Petros Golitsis, Athanasios P. Fassas and Anna Lyutakova

Correspondence: Athanasios P. Fasas, afassas@teilar.gr

University of Thessaly, Greece

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Abstract

The present study examines a wide set of credit risk determinants for the Bulgarian banking system. Using both monthly and quarterly data and employing two methodologies, Vector Autoregressive and Autoregressive Distributed Lag models, we test ninety-one possible determinants of the banks’ credit risk, as measured by non-performing loans, loan loss provisions and problematic loans. Our empirical findings show that both bank-specific and institutional, in addition to macroeconomic, factors have a significant impact on the credit risk of the banking system in the country.

Keywords:

  credit risk; non-performing loans; loan loss provisions; Bulgarian banking system.

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