Title: Macroeconomic determinants of credit risk: a P-VAR approach evidence from Europe

Authors: Ahlem-Selma Messai; Mohamed Imen Gallali

Addresses: University of Economics and Management of Mahdia, University of Monastir, Monastir, 5000, Tunisia ' Higher Business School of Tunis, University of Manouba, Manouba, 2010, Tunisia

Abstract: The aim of this study is to develop a macroprudential approach in order to determine the most relevant factors able to explain the emergence of non-performing loans (NPL). For this purpose, we estimate an econometric model for analysing interrelationship among non-performing loans and the determinants of the credit risk in 18 European countries by using a panel vector autoregressive (PVAR) approach during the period 2000-2011. This study implies that credit risk determinants are similar to early warning indicators. Our empirical results show a bi-directional causal relationship between the credit risk evolution and four variables (GDP growth rate, unemployment rate, the stock price index and the non-performing loans).

Keywords: macroprudential approach; credit risk; NPL; non-performing loans; PVAR approach.

DOI: 10.1504/IJMEF.2019.098638

International Journal of Monetary Economics and Finance, 2019 Vol.12 No.1, pp.15 - 24

Received: 02 Oct 2016
Accepted: 28 Jan 2017
Published online: 29 Mar 2019 *

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