Macroeconomic environment and NPLs: evidence from Serbia and the Czech Republic

Anić, Aleksandra and Malović, Marko and Misić, Viktorija (2015) Macroeconomic environment and NPLs: evidence from Serbia and the Czech Republic. Teme: časopis za društvenu teoriju i praksu, 39 (1). pp. 175-190. ISSN 0353-7919

Text 1-846-1-PB.pdf - Published Version Restricted to Repository staff only Available under License Creative Commons Attribution Non-commercial No Derivatives. Download (418kB) | Request a copy

Abstract

The so-called twin nature of the ongoing global crisis emphasizes the importance of the link between a set of key macro variables and the quality of loan portfolios of commercial banks. The aim of this paper is to explore the differences in prevailing macroeconomic determinants of the banks‟ NPLs (non-performing loans) in in many respects similar economies of Serbia and the Czech Republic. Due to the fact that all relevant time series turn out to be unit root processes, the methodology deployed is cointegrated VAR. Cointegration analysis has been performed through the VECM for each of the four specifications, modelling the NPL ratios for corporate and household sectors in both countries. Results reveal that only a few crucial particularities of the Serbian and the Czech financial environment, economic structure, as well as growth orientation, made all the difference in terms of NPL ratios‟ dynamics for households and corporate sectors in the two countries, in spite of the equally impressive financial resilience of the banking industry in both economies.

Actions (login required)

View Item