IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Macroeconomic determinants of Polish banks’ loan losses – results of a panel data study

The paper investigates the links between business cycle variables and loan losses of Polish commercial banks. A panel approach was chosen in order to make maximum use of available supervisory data, and to capture the impact of bank profile on loan losses. Loan losses are proxied by the flow of loan loss provisions. We find a significant influence of real GDP growth, changes in real interest rate, and labour market variables such as changes in unemployment rate. Due to the high share of FX loans to households, the influence of exchange rate is also examined, but the results are inconclusive. The differences in loan losses between banks can be attributed to differences in business profile, described by classification of banks into “strategic groups”, as well as the structure of loan portfolio. The paper concludes with an example of a stress testing exercise conducted using scenarios generated through the National Bank of Poland’s macroeconomic model.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.nbp.pl/publikacje/materialy_i_studia/53_en.pdf
Download Restriction: no

Paper provided by National Bank of Poland, Economic Institute in its series National Bank of Poland Working Papers with number 53.

as
in new window

Length:
Date of creation: Nov 2008
Date of revision:
Handle: RePEc:nbp:nbpmis:53
Contact details of provider: Postal: 00-919 Warszawa ul. Świętokrzyska 11/21
Phone: (0-22) 653 10 00
Fax: (0-22) 620 85 18
Web page: http://www.nbp.pl/Homen.aspx?f=/en/publikacje/materialy_i_studia/informacja_en.html

More information through EDIRC

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.:

as in new window
  1. J.A. Bikker & H. Hu, 2003. "Cyclical Patterns in Profits, Provisioning and Lending of Banks," DNB Staff Reports (discontinued) 86, Netherlands Central Bank.
  2. Bhargava, A & Franzini, L & Narendranathan, W, 1982. "Serial Correlation and the Fixed Effects Model," Review of Economic Studies, Wiley Blackwell, vol. 49(4), pages 533-49, October.
  3. Sorge, Marco & Virolainen, Kimmo, 2006. "A comparative analysis of macro stress-testing methodologies with application to Finland," Journal of Financial Stability, Elsevier, vol. 2(2), pages 113-151, June.
  4. Pesola, Jarmo, 2001. "The role of macroeconomic shocks in banking crises," Research Discussion Papers 6/2001, Bank of Finland.
  5. Fudenberg, Drew & Tirole, Jean, 1995. "A Theory of Income and Dividend Smoothing Based on Incumbency Rents," Journal of Political Economy, University of Chicago Press, vol. 103(1), pages 75-93, February.
  6. Hałaj, Grzegorz & Żochowski, Dawid, 2006. "Strategic groups in Polish banking sector and financial stability," MPRA Paper 326, University Library of Munich, Germany.
  7. Dawid, Żochowski & Sławomir, Zajączkowski, 2006. "The Distribution and Dispersion of Debt Burden Ratios Among Households in Poland and its Implications for Financial Stability," MPRA Paper 692, University Library of Munich, Germany, revised 19 Oct 2006.
  8. Dimitrios Tsomocos, 2003. "Equilibrium analysis, banking, contagion and financial fragility," FMG Discussion Papers dp450, Financial Markets Group.
  9. Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 59-117, January.
  10. Kanagaretnam, Kiridaran & Lobo, Gerald J & Mathieu, Robert, 2003. " Managerial Incentives for Income Smoothing through Bank Loan Loss Provisions," Review of Quantitative Finance and Accounting, Springer, vol. 20(1), pages 63-80, January.
  11. Olga Andreeva, 2004. "Aggregate bankruptcy probabilities and their role in explaining banks’ loan losses," Working Paper 2004/02, Norges Bank.
  12. Baltagi, Badi H. & Wu, Ping X., 1999. "Unequally Spaced Panel Data Regressions With Ar(1) Disturbances," Econometric Theory, Cambridge University Press, vol. 15(06), pages 814-823, December.
  13. Gabriel Jiménez & Jesús Saurina, 2005. "Credit cycles, credit risk, and prudential regulation," Banco de Espa�a Working Papers 0531, Banco de Espa�a.
  14. J.A. Bikker & P.A.J. Metzemakers, 2002. "Bank provisioning behaviour and procyclicality," Research Series Supervision (discontinued) 50, Netherlands Central Bank, Directorate Supervision.
  15. Robert T. Clair, 1992. "Loan growth and loan quality: some preliminary evidence from Texas banks," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q III, pages 9-22.
  16. Ivan Baboucek & Martin Jancar, 2005. "Effects of Macroeconomic Shocks to the Quality of the Aggregate Loan Portfolio," Working Papers 2005/01, Czech National Bank, Research Department.
  17. Williams, Jonathan, 2004. "Determining management behaviour in European banking," Journal of Banking & Finance, Elsevier, vol. 28(10), pages 2427-2460, October.
  18. Mario Quagliariello, . "Banks' Performance over the Business Cycle: A Panel Analysis on Italian Intermediaries," Discussion Papers 04/17, Department of Economics, University of York.
  19. Enrico De Giorgi, 2002. "An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios," Risk and Insurance 0209001, EconWPA, revised 09 Sep 2002.
  20. Glenn Hoggarth & Andrew Logan & Lea Zicchino, 2005. "Macro stress tests of UK banks," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 392-408 Bank for International Settlements.
  21. Pesola , Jarmo, 2005. "Banking fragility and distress: An econometric study of macroeconomic determinants," Research Discussion Papers 13/2005, Bank of Finland.
  22. Porter, Michael E, 1979. "The Structure within Industries and Companies' Performance," The Review of Economics and Statistics, MIT Press, vol. 61(2), pages 214-27, May.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:nbp:nbpmis:53. 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: (Ewa Szymecka)

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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.