IDEAS home Printed from https://ideas.repec.org/a/taf/reroxx/v32y2019i1p1185-1203.html
   My bibliography  Save this article

Bank-specific and macroeconomic determinants of non-performing loans in the Republic of Macedonia: Comparative analysis of enterprise and household NPLs

Author

Listed:
  • Jordan Kjosevski
  • Mihail Petkovski
  • Elena Naumovska

Abstract

The purpose of this paper is to explore the influence of bank-specific and macroeconomic determinants of all non-performing loans (NPLs) to enterprises and households in the Republic of Macedonia. The analysis is performed for the whole banking sector for the period 2003Q4 to 2014Q4, by applying the Autoregressive Distributed Lag Modelling Approach (ARDL), the co-integration model implementing quarterly time series. The results of the research indicate that the profitability of banks, the growth of loans to enterprises and to households respectively, as well as the growth of GDP, all have a negative impact, while banks’ solvency and unemployment have a positive impact on the rise of non-performing loans in both models. In addition, regarding enterprises, we found that the exchange rate has a positive and statistically significant impact on the level of NPLs, while inflation has a negative and statistically significant impact on the increase in non-performing loans to households. The main contribution of this paper is that the results obtained by econometric analysis may be used for forecasting non-performing loans several years in the future, as well as for stress-testing both the entire banking system and the individual banks operating in the Republic of Macedonia.

Suggested Citation

  • Jordan Kjosevski & Mihail Petkovski & Elena Naumovska, 2019. "Bank-specific and macroeconomic determinants of non-performing loans in the Republic of Macedonia: Comparative analysis of enterprise and household NPLs," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 32(1), pages 1185-1203, January.
    • Handle: RePEc:taf:reroxx:v:32:y:2019:i:1:p:1185-1203
    DOI: 10.1080/1331677X.2019.1627894
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1331677X.2019.1627894
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1331677X.2019.1627894?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ante Dzidic & Igor Zivko & Anela Colak, 2022. "Macroeconomic Factors Of Non-Performing Loans: The Case Of Bosnia And Herzegovina," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, vol. 31(2), pages 421-438, december.
    2. Aleksandra Ostrowska, 2023. "Makroekonomiczne determinanty jakości kredytów dla sektora niefinansowego w Polsce," Bank i Kredyt, Narodowy Bank Polski, vol. 54(5), pages 541-556.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:reroxx:v:32:y:2019:i:1:p:1185-1203. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/rero .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.