Non-Performing Loans in Serbia

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Non-Performing Loans in Serbia. (2015). Non-Performing Loans in Serbia, (1), 86-112. Retrieved from https://www.ceeol.com/search/article-detail?id=476992
Details
Title

Non-Performing Loans in Serbia

Subtitle
Author
Journal

LIMESplus

Volume
Issue

1

Start page

86

End page

112

ISSN

1820-0869

ISBN
DOI
URL

https://www.ceeol.com/search/article-detail?id=476992

Date

2015-2021/10/18/12:07:32

Abstract

Summary/Abstract: This paper provides econometric results of modelling the non-performing loans in the Serbian banking sector for the period: 2008 Q3 – 2015 Q1. The methodological framework is based on cointegration and common trend analyses that are employed on quarterly data for the following variables: the ratio of non-performing loans to the aggregated loan portfolio of banks, GDP level, unemployment rate, inflation, depreciation rate, key policy rate and net interest margin. Our results imply that in the longrun aggregate non-performing loans in Serbia are affected separately by prices and the nominal exchange rate. Their short-run dynamics are mostly determined by the depreciation rate and the interest rate channels. GDP growth rate is found to have important contemporaneous effect on the short-run variations of aggregate non-performing loans. A significant impact of bad asset management is also estimated.

Keywords

Cointegration, macroeconomic factors, non-performing loans, Serbian banking sector