 1999. "Does faster loan growth lead to higher loan losses?," Economic Review, Federal Reserve Bank of Kansas City, issue Q II, pages 57-75.
- Burkhard Drees & Ceyla Pazarbasioglu, 1995.
"The Nordic Banking Crises: Pitfalls in Financial Liberalization?,"
IMF Working Papers
95/61, International Monetary Fund.
- Burkhard Drees & Ceyla Pazarbasioglu, 1998. "The Nordic Banking Crisis: Pitfalls in Financial Liberalization," IMF Occasional Papers 161, International Monetary Fund.
- Diana Bonfim, 2007.
"Credit Risk Drivers: Evaluating the Contribution of Firm Level Information and of Macroeconomic Dynamics,"
w200707, Banco de Portugal, Economics and Research Department.
- Diana Bonfim, 2006. "Credit Risk Drivers: Evaluating the Contribution of Firm Level Information and of Macroeconomic Dynamics," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.
- Bonfim, Diana, 2009. "Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 281-299, February.
- Pesaran, H. Hashem & Shin, Yongcheol, 1998.
"Generalized impulse response analysis in linear multivariate models,"
Elsevier, vol. 58(1), pages 17-29, January.
- Pesaran, M. H. & Shin, Y., 1997. "Generalised Impulse Response Analysis in Linear Multivariate Models," Cambridge Working Papers in Economics 9710, Faculty of Economics, University of Cambridge.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
- Davis, E. Philip, 1995. "Debt, Financial Fragility, and Systemic Risk," OUP Catalogue, Oxford University Press, number 9780198233312, March.
- Grigori Fainstein & Igor Novikov, 2011. "The role of macroeconomic determinants in credit risk measurement in transition country: Estonian example," International Journal of Transitions and Innovation Systems, Inderscience Enterprises Ltd, vol. 1(2), pages 117-137.
- Pesola , Jarmo, 2005. "Banking fragility and distress: An econometric study of macroeconomic determinants," Research Discussion Papers 13/2005, Bank of Finland.
- Peter Winker, 2000. "Optimized Multivariate Lag Structure Selection," Computational Economics, Society for Computational Economics, vol. 16(1/2), pages 87-103, October.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
- Davis, E. Philip & Zhu, Haibin, 2011.
"Bank lending and commercial property cycles: Some cross-country evidence,"
Journal of International Money and Finance,
Elsevier, vol. 30(1), pages 1-21, February.
- E. Philip Davis & Haibin Zhu, 2004. "Bank lending and commercial property cycles: some cross-country evidence," BIS Working Papers 150, Bank for International Settlements.
- Hyman P. Minsky, 1992. "The Financial Instability Hypothesis," Economics Working Paper Archive wp_74, Levy Economics Institute.
- Marcucci, Juri & Quagliariello, Mario, 2009. "Asymmetric effects of the business cycle on bank credit risk," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1624-1635, September.
- Claudio Borio & Craig Furfine & Philip Lowe, 2001. "Procyclicality of the financial system and financial stability: issues and policy options," BIS Papers chapters, in: Bank for International Settlements (ed.), Marrying the macro- and micro-prudential dimensions of financial stability, volume 1, pages 1-57 Bank for International Settlements.
- Juri Marcucci & Mario Quagliariello, 2008. "Credit risk and business cycle over different regimes," Temi di discussione (Economic working papers) 670, Bank of Italy, Economic Research and International Relations Area.
- Rasmus Kattai, 2010. "Credit risk model for the Estonian banking sector," Bank of Estonia Working Papers wp2010-01, Bank of Estonia, revised 04 Feb 2010.
- Carling, Kenneth & Jacobson, Tor & Linde, Jesper & Roszbach, Kasper, 2007. "Corporate credit risk modeling and the macroeconomy," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 845-868, March.
- Armando MÃ©ndez Morales & Jose Giancarlo Gasha, 2004. "Identifying Threshold Effects in Credit Risk Stress Testing," IMF Working Papers 04/150, International Monetary Fund.
- Andrew P. Meyer & Timothy J. Yeager, 2001. "Are small rural banks vulnerable to local economic downturns?," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 25-38.
- Åsberg Sommar, Per & Shahnazarian, Hovick, 2008. "Macroeconomic Impact on Expected Default Frequency," Working Paper Series 219, Sveriges Riksbank (Central Bank of Sweden).
- Venus Khim-Sen Liew, 2004. "Which Lag Length Selection Criteria Should We Employ?," Economics Bulletin, AccessEcon, vol. 3(33), pages 1-9.
- Maria Soledad Martinez Peria & Giovanni Majnoni & Matthew T. Jones & Winfrid Blaschke, 2001. "Stress Testing of Financial Systems: An Overview of Issues, Methodologies, and FSAP Experiences," IMF Working Papers 01/88, International Monetary Fund.
When requesting a correction, please mention this item's handle: RePEc:bap:journl:110302. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Bill Yan)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.