Metrika članka

  • citati u SCindeksu: [3]
  • citati u CrossRef-u:[2]
  • citati u Google Scholaru:[=>]
  • posete u poslednjih 30 dana:14
  • preuzimanja u poslednjih 30 dana:6
članak: 5 od 7  
Back povratak na rezultate
Bankarstvo
2016, vol. 45, br. 4, str. 94-109
jezik rada: srpski, engleski
vrsta rada: izvorni naučni članak
objavljeno: 24/02/2017
doi: 10.5937/bankarstvo1604094R
Creative Commons License 4.0
Analiza empirijskih determinanti kreditnog rizika u bankarskom sektoru Republike Srbije
aVisoka poslovna Škola strukovnih studija, Novi Sad
bUniverzitet Singidunum, Beograd

e-adresa: raciczeljko@gmail.com, lbarjaktarovic@singidunum.ac.rs

Projekat

Unapređenje konkurentnosti Srbije u procesu pristupanja Evropskoj uniji (MPNTR - 47028)

Sažetak

Cilj ovog rada je otkrivanje i analiza empirijskih determinanti kreditnog rizika u bankarskom sektoru Republike Srbije. Rad je baziran na analizi rezultata primene linearnog regresionog modela, u vremenskom periodu od trećeg kvartala 2008. do trećeg kvartala 2014. godine. Tri su osnovna nalaza istraživanja. Prvo, veća kreditna aktivnost banaka doprinosi povećanju udela visoko rizičnih kredita u ukupnim kreditima (zakasneli efekat od 3 godine). Drugo, rast kreditnih plasmana u odnosu na depozite doprinosi većoj izloženosti banaka kreditnom riziku. Treće, faktori koji smanjuju izloženost kreditnom riziku banaka su rast profitabilnosti, rast kamatnog spreda i realni rast bruto domaćeg proizvoda. Imajući u vidu sveukupne tržišne okolnosti i dinamiku privrednog oporavka zemlje, na osnovu rezultata se može izvesti generalni zaključak da će u narednom periodu pitanje visoko rizičnih kredita u Republici Srbiji biti aktuelan izazov i za kreditore i za korisnike kredita.

Ključne reči

Reference

*** (2015) Bankarski sektor u Srbiji - kvartalni izveštaji. Beograd: Narodna banka Srbije-Sektor za kontrolu poslovanja banaka, http://www. nbs.rs/internet/cirilica/55/55_4/index.html, 10.12.2015
*** (2016) Regression with STATA Web book: Regression diagnostics. Institute for digital research and education, Chapter 2, (http://www.ats.ucla.edu/Stat/stata/webbooks/reg/chapter2/statareg2.htm, 07.02.2016)
*** (2015) Izveštaj o rezultatima ankete o kreditnoj aktivnosti - prvo tromesečje 2015. Beograd: Narodna banka Srbije, maj, (http://www.nbs.rs/export/sites/default/internet/latinica/90/anketa_kab/kab_izv_I_2015.pdf, 15.12.2015)
Alihodžić, A. (2015) Međusobna uslovljenost performansi bankarskog i realnog sektora Republike Srbije. Bankarstvo, vol. 44, br. 2, str. 46-73
Arellano, M., Bond, S. (1991) Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. Review of Economic Studies, 58, 277-297
Baltagi, B.H. (1995) Econometric analysis of panel data. West Sussex, England: John Wiley & Sons, Ltd, 3rd ed
Baltagi, B.H. (2011) Econometrics. Berlin, Heidelberg: Springer Berlin Heidelberg
Barjaktarović, L. (2013) Upravljanje rizikom. Beograd: Univerzitet Singidunum
Berger, A.N., DeYoung, R. (1997) Problem loans and cost efficiency in commercial banks. Journal of Banking & Finance, 21(6): 849-870
Bond, S.R. (2002) Dynamic panel data models: a guide to micro data methods and practice. Portuguese Economic Journal, 1(2): 141-162
Das, A., Ghosh, S. (2007) Determinants of credit risk in Indian state-owned banks: An empirical investigation. MPRA Paper, No. 17301, posted 16. September 2009, (http://mpra.ub.uni-muenchen.de/17301/, 10.02.2016)
Dimić, M. (2015) Analiza nivoa koncentracije u bankarskom sektoru u zemljama centralne i istočne Evrope. Univerzitet Singidunum
Ganić, M. (2014) Bank Specific Determinants of Credit Risk - An Empirical Study on the Banking Sector of Bosnia and Herzegovina. International Journal of Economic Practices and Theories, 4, (4): 428- 436
Jimenez, G., Saurina, J. (2005) Credit cycles, credit risk, and prudential regulation. Banco de España, http://www.bis.org/bcbs/events/rtf05JimenezSaurina.pdf, 30.01.2016
Jović, D. (2015) Modeliranje loših kredita u bankarskom sektoru Bosne i Hercegovine. Bankarstvo, vol. 44, br. 3, str. 78-101
Kwan, S., Eisenbeis, R.A. (1997) Bank Risk, capitalisation and operating efficiency. Journal of Financial Services Research, 12(2/3): 117-131
Louzis, D.P., Vouldis, A.T., Metaxas, V.L. (2012) Macroeconomic and bank-specific determinants of non-performing loans in Greece: A comparative study of mortgage, business and consumer loan portfolios. Journal of Banking & Finance, 36(4): 1012-1027
Makri, V., Tsagkanos, A., Bellas, A. (2014) Determinants of non-performing loans: The case of Eurozone. Panoeconomicus, vol. 61, br. 2, str. 193-206
Matić, V. (2015) Risk exposure mitigation: Approaches and recognised instruments (7). Bankarstvo, vol. 44, br. 2, str. 150-153
Ministarstvo Finansija, Republika Srbija (2014) Bilten javnih finansija, broj 124. decembar, (http://www.mfin.gov.rs/UserFiles/File/bilten%20javne%20finansije/bilten-124-web.pdf, 01.02.2016)
Mladenović, M., Petrović, P. (2007) Uvod u ekonometriju. Beograd: Centar za izdavačku delatnost Ekonomskog fakulteta u Beogradu
Newbold, P., Carlson, W.L., Thorne, B. (2010) Statistika za poslovanje i ekonomiju. Zagreb: MATE
Racic, Z., Stanisic, N., Racic, M. (2014) A Comparative Analysis of the Determinants of Interest Rate Risk Using the Example of Banks from Developed and Developing Financial Markets. Engineering Economics, 25, (4): 395-400
Rajaraman, I., Bhaumik, S., Bhatia, N. (1999) NPA variations across Indian commercial banks: Some findings. Economic and Political Weekly, 34, (3/4): 16-23
Ranisavljević, D., Vuković, D.B. (2015) Rizici kreditiranja malog biznisa u Republici Srbiji. Bankarstvo, vol. 44, br. 1, str. 12-25
Salas, V., Saurina, J. (2002) Credit Risk in Two Institutional Regimes: Spanish Commercial and Saving Banks. Journal of Financial Services Research, 22(3): 203-224
Saunders, A., Cornet, M.M. (2011) Financial institutions management: A risk management approach. McGraw-Hill, International edition