This paper explores the influence of macroeconomic indicators, namely GDP growth, the Consumer Price Index and the unemployment rate on the quality of loan repayments by households in the banking market of the Federation of Bosnia and Herzegovina. Potential influence is observed over a period of fourteen years at the level of nonperforming household loans using regression analysis. The authors aim to determine whether macroeconomic forces actually influence loan repayment, and if so how and what can be done by banks to utilize this information in order to reduce future credit losses, and by the government to maintain the stability of the banking sector.
Agency for Statistics of Bosnia and Herzegovina. 2013 Publications/Annual Reports, 2013. Retrieved from website: http://www.bhas.ba:8080/istarMDBC/MD/dawinciMD.jsp
Anderson R. 2007. The Credit Scoring Toolkit: Theory and Practice for Retail Credit Risk Management and Decision Automation. Oxford University Press: New York.
Arpa M, Giulini I, Ittner A, and Pauer F. 2001. The influence of macroeconomic developments on Austrian banks: implications for banking supervision. Bank for International Settlements, BIS Paper no. 1.
Babouček I, Jančar M. 2005. A VAR analysis of the effects of macroeconomic shocks to the quality of the aggregate loan portfolio of the Czech banking sector, Prague, the Czech National Bank. Working paper series no. 1.
Baholli F, Dika I, Xhabija G. 2015. Analysis of Factors that Influence Nonperforming Loans with Econometric Model: Albanian case. Mediterranean Journal of Social Sciences, MCSER Publishing, Italy.
Banking Agency of the Federation of Bosnia and Herzegovina. Publications/Information on the Banking sector 2006 -2013. Retrieved from website: http://www.fba.ba/index.php?page=37.
Barisitz S. 2011. Nonperforming Loans in CESEE - What Do They Comprise? Focus on European Economic Integration (FEEI), Q4/11, OeNB, Vienna, pp. 46-68.
Bech R, Jakubik P, Piloiu A. 2013. Nonperforming loans - what matters in addition to the economic cycle? European Central Bank, Working paper series 1515.
Berger A, DeYoung R. 1997. Problem Loans and Cost Efficiency in Commercial Banks. Journal of Banking and Finance, 21, pp. 849-870.
Borio C, Furfine C, Lowe P. 2001. Procyclicality of the financial system and financial stability: issues and policy options: marrying the macro and micro-prudential dimension of financia
Boss M. 2002. A Macroeconomic Credit Risk Model for Stress Testing the Austrian Credit Portfolio. Financial Stability Report 4, OeNB, pp. 64-82.
Central Bank of Bosnia and Herzegovina. Publications/Annual Reports. Retrieved from website: http://statistics.cbbh.ba:4444/panorama/novaview/simplelogin_em.aspx.
Commercial Banks: An Econometric Study. Middle Eastern Finance and Economics, Vol. 7.
Dash M. K., Kabra G. 2010. The Determinants of Nonperforming Assets in Indian
Espinoza R., Prasad A. 2010. Nonperforming Loans in the GCC Banking Systems and their Macroeconomic Effects. IMF Working Paper 10/224.
European Bank for Reconstruction and Development. Transition Report for CEE, 2011. Retrieved from website: http://www.ebrd.com/downloads/research/transition/tr11.pdf
European Central Bank. Statistics/Consolidated banking data 2008-2014. Retrieved from website: http://sdw.ecb.europa.eu/reports.do?node=1000004962
EuroStat. Statistics/Consolidated EU data. 2008-2014. Retrieved from website: http://ec.europa.eu/eurostat/web/products-datasets/-/tec00104
Festic M., Beko J. 2008. The banking sector and macroeconomic indicators: Some evidence from Hungary and Poland. Professional Papers 5-6/08 series.
Fofack H. 2005. Non-performing Loans in Sub-Saharan Africa: Causal Analysis and
Glen J., Mondragón-Vélez C. 2011. Business Cycle Effects on Commercial Bank Loan Portfolio Performance in Developing Economies. Retrieved from website: https://papers.ssrn.com/sol3/papers.
Jakubík P. 2007. Macroeconomic Environment and Credit Risk. Czech Journal of Economics and Finance, 57(1-2), pp. 41-59.
Jakubík P., Sutton G. 2011. Thoughts on the proper design of macro stress tests. BIS Papers chapters, Macroprudential regulation and policy, Vol.60, Bank for International Settlements, pp. 111-119.
Klein N. 2013. Nonperforming loans in CESEE. IMF Working paper 13/72. Retrieved from website: https:/www.imf.org/external/pubs/ft/wp/2013/wp1372.pdf
Kocenda E., Vojtek M. 2012. Default Predictors in Retail Credit Scoring: Evidence from Czech Banking Data, Emerging Markets Finance & Trade. Copyright M.E. Sharpe Inc, Vol. 47, No. 6, pp. 80-98.
Louzis D. P., Vouldis A. T., Metaxas V. L. 2010. Macroeconomic and Bank-specific Determinants of Nonperforming Loans in Greece: A Comparative Study of Mortgage, Business, and Consumer Loan Portfolios. Bank of Greece Working Paper 118.
Macroeconomic Implications. World Bank, Policy Research Working Paper no. 3769.
Milens R. 2013. Comparative Analysis of nonperforming loans in EU countries and Lithuania. Kaunas University of Technology, Lithuania.
Moinescu B. 2012. Determinants of nonperforming loans in Central and Eastern Europe countries: Macroeconomic indicators and credit discipline. Retrieved from website: http://www.rebs.ro/articles.
Nkusu M. 2011. Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies. IMF Working Paper 11/161 (Washington: International Monetary Fund).
Pesola J. 2005. Banking Fragility and Distress: An Econometric Study of Macroeconomic Determinants. Bank of Finland, Research Discussion Paper No. 13.
Quagliariello M. 2003. Macroeconomics indicators useful in predicting bank loan quality: evidence from Italy. Bank of Italy, paper series, no. 1.
Rajan R., Dahl S. C. 2003. Non-performing Loans and Terms of Credit of Public Sector Banks in India: An Empirical Assessment. Occasional Papers, 24:3, Reserve Bank of India.
Salas V., Saurina J. 2002. Credit Risk in Two Institutional Regimes: Spanish Commercial and Savings Banks. Journal of Financial Services Research, 22:3, pp. 203-224.
Shu C. 2002. The impact of the macroeconomic environment on the asset quality of Hong Kong’s banking sector. Retrieved from website: www.info.gov.hk/hkma/eng/research/index.htm.