THE EFFECT OF MACRO FACTORS ON BANK CREDIT ACTIVITY IN THE REPUBLIC OF SERBIA
Ključne reči:
Erste banka, makroekonomski faktori, kratkoročni i dugoročni krediti, multivarijantni regresijski modeli, civilni sektor i preduzeća
Sažetak
Ovaj rad istražuje da li i kako ključni makro fundamenti u Srbiji utiču na količinu izdatih kredita Erste banke civilnom sektoru i preduzećima u Srbiji. Trudili smo se da utvrdimo koji određeni makro faktor ima najveći uticaj na izdate kredite Erste banke i da izmerimo tačnu prosečnu veličinu ovih uticaja. Glavna ideja je da se otkrije kako BDP, inflacija, referentna kamatna stopa centralne banke, promene kursa i Euribor utiču na kratkoročnu i dugoročnu kreditnu aktivnost Erste banke u Srbiji. Izračunavanje se vrši primjenom nekoliko multivarijantnih regresijskih modela. Možemo izvesti da je Euribor najvažniji faktor svih pregledanih makroagregata, jer utiče na većinu analiziranih bankarskih kredita. Pored Euribora, otkrivamo da i drugi makro fundamenti utiču na izdate kredite samo sporadično. Drugim rečima, nivo BDP-a i inflacija utiču samo na dugoročne kredite za preduzeća, dok referentna kamatna stopa utiče samo na kratkoročne kredite za civilno stanovništvo. Pomalo neočekivano, otkrivamo da promene kursa nemaju uticaja ni na jedan kredit Erste banke, što jasno ukazuje da se banka veoma uspešno štiti od ove vrste makro rizika.
Reference
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Petrella, L., Raponi, V. (2019). Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress. Journal of Multivariate Analysis 173, 70–84., DOI: 10.1016/j.jmva.2019.02.008
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Ongore, V.O. (2013). Determinants of Financial Performance of Commercial Banks in Kenya. International Journal of Economics and Financial Issues, 3(1), 237- 252.
Orzechowski, P.E. (2017). Bank profits, loan activity, and monetary policy: evidence from the FDIC's Historical Statistics on Banking. Review of Financial Economics 33 (2017) 55–63., DOI: 10.1016/j.rfe.2016.11.002
Otuori, O.H. (2013). “Influence of exchange rate determinants on the performance of commercial banks in Kenya”. European Journal of Management Sciences and Economics, 1(2), 86-98.
Xia, C., Zhang, A., Wang, H., Yeh, A.G.O. (2019). Predicting the expansion of urban boundary using space syntax and multivariate regression model. Habitat International, 86,126–134., DOI: 10.1016/j.habitatint.2019.03.001
Živkov D., Njegić J., Ljumović I. (2013). Linkage between external and internal imbalance: The case of Serbia. Industrija, 41(4), 127-142.
Baum, C.F., Caglayan, M., Ozkan, N. (2009). The second moments matter: the impact of macroeconomic uncertainty on the allocation of loanable funds. Economic Letters, 102 (2), 87–89., DOI: 10.1016/j.econlet.2008.11.019
Busch, C.M., & Prieto, E. (2014). Do better capitalized banks lend less? Long-run panel evidence from Germany. International Finance, 17(1), 1–23.
Caglayan, M., Xu, B. (2019). Inflation volatility effects on the allocation of bank loans. Journal of Financial Stability, 24, 27–39., 10.1016/j.jfs.2016.04.008
Chen, L., Pourahmadi, M., Maadooliat, M. (2014). Regularized multivariate regression models with skew-t error distributions. Journal of Statistical Planning and Inference, 149, 125–139., doi: 0.1016/j.jspi.2014.02.001
Den Haan, W. J., Sumner, S. W., & Yamashiro, G. M. (2007). Banks' loan portfolio and the monetary transmission mechanism. Journal of Monetary Economics, 54(3), 904–924.
Glen, J., Mondragón-Vélez, C. (2011). Business cycle effects on commercial bank loan portfolio performance in developing economies. Review of Development Finance, 1, 150–165., DOI: 10.1016/j.rdf.2011.03.002
Gu, X., Xin, Y., Xu, L (2019). Expected stock price crash risk and bank loan pricing: Evidence from China's listed firms. Pacific-Basin Finance Journal, 57, 101166. DOI: 10.1016/j.pacfin.2019.06.013
Hasanov, F.J., Bayramli, N., Al-Musehel, N. (2018). Bank-specific and macroeconomic determinants of bank profitability: evidence from an oil-dependent economy. International Journal of Financial Studies, 6(3), 78., DOI: 10.3390/ijfs6030078
Kamani, E.F. (2019). The effect of non-traditional banking activities on systemic risk: Does bank size matter? Finance Research Letters, 30, 297–305., DOI: 10.1016/j.frl.2018.10.013
Lee, J-P., Lin, E.M.H., Lin, J.J., Zhao, Y. (in press). Bank systemic risk and CEO overconfidence. North American Journal of Economics and Finance, DOI: 10.1016/j.najef.2019.03.011
Lojanica, N., Tubić-Ćurčić, T. (2019). Economic growth and economic inequality in Visegrád countries: empirical analysis. School of Business, 2, 35-51., DOI: 10.5937/skolbiz2-21327
Mori, Y., Suzuki, T. (2018). Generalized ridge estimator and model selection criteria in multivariate linear regression. Journal of Multivariate Analysis, 165, 243–261., DOI: 10.1016/j.jmva.2017.12.006
Petrella, L., Raponi, V. (2019). Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress. Journal of Multivariate Analysis 173, 70–84., DOI: 10.1016/j.jmva.2019.02.008
Ognjanović, J., Pešterac, A. (2019). Research on the relationship between intellectual capital and indicators of work results of employees in the banking sector of the republic of Serbia. School of Business, 2, 1-22., DOI: 10.5937/skolbiz2-22612
Ongore, V.O. (2013). Determinants of Financial Performance of Commercial Banks in Kenya. International Journal of Economics and Financial Issues, 3(1), 237- 252.
Orzechowski, P.E. (2017). Bank profits, loan activity, and monetary policy: evidence from the FDIC's Historical Statistics on Banking. Review of Financial Economics 33 (2017) 55–63., DOI: 10.1016/j.rfe.2016.11.002
Otuori, O.H. (2013). “Influence of exchange rate determinants on the performance of commercial banks in Kenya”. European Journal of Management Sciences and Economics, 1(2), 86-98.
Xia, C., Zhang, A., Wang, H., Yeh, A.G.O. (2019). Predicting the expansion of urban boundary using space syntax and multivariate regression model. Habitat International, 86,126–134., DOI: 10.1016/j.habitatint.2019.03.001
Živkov D., Njegić J., Ljumović I. (2013). Linkage between external and internal imbalance: The case of Serbia. Industrija, 41(4), 127-142.
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2021/03/04
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