The Macroeconomic Determinants of Credit Risk: The Algerian Banking System

Fatima Zohra Marouf and Zeyneb Guellil
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Fatima Zohra Marouf: Umons, Waroqué, Belgium
Zeyneb Guellil: Abou bakr belkaid, Faculty of Economics, Algeria

from University of Primorska Press

Abstract: The aim of the paper is to identify the main macroeconomic factors explaining credit risk in the Algerian banking system. To this end, we conducted an empirical study using macroeconomic data from 1980 to 2014. We have therefore used the Ordinary Least Squares (OLS) method to determine the factors that allow us to explain the credit risk in the Algerian banking system. We also applied the Granger Causality Test. The analysis of the results shows that credit risk in Algerian banks can be explained at macroeconomic level mainly by financial development, GDP, money supply and political stability. Indeed, these results have shown that non-performing loans are linked, on the one hand, positively with the financial development, the money supply and political stability. On the other hand negatively with GDP.

Keywords: macroeconomic determinant; credit risk; Algerian banking system; abstract. (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:prp:micp17:595-608

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