Effect of macroeconomic determinants on non-performing loans in Central and Eastern European countries

Irena Szarowská

International Journal of Monetary Economics and Finance, 2018, vol. 11, issue 1, 20-35

Abstract: The aim of the paper is to examine and quantify impact of macroeconomic determinants on non-performing loans (NPLs) in 11 selected Central and Eastern European (CEE) countries in the period 1999-2015. The empirical evidence is based on aggregate annual panel data collected from the Bluenomics. Panel regression with fixed effects analysis identified unemployment as the most important macroeconomic factor for NPLs - the relation between unemployment rate and NPLs is proportional. Next, results confirm negative influence of inflation, economic growth and exchange rate on NPLs. Impact of lending interest rate is positive and in line with expectation. Effect of crisis on NPLs is very strong and important as well. Impact of macro-variables is the strongest with a time lag 1 year.

Keywords: NPLs; non-performing loans; economic growth; unemployment; inflation; NEER; nominal effective exchange rate; lending interest rate; CEE countries; crisis. (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijmefi:v:11:y:2018:i:1:p:20-35

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