Linear and asymmetric analyses of macro-economic and bank-specific determinants of non-performing loans in West African Monetary Zone (WAMZ)

Ebere Ume Kalu, Augustine C. Arize, John Malindretos, Kalu Idika Awa and Chiamaka Goodness Eze

World Review of Entrepreneurship, Management and Sustainable Development, 2021, vol. 17, issue 5, 670-691

Abstract: We used Panel ARDL and Panel NARDL to investigate the macro-economic and bank-specific determinants of Non-Performing Loan (NPL) in the West African Monetary Zone (WAMZ) for the period 2003 to 2018. We found that both bank-specific and macro-economic determinants jointly influence NPLs in varying degrees. There is also empirical evidence that NPL adjusts more non-linearly/asymmetrically to the dynamics of the bank-specific and macro-economic determinants than it does linearly. This discovery will guide in rebalancing the policy direction in loan and credit administration from just a linear direction to a combination of linear and nonlinear perspectives especially in the WAMZ.

Keywords: panel ARDL; panel NARDL; asymmetry; ROA; return on assets; ROE; return on equity; non-performing loans. (search for similar items in EconPapers)
Date: 2021
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