Analysis of Non-Performing Loans’ Determinants in the Banking Sector of the Republic of Serbia
Autor: | Mirjana Jemović, Kristijan Ristić |
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Rok vydání: | 2021 |
Předmět: |
050208 finance
Return on assets 05 social sciences Financial market Financial system 04 agricultural and veterinary sciences General Medicine Gross domestic product Capital adequacy ratio 0502 economics and business 040103 agronomy & agriculture 0401 agriculture forestry and fisheries Position (finance) Business Market share Non-performing loan Credit risk |
Zdroj: | Economic Themes. 59:133-151 |
ISSN: | 2217-3668 |
Popis: | After the financial deregulation that marked the last two decades of the 20th century, banks lost their monopolistic position and faced a number of competitors on the financial market. Fighting for their market share, banks began to grant loans under more relaxed terms. This policy increased the share of non-performing loans (NPLs) and ultimately increased credit risk in the banking sector. The share of non-performing loans in total loans indicates the quality of bank assets, so their analysis and trend are an important parameter in assessing the stability of the banking and overall financial sector. The paper aims to analyze the NPL trend in the banking sector of the Republic of Serbia in the period from 2010-2019 and, thus, identify determinants that significantly affect the extent of credit risk. The research uses vector autoregressive model (VAR), and the results confirm that gross domestic product, inflation, unemployment, return on total assets (ROA), cost efficiency, capital adequacy ratio, and income diversification affect NPLs. The analysis shows that the level of non-performing loans depends on a number of factors, both macroeconomic and bank-specific, which regulatory authorities must keep in mind when assessing the credit risk that banks face. |
Databáze: | OpenAIRE |
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