An Empirical Analysis of Macroeconomic and Bank Performance Factors Affecting Credit Risk in Banking for The Central European Countries

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F19%3A10251321" target="_blank" >RIV/61989100:27510/19:10251321 - isvavai.cz</a>
Result on the web
<a href="https://mme2019.ef.jcu.cz/files/conference_proceedings.pdf" target="_blank" >https://mme2019.ef.jcu.cz/files/conference_proceedings.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
An Empirical Analysis of Macroeconomic and Bank Performance Factors Affecting Credit Risk in Banking for The Central European Countries
Original language description
This paper provides empirical results of the macroeconomic and bank performance determinants which affect credit risk in banking for the Central European Countries. Using time series data from 2002 to 2016 for Austria, the Czech Republic, Germany, Hungary and Poland. In this study, we apply fixed effect panel data regression to figure out how banks' non-performing loans are influenced by macroeconomic factors and bank performance indicators. Through econometric verification, the valid estimation shows empirical results that macroeconomic and bank performance factors do have significant impact on credit risk. GDP growth rate, share price indices, and return on assets are negatively related to the increasing of NPL ratio, while better banks' assets quality is following with lower exchange rate, harmonized consumer price index and unemployment rate.
Czech name
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Czech description
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Project
<a href="/en/project/GA19-11965S" target="_blank" >GA19-11965S: A network approach to portfolio optimization and tracking problems</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
MME 2019 : 37th International Conference on Mathematical Methods in Economics 2019 : conference proceedings : České Budějovice, September 11-13, 2019
ISBN
978-80-7394-760-6
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
392-397
Publisher name
Jihočeská univerzita v Českých Budějovicích
Place of publication
České Budějovice
Event location
Ceske Budejovice
Event date
Sep 11, 2019
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000507570400065

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