Macroeconomic determinants of credit risk: a P-VAR approach evidence from Europe

Ahlem-Selma Messai and Mohamed Imen Gallali

International Journal of Monetary Economics and Finance, 2019, vol. 12, issue 1, 15-24

Abstract: The aim of this study is to develop a macroprudential approach in order to determine the most relevant factors able to explain the emergence of non-performing loans (NPL). For this purpose, we estimate an econometric model for analysing interrelationship among non-performing loans and the determinants of the credit risk in 18 European countries by using a panel vector autoregressive (PVAR) approach during the period 2000-2011. This study implies that credit risk determinants are similar to early warning indicators. Our empirical results show a bi-directional causal relationship between the credit risk evolution and four variables (GDP growth rate, unemployment rate, the stock price index and the non-performing loans).

Keywords: macroprudential approach; credit risk; NPL; non-performing loans; PVAR approach. (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (3)

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