Bank-specific and macroeconomic determinants of non-performing loans in the Republic of Macedonia: Comparative analysis of enterprise and household NPLs

Kjosevski, Jordan and Petkovski, Mihail and Naumovska, Elena (2019) Bank-specific and macroeconomic determinants of non-performing loans in the Republic of Macedonia: Comparative analysis of enterprise and household NPLs. ECONOMIC RESEARCH-EKONOMSKA ISTRA�ZIVANJA, 32 (1). pp. 1185-1203.

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Abstract

The purpose of this paper is to explore the influence of bankspecific
and macroeconomic determinants of all non-performing
loans (NPLs) to enterprises and households in the Republic of
Macedonia. The analysis is performed for the whole banking sector
for the period 2003Q4 to 2014Q4, by applying the Autoregressive
Distributed Lag Modelling Approach (ARDL), the co-integration
model implementing quarterly time series. The results of the
research indicate that the profitability of banks, the growth of
loans to enterprises and to households respectively, as well as the
growth of GDP, all have a negative impact, while banks’ solvency
and unemployment have a positive impact on the rise of non-performing
loans in both models. In addition, regarding enterprises,
we found that the exchange rate has a positive and statistically
significant impact on the level of NPLs, while inflation has a negative
and statistically significant impact on the increase in non-performing
loans to households. The main contribution of this paper
is that the results obtained by econometric analysis may be used
for forecasting non-performing loans several years in the future, as
well as for stress-testing both the entire banking system and the
individual banks operating in the Republic of Macedonia.

Item Type:	Article
Subjects:	Scientific Fields (Frascati) > Social Sciences > Economics and Business
Depositing User:	UKLO Mrezha
Date Deposited:	27 May 2024 06:07
Last Modified:	27 May 2024 06:07
URI:	https://eprints.uklo.edu.mk/id/eprint/9982

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