• citations in SCIndeks: [4]
  • citations in CrossRef:[2]
  • citations in Google Scholar:[]
  • visits in previous 30 days:19
  • full-text downloads in 30 days:12


article: 1 from 1  
Back back to result list
2016, vol. 45, iss. 4, pp. 94-109
Analysis of empirical determinants of credit risk in the banking sector of the Republic of Serbia
aVisoka poslovna Škola strukovnih studija, Novi Sad
bUniversity Singidunum, Belgrade,
Advancing Serbia's Competitiveness in the Process of EU Accession (MESTD - 47028)

The aim of this paper is the detection and analysis of empirical determinants of credit risk in the banking sector of the Republic of Serbia. The paper is based on an analysis of results of the application of the linear regression model, during the period from the third quarter of 2008 to the third quarter of 2014. There are three main findings. Firstly, the higher lending activity of banks contributes to the increasing share of high-risk loans in the total withdrawn loans (delayed effect of 3 years). Secondly, the growth of loans as opposed to deposits contributes to the increased exposure of banks to credit risk. Thirdly, the factors that reduce the exposure of banks to credit risk increase profitability, growth of interest rate spread and real GDP growth. Bearing in mind the overall market conditions and dynamics of the economic recovery of the country, there is a general conclusion based on the results that in the coming period the question of non-performing loans (NPLs) in the Republic of Serbia will present a challenge for both lenders and borrowers.
*** (2015) Bankarski sektor u Srbiji - kvartalni izveštaji. Beograd: Narodna banka Srbije-Sektor za kontrolu poslovanja banaka, http://www., 10.12.2015
*** (2016) Regression with STATA Web book: Regression diagnostics. Institute for digital research and education, Chapter 2, (, 07.02.2016)
*** (2015) Izveštaj o rezultatima ankete o kreditnoj aktivnosti - prvo tromesečje 2015. Beograd: Narodna banka Srbije, maj, (, 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, (, 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,, 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, (, 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


article language: Serbian, English
document type: Original Scientific Paper
DOI: 10.5937/bankarstvo1604094R
published in SCIndeks: 24/02/2017
Creative Commons License 4.0