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Credit risk dynamics in listed local banks in Zimbabwe (2009-2013)

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  • Katuka, Blessing

Abstract

This paper looked at credit risk drivers in local listed banks in Zimbabwe by applying a combination of static and dynamic models using monthly decomposed data. Static models used in this study are Pooled OLS, random effect and fixed effect models whilst difference and system GMM were the only two dynamic models analyzed. Findings reveled that credit risk is largely explained by the macroeconomic environment than the internal environment. This thinking was evidenced by insignificance of microeconomic variables in the all static models as well as significances of one microeconomic variable in both dynamic models. The study rendered capital adequacy ratio as statistically significant microeconomic variable in explaining its linkage with credit risk.

Suggested Citation

  • Katuka, Blessing, 2017. "Credit risk dynamics in listed local banks in Zimbabwe (2009-2013)," MPRA Paper 92687, University Library of Munich, Germany, revised 2017.
  • Handle: RePEc:pra:mprapa:92687
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    File URL: https://mpra.ub.uni-muenchen.de/92687/1/MPRA_paper_92687.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    Zimbabwe; Local banks; Generalized Method of Moments; Dollarization.;
    All these keywords.

    JEL classification:

    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers

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