Credit Risk Determinants: Evidence from the Bulgarian Banking System

Petros Golitsis, Athanasios Fassas and Anna Lyutakova

Bulletin of Applied Economics, 2019, vol. 6, issue 1, 41-64

Abstract: The present study examines a wide set of credit risk determinants for the Bulgarian banking system. Using both monthly and quarterly data and employing two methodologies, Vector Autoregressive and Autoregressive Distributed Lag models, we test ninety-one possible determinants of the banks’ credit risk, as measured by non-performing loans, loan loss provisions and problematic loans. Our empirical findings show that both bank-specific and institutional, in addition to macroeconomic, factors have a significant impact on the credit risk of the banking system in the country.

Keywords: credit risk; non-performing loans; loan loss provisions; Bulgarian banking system. (search for similar items in EconPapers)
JEL-codes: C10 C32 C51 G01 G20 O52 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.riskmarket.co.uk/bae/journals-articles ... nload=attachment.pdf (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:rmk:rmkbae:v:6:y:2019:i:1:p:41-64

Access Statistics for this article

Bulletin of Applied Economics is currently edited by Eleftherios Spyromitros

More articles in Bulletin of Applied Economics from Risk Market Journals
Bibliographic data for series maintained by Eleftherios Spyromitros-Xioufis ().