Macroeconomic determinants of the quality of banks' loan portfolio in Serbia

Dragiša Otaševic
Additional contact information
Dragiša Otaševic: National Bank of Serbia

Working papers from National Bank of Serbia

Abstract: This paper investigates macroeconomic determinants of the realisation of credit risk in the banking book (measured by the ratio of loan loss provisions to the value of total gross loans) using a panel data set of 33 Serbian banks spanning from 2008Q3 to 2012Q2. Three different panel methods were applied. Two types of loan portfolios were investigated separately – loans to households and loans to enterprises. The results indicate that a deteriorating business cycle and exchange rate depreciation led to the worsening of the quality of banks’ loan portfolio in Serbia in the period under review. In addition, statistical evidence indicates that the CPI inflation additionally affected the quality of loans to enterprises and households. Furthermore, we find that household loan portfolios are also sensitive to changes in the short-run interest rates.

Keywords: Loan portfolio; Credit quality; Economic activity; Exchange rate; Foreign currency induced Credit risk; Serbia (search for similar items in EconPapers)
JEL-codes: C33 E51 E58 G21 G32 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2013-11
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.nbs.rs/documents/publikacije/strucni-radovi/2013_27_DO.pdf Full text (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:nsb:wppnbs:27

Access Statistics for this paper

More papers in Working papers from National Bank of Serbia National Bank of Serbia, 12 Kralja Petra St, 11 000 Belgrade, Republic of Serbia. Contact information at EDIRC.
Bibliographic data for series maintained by Marko Miseljic ().