TY - JOUR
T1 - An Empirical Analysis of Macroeconomic Determinants of Credit Risk in the Banking Sectors
T2 - Evidence from the BRICS Countries
AU - Sithole, Rumbidzai Praise
AU - Eita, Joel Hinaunye
N1 - Publisher Copyright:
© 2023, AfricaGrowth Institute. All rights reserved.
PY - 2023/12/1
Y1 - 2023/12/1
N2 - Credit risk has been associated with systemic instability, as illustrated by notable crises such as the Asian fiscal crisis of 1997 and the global financial crisis of 2007-2008. This study empirically investigates the macroeconomic drivers of credit risk for BRICS countries using quarterly data for the period 2000 – 2021. To examine this relationship, a Markov Switching Model is employed. The results show that slower economic growth, rising inflation, an appreciating currency, and higher interest rates are associated with rising credit risk. The results also demonstrate that the effects of these macro determinants are not homogeneous across different regimes.
AB - Credit risk has been associated with systemic instability, as illustrated by notable crises such as the Asian fiscal crisis of 1997 and the global financial crisis of 2007-2008. This study empirically investigates the macroeconomic drivers of credit risk for BRICS countries using quarterly data for the period 2000 – 2021. To examine this relationship, a Markov Switching Model is employed. The results show that slower economic growth, rising inflation, an appreciating currency, and higher interest rates are associated with rising credit risk. The results also demonstrate that the effects of these macro determinants are not homogeneous across different regimes.
KW - Credit risk
KW - Markov Switching Model
KW - emerging markets
KW - macroeconomic determinants
KW - non-performing loans
UR - http://www.scopus.com/inward/record.url?scp=85183876725&partnerID=8YFLogxK
U2 - 10.10520/ejc-rdfin_v13_n2_a4
DO - 10.10520/ejc-rdfin_v13_n2_a4
M3 - Article
AN - SCOPUS:85183876725
SN - 1879-9337
VL - 13
SP - 44
EP - 58
JO - Review of Development Finance
JF - Review of Development Finance
IS - 2
ER -