English, Article, Journal or magazine article edition: Macroeconomic determinants of Polish banks’ loan losses – results of a panel data study Adam Głogowski

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/196873
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Macroeconomic determinants of Polish banks’ loan losses – results of a panel data study
Author
  • Adam Głogowski
Physical Description
  • preprint
Notes
  • The paper investigates the links between business cycle variables and loan losses of Polish commercial banks. A panel approach was chosen in order to make maximum use of available supervisory data, and to capture the impact of bank profile on loan losses. Loan losses are proxied by the flow of loan loss provisions. We find a significant influence of real GDP growth, changes in real interest rate, and labour market variables such as changes in unemployment rate. Due to the high share of FX loans to households, the influence of exchange rate is also examined, but the results are inconclusive. The differences in loan losses between banks can be attributed to differences in business profile, described by classification of banks into “strategic groups”, as well as the structure of loan portfolio. The paper concludes with an example of a stress testing exercise conducted using scenarios generated through the National Bank of Poland’s macroeconomic model.
  • credit risk, banks, Poland, panel data, stress tests
  • RePEc:nbp:nbpmis:53
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment