Non-performing loans in Baltic States: determinants and macroeconomic effects

Jordan Kjosevski () and Mihail Petkovski ()
Additional contact information
Jordan Kjosevski: Independent Researcher
Mihail Petkovski: Department of Financial Management, Faculty of Economics, Sts. Cyril and Methodius University in Skopje, Skopje, Macedonia

Baltic Journal of Economics, 2017, vol. 17, issue 1, 25-44

Abstract: This study analyses the linkages between macroeconomic and bank-specific determinants of non-performing loans (NPLs) and their impact on macroeconomic performance in the Baltic States using two complementary approaches. First, we examine the macroeconomic and bank-specific determinants of NPLs for a panel of 27 banks from the Baltics using annual data for the period 2005–2014. The most important macroeconomic factors are GDP growth, inflation and domestic credit to the private sector. As for the bank-specific determinants, we found that the equity to total assets ratio, return on assets, the return on equity and the growth of gross loans were of importance. Second, we investigate the feedback between NPLs and its macroeconomic determinants. The results suggest that the real economy responds to NPLs and that there are strong feedback effects from macroeconomic conditions such as domestic credit to private sector, GDP growth, unemployment and inflation to NPLs.

Keywords: Non-performing loans; macroeconomic determinants; bank-specific determinants; Baltic States; GMM difference; panel vector autoregressive model (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
http://www.tandfonline.com/doi/full/10.1080/1406099X.2016.1246234 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bic:journl:v:17:y:2017:i:1:p:25-44

Access Statistics for this article

More articles in Baltic Journal of Economics from Baltic International Centre for Economic Policy Studies Contact information at EDIRC.
Bibliographic data for series maintained by Anna Zasova ().