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Macroeconomic Determinants Affecting Credit Risk in Central and Eastern Europe

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  • Pluskota Anna

    (University of Lodz, Faculty of Economics and Sociology, Department of Corporate Finance, Rewolucji Street 1905 r. no 39, 90-214Lodz)

Abstract

Research background: A number of microeconomic and macroeconomic variables affect credit risk. Macroeconomic factors are particularly significant for credit risk volatility.

Suggested Citation

  • Pluskota Anna, 2021. "Macroeconomic Determinants Affecting Credit Risk in Central and Eastern Europe," Folia Oeconomica Stetinensia, Sciendo, vol. 21(1), pages 92-104, June.
    • Handle: RePEc:vrs:foeste:v:21:y:2021:i:1:p:92-104:n:11
    DOI: 10.2478/foli-2021-0007
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    References listed on IDEAS

    as
    1. Castro, Vítor, 2013. "Macroeconomic determinants of the credit risk in the banking system: The case of the GIPSI," Economic Modelling, Elsevier, vol. 31(C), pages 672-683.
    2. Beck, Roland & Jakubik, Petr & Piloiu, Anamaria, 2013. "Non-performing loans: what matters in addition to the economic cycle?," Working Paper Series 1515, European Central Bank.
    3. Juraj Zeman & Pavol Jurca, 2008. "Macro Stress Testing of the Slovak Banking Sector," Working and Discussion Papers WP 1/2008, Research Department, National Bank of Slovakia.
    4. Irena Szarowska, 2018. "Effect of macroeconomic determinants on non-performing loans in Central and Eastern European countries," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 11(1), pages 20-35.
    5. Nir Klein, 2013. "Non-Performing Loans in CESEE: Determinants and Impact on Macroeconomic Performance," IMF Working Papers 2013/072, International Monetary Fund.
    6. Teodor Hada & Nicoleta Bărbuță-Mișu & Iulia Cristina Iuga & Dorin Wainberg, 2020. "Macroeconomic Determinants of Nonperforming Loans of Romanian Banks," Sustainability, MDPI, vol. 12(18), pages 1-19, September.
    7. Mariagrazia Fallanca & Antonio Fabio Forgione & Edoardo Otranto, 2021. "Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach," JRFM, MDPI, vol. 14(1), pages 1-15, January.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    credit risk; economic growth; “moral hazard”;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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