Credit risk of subsidiaries of foreign banks in CEE countries: Impacts of the parent bank and home country economic environment

Perić, Blanka Škrabić; Smiljanić, Ana Rimac; Aljinović, Zdravka

doi:10.1016/j.najef.2018.03.009

Cited by 20 publications

(14 citation statements)

References 39 publications

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“…In other words, a sudden increase in interest rates could weaken the financial situation of borrowers whose loans are contracted at variable rates. This result confirms those found by Tanaskovic and Jandric (2015) and Skrabic Peric et al (2018).…”

Section: Empirical Analysis and Resultssupporting

confidence: 93%

“…This approach follows similar research (Glogowski, 2008;Makri et al, 2014;Louzis et al, 2012). This is necessary when changes in the macroeconomic and governance environments lead to changes in NPLs (Skrabic Peric et al 2018). The results of the basic model ( 2) are presented in Table (3).…”

Section: Empirical Analysis and Resultsmentioning

confidence: 97%

“…To estimate the proposed model, it would be necessary to define the appropriate methodology. NPLs are a dynamic phenomenon, and recent research findings on NPLs confirm that their past value has an impact on their current value (Skrabic Peric et al 2018;Radivojevic et al 2019, Abid, Ouertani andGhorbel, 2014;Tanaskovic and Jandric, 2015). Thus, it would be obvious to use dynamic panel data estimators.…”

Section: Empirical Estimation Methodologymentioning

confidence: 92%

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The Determinants of the Volatility of Non-Performing Loans of Tunisian Banks: Revolution Versus COVID-19

Romdhane¹,

Kenzari²

2020

R. Econ. and Finan.

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The paper presents the use of the difference GMM, the system GMM and the Panel VAR for the purpose of determining the critical determinants of non-performing loans. The aim of the paper is to point out the factors that explain the volatility of NPLs in a time of crisis. The study focused on a sample of 18 Tunisian banks observed during the period 2008-2018. The paper seeks to identify the impact of crucial macro, microeconomic and governance variables on the NPLs. The results suggest that the deterioration in asset quality can be attributed to both macroeconomic and bank-specific factors. The liquidity risk has a positive and significant correlation with the NPLs of Tunisian banks. The variable "Revolution" presents a positive though not significant relationship with these. Also, the results emphasize the strength of macrofinancial feedback loops in Tunisia. As for the effect of the positive shock of the revolution on the NPL level, we note that it is significant and negative. The decomposition of the sample into two sub-samples: pre-revolution period and post-revolution period allowed showing that the ROA and the ownership structure affect negatively and significantly the NPLs of the banks in the two periods, while the capital affects them positively. It appears that bank-specific factors explain well the volatility of NPLs, especially in the post-revolution period. Finally, by a descriptive study, we have shown that the COVID-19 crisis explains the volatility of the NPLs of Tunisian banks.

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Section: Empirical Analysis and Resultssupporting

confidence: 93%

Section: Empirical Analysis and Resultsmentioning

confidence: 97%

Section: Empirical Estimation Methodologymentioning

confidence: 92%

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The Determinants of the Volatility of Non-Performing Loans of Tunisian Banks: Revolution Versus COVID-19

Romdhane¹,

Kenzari²

2020

R. Econ. and Finan.

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“…Our findings are in line with those of Haselmann et al (2016), Cull et al (2017), andBrzoza-Brzezina et al (2018) who showed that, during crisis, foreign banks were a driver of financial fragility, particularly due to their potential to transmit external shock and amplify foreign spillovers. In the same light, Perić et al (2018) emphasized the channel of international risk transfer enhanced by the nexus between home-country parent bank and host-country foreign owned bank, while Temesvary and Banai (2017) showed that the lower liquidity of the parent bank negatively impacted the lending of the subsidiary. Considering the pro-cyclicality differences in banks' lending behaviour, we emphasize the importance of having a balance in bank ownership market shares.…”

Section: Resultsmentioning

confidence: 99%

Foreign Banks in Central and Eastern Europe: The Good, the Bad and the Ugly

Niţoi¹,

Clichici²,

Moagăr-Poladian³

2021

Prague Economic Papers

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Foreign banks have played a major role in Central and Eastern European economic landscape over the last decades. They have spurred banking intermediation and fuelled economic growth for years. However, the global financial crisis unveiled the other side of the coin. This article analyses foreign banks' lending behaviour in Central and Eastern Europe over the period from 2000 to 2016. It aims to investigate the nexus between bank loan growth, cross-border bank claims and the cycle period. Moreover, it captures the impact of the financial cycle on foreign banks' credit behaviour and highlights whether foreign bank ownership is influenced by host-and home-country effects. Our findings reveal the strong nexus between foreign banks' loan growth and cross-border bank claims. Also, we emphasize the pro-cyclicality of foreign banks' loan growth and cross-border bank claims. Furthermore, we see clear differences related to foreign banks' lending behaviour during normal and turbulent times, triggered by host-and home-country effects. These results raise policy challenges regarding the right bank ownership balance and the use of prudential regulation.

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“…The study indicates that credit risk exposure reduces for the banks with low capitalization, greater asset quality, prudent management quality and greater profitability. Perić, Smiljanić, and Aljinović (2018) distinguish different effect of credit risk in Central and Eastern European (CEE) countries in reference to bank ownership. This is due to different regulatory environmental practices between the countries.…”

Section: Literature Reviewmentioning

confidence: 99%

Credit Risk, Islamic Contracts and Ownership Status: Evidence From Malaysian Islamic Banks

Misman¹,

Ahmad²,

Khairani³

et al. 2020

IJFR

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The paper attempts to model the key drivers of credit risk for Islamic banks in Malaysia. This paper is motivated to introduce Islamic financing types (IFT) and banks ownership status (STATUS) as additional factors in investigating the key drivers. This study also investigates the level of credit risk between the crisis and non-crisis period. This study employs a panel data analysis method using generalized least squares (GLS) regression for random effect model. The dependent variable is credit risk which assumed to be a function of bank-specific variables and other potential variables that are ownership status, Islamic financing types and financial crisis. The sample of this study comprised of 160 observations for 15 full-fledged Islamic banks in Malaysia, covering the period of 2000 to 2016. The finding suggests that financing expansion, financing and capital buffer are amongst important drivers that significantly influence the level of credit risk of Malaysian Islamic banks. The estimation results of this study also suggest that any Islamic bank that offers equity-based financing (EBF) has significantly higher credit risk.

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Credit risk of subsidiaries of foreign banks in CEE countries: Impacts of the parent bank and home country economic environment

Cited by 20 publications

References 39 publications

The Determinants of the Volatility of Non-Performing Loans of Tunisian Banks: Revolution Versus COVID-19

The Determinants of the Volatility of Non-Performing Loans of Tunisian Banks: Revolution Versus COVID-19

Foreign Banks in Central and Eastern Europe: The Good, the Bad and the Ugly

Credit Risk, Islamic Contracts and Ownership Status: Evidence From Malaysian Islamic Banks

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