Econometric model of non-performing loans determinants

Radivojević, Nikola and Cvijanović, Drago and Sekulić, Dejan and Pavlović, Dejana and Jović, Srđan and Maksimović, Goran (2019) Econometric model of non-performing loans determinants. Physica A, 520. pp. 481-488. ISSN 0378-4371

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Abstract

The paper presents the use of the difference GMM and the system GMM for the purposeof determining the critical determinants of non-performing loans. The aim of the paperis to point out the theoretical advantages of GMM in relation to other (often used) panel data estimators in the study of NPLs, and to demonstrate its advantages in the case ofthe emerging markets in the countries of Latin America. The paper seeks to identify arelevant econometric model in order to demonstrate the impact of crucial macro and micro economic variables on the NPLs.No evidence was found in support of the significance of the impact of the inflation rate and the micro economic variables that were the subject of research in this paper.

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