RESEARCH OF DETERMINANTS OF NON-PERFORMING LOANS OF THE BANKING SECTOR OF SERBIA

  • Nela Milišić
  • Željko Račić
DOI: https://doi.org/10.5937/skolbiz2-24160
Keywords: bank’s lending activity, non-performing loans, credit risk management, linear regression model (OLS), concentration of banking sector, HHI index

Abstract


The aim of this paper is to identify and analyze important internal and macroeconomic factors that determine the level of non-performing loans in the domestic banking sector thus contributing to the process of managing banks' credit risk. The research is based on the application of linear regression model (OLS). In accordance with the results, we have concluded that the growth in lending activities and the concentration of the five largest banks contributed to the increase in the share of non-performing loans in the credit portfolio of the banking sector.

References

Azofra, V., & Santamaría, M. (2011). Ownership, control, and pyramids in Spanish commercial banks. Journal of Banking & Finance, 35(6), 1464–1476.

Boye, O. B. (2007). An analysis of banks’ problem loans. Economic Bulletin, 2, 65-76.

Cifter, A. (2011). Bank concentration and non-performing loans in Central and Eastern European countries. Journal of business Economics and Management, 16(1), 117-137.

Ćurak, M., Pepur, S., & Poposki, K. (2013). Determinants of non-performing loans – evidence from Southeastern European banking systems. Banks and Bank Systems, 8(1), 45-53.

Das, A., & Ghosh, S (2007). Determinants of credit risk in Indian state-owned banks: An empirical investigation. Economic Issues, 12(2), 27-46.

Ekanayake & Azeez. ( 2015). Determinants of non-performing loans in licensed commercial banks: evidence from Sri Lanka. Asian Economic and Financial Review, 5(6), 868-882.

Filipović, M., Avramović, V., & Račić, Ž. (2016). Analiza nivoa koncentracije aktive u bankarskom sektoru Rebublike Srbije. Škola Biznisa, 2, 111-119.

Goldstein, M., & Turner, P. (1996). Banking crises in emerging economies: origins and policy options. BIS economic papers, 46.

Iannotta, G., Nocera, G., & Sironi, A. (2007). Ownership structure, risk and performance in the European banking industry. Journal of Banking and Finance, 31(7), 2127-2149.

Jimenez, G., & Saurina J. (2006). Credit cycles, credit risk, and prudential regulation. International Journal of Central Banking, 2(2), 65-98.

Louzis, D. P., Vouldis, A. T., & Metaxas, V.L. (2010), Macroeconomic and bank‐specific determinants of non‐performing loans in Greece: a comparative study of mortgage, business and consumer loan portfolios. Bank of Greece, Working Paper, No 118.

Narodna Banka Srbije

. https://www.nbs.rs/internet/latinica/55/55_4/index.html

Newey, W., & West, K. (1987). A simple, positive semi- definite, heteroskedasticity and autocorelation consistent covariance matrix, Econometrica, 55(3), 703-708.

Ozili, P. (2019). Non-performing loans and financial development: new evidince. Journal of Risk Finance, 20(1), 59-81.

Partovi, E., & Matousek, R. (2019). Bank efficiency and non-performing loans: Evidence from Turkey, Research in international Business and Finance, 48, 287-309.

Račić, Ž. (2013). Komparativna analiza izloženosti banaka riziku kamatne stope na primeru razvijenih finansijskih tržišta i finansijskog tržišta Republike Srbije (Doktorska disertacija). Beograd, Republika Srbija: Univerzitet Singidunum.

Račić, Ž., & Barjaktarović, L. (2016). Analiza empirijskih determinant kreditnog rizika bankarskog sektora Republike Srbije. Bankarstvo, 45(4), 94-109.

Roy, S., Dey, P. K., & Bhowmik, P. (2014). Non-Performing Loans in Private Commercial Banks of Bangladesh: Macro-Economic Determinants and Impacts. The Jahangirnagar Journal of Business Studies, 4(1), 47-57.

Warue, B. N. (2013). The Effects of Bank Specific and Macroeconomic Factors on Nonperforming Loans in Commercial Banks in Kenya: A Comparative Panel Data Analysis. Advances in Management & Applied Economics, 3(2), 135-164.

Published
2020/04/18
Issue
No. 2 (2019): School of Business
Section
Original Scientific Paper
Authors who publish with this journal agree to the following terms:

  1. Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.

  2. Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.

  3. Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).