Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/289313 
Year of Publication: 
2022
Citation: 
[Journal:] Cogent Business & Management [ISSN:] 2331-1975 [Volume:] 9 [Issue:] 1 [Article No.:] 2140488 [Year:] 2022 [Pages:] 1-40
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
This paper aims to examine macroeconomic and bank-specific determinants of non-performing loans (NPLs) in the case of the Republic of North Macedonia. Following the respective literature review that indicates the GDP and the unemployment rate as the most relevant macroeconomic variables, and weighted average interest rate, gross loans, and lagged NPLs as the bank bank-specific ones, we apply an ARDL bounds testing approach to investigate the determinants of NPLs of this landlocked, new NATO member country that seeks access to the EU. The studied period is from the first quarter of 2005 to the second quarter of 2022, which includes apart from the severe financial crises, i.e. the Global Financial Crisis (GFC) of 2007-2009 and the European Sovereign Debt Crisis of 2010-2012, the Pandemic Covid-19 period and the Russian Invasion of Ukraine. Our research output provides statistical evidence that the strongest long-run impact on NPLs comes from unemployment, GDP and interest rates; while Gross Loans seem not to have any significant effect. Our findings, holding both in the short- and the long-run, bear signs that are consistent with the economic theory. Overall, we add in the understanding, measuring, and forecasting of NPLs in a country under transition, and propose corrective macroeconomic policy measures in mitigating the related pressure and shocks, especially under periods of prolonged uncertainty.
Subjects: 
ARDL bounds testing
cointegration and long run form
error correction form
GDP
Non-performing loans
unemployment
JEL: 
C10
C32
E40
G01
G21
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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