Credit Risk Determinants: Evidence from the Bulgarian Banking System

Bulletin of Applied Economics, 2019, 6(1), 41-64

24 Pages Posted: 5 Feb 2020

See all articles by Petros Golitsis

Petros Golitsis

affiliation not provided to SSRN

Athanasios Fassas

University of Thessaly; Hellenic Open University

Anna Lyutakova

affiliation not provided to SSRN

Date Written: 2019

Abstract

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

Suggested Citation

Golitsis, Petros and Fassas, Athanasios and Lyutakova, Anna, Credit Risk Determinants: Evidence from the Bulgarian Banking System (2019). Bulletin of Applied Economics, 2019, 6(1), 41-64. Available at SSRN: https://ssrn.com/abstract=3518366

Petros Golitsis

affiliation not provided to SSRN

Athanasios Fassas (Contact Author)

University of Thessaly ( email )

Argonafton & Filellinon
38221 Volos
United States

Hellenic Open University ( email )

Parodos Aristotelous 18
Patra, 26335
Greece

Anna Lyutakova

affiliation not provided to SSRN

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