Analysis of Non-Performing Loans’ Determinants in the Banking Sector of the Republic of Serbia

Kristijan Ristić, Mirjana Jemović
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引用次数: 3

Abstract

Abstract After the financial deregulation that marked the last two decades of the 20th century, banks lost their monopolistic position and faced a number of competitors on the financial market. Fighting for their market share, banks began to grant loans under more relaxed terms. This policy increased the share of non-performing loans (NPLs) and ultimately increased credit risk in the banking sector. The share of non-performing loans in total loans indicates the quality of bank assets, so their analysis and trend are an important parameter in assessing the stability of the banking and overall financial sector. The paper aims to analyze the NPL trend in the banking sector of the Republic of Serbia in the period from 2010-2019 and, thus, identify determinants that significantly affect the extent of credit risk. The research uses vector autoregressive model (VAR), and the results confirm that gross domestic product, inflation, unemployment, return on total assets (ROA), cost efficiency, capital adequacy ratio, and income diversification affect NPLs. The analysis shows that the level of non-performing loans depends on a number of factors, both macroeconomic and bank-specific, which regulatory authorities must keep in mind when assessing the credit risk that banks face.
塞尔维亚共和国银行业不良贷款决定因素分析
在20世纪最后20年的金融放松管制之后,银行失去了垄断地位,在金融市场上面临着众多竞争对手。为了争夺市场份额,银行开始以更宽松的条件发放贷款。这一政策增加了不良贷款(NPLs)的份额,最终增加了银行业的信贷风险。不良贷款占总贷款的比例反映了银行资产的质量,因此其分析和趋势是评估银行业和整个金融业稳定性的重要参数。本文旨在分析2010-2019年期间塞尔维亚共和国银行业的不良贷款趋势,从而确定显著影响信贷风险程度的决定因素。研究采用向量自回归模型(VAR),结果证实了国内生产总值(gdp)、通货膨胀、失业率、总资产收益率(ROA)、成本效率、资本充足率和收入多元化对不良贷款的影响。分析显示,不良贷款的水平取决于许多因素,既有宏观经济因素,也有银行自身的因素,监管当局在评估银行面临的信贷风险时必须牢记这些因素。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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