Credit Risk Determinants: Evidence from the Bulgarian Banking System
Bulletin of Applied Economics, 2019, 6(1), 41-64
24 Pages Posted: 5 Feb 2020
Date Written: 2019
The present study examines a wide set of credit risk determinants for the Bulgarian banking system. Using both monthly and quarterly data and employing two methodologies, Vector Autoregressive and Autoregressive Distributed Lag models, we test ninety-one possible determinants of the banks’ credit risk, as measured by non-performing loans, loan loss provisions and problematic loans. Our empirical findings show that both bank-specific and institutional, in addition to macroeconomic, factors have a significant impact on the credit risk of the banking system in the country.
Keywords: risk, non-performing loans, loan loss provisions, Bulgarian banking system
JEL Classification: C10, C32, C51, G01, G20, O52
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