Credit risk: Evidence from peruvian commercial banks
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Published:
Mar 31, 2022
Keywords:
Credit risk, multiple banking, macroeconomic variables, bank-specific variables, determinants
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Abstract
This study aimed to investigate the credit risk determinants in peruvian banking sector. It explores the relationship between macroeconomic and bank – specific variables in order to credit risk, which were analyzed through a panel data set that included 185 bank-year observations of peruvian commercial banks from 2001 to 2019. Based on several robust tests, the results suggest that the exchange rate and the reference rate of the national monetary policy are significantly positive relationship between the bank’s credit risk, while bank efficiency, return on equity (ROE), loan growth, market power and gross domestic product (GDP) have a significantly negative relationship effects on credit risk in peruvian commercial bank. The outcome of this study provides evidence that credit risk was influenced by both macro and micro (bank – specific) variables together.
URL: https://revistas.uta.edu.ec/erevista/index.php/bcoyu/article/view/1601
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How to Cite
Echegaray Roldán, V. (2022). Credit risk: Evidence from peruvian commercial banks. Bolentín De Coyuntura, (32), 06–16. https://doi.org/10.31243/bcoyu.32.2022.1601
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Scientific research articles
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The publications of the Boletín de Coyuntura are licensed under a Creative Commons Attribution-NonCommercial 4.0 International License (CC BY-NC 4.0). The Universidad Técnica de Ambato retains the copyright of the published works, and favors and allows the reuse of these, as long as: the authorship and original source of publication is cited, and they are not used for commercial or onerous purposes. The intellectual property of the published articles belongs to the authors.
References
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Ahmad, N. H. y Ariff, M. (2008). Multi-country study of bank credit risk determinants. The International Journal of Banking and Finance, 5(1), 135-152. doi: 10.32890/IJBF2008.5.1.8362
Akhtar, M. F., Ali, K. y Sadaqat, S. (2011). Factors Influencing the Profitability of Conventional Banks of Pakistan. International Research Journal of Finance and Economics, (66), 117-124. Recuperado de http://joc.hcc.edu.pk/faculty_publications/IRJFE_66_11.pdf
Arpa, M., Giulini, I., Ittner, A. y Pauer, F. (2001). The influence of macroeconomic developments on Austrian banks: Implications for banking supervision. En Bank for International Settlements, Marrying the macro-and micropudential dimensions of financial stability. (1.a ed., Vol. 1, pp. 91-92). Basel, Switzerland: Monetary and Economic Department. Recuperado de http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.462.4785&rep=rep1&type=pdf#page=99
Asfaw, A. H. y Veni, P. (2015). Determinants of credit risk in Ethiopian private commercial banks. International Journal of Accounting and Financial Management Research, 5(3), 1-14.
Aver, B. (2008). An Empirical Analysis of Credit Risk Factors of the Slovenian Banking System. Managing Global Transitions, 6(3), 317-334.
Awojobi, O. (2011). Analysing Risk Management in Banks: Evidence of Bank Efficiency and Macroeconomic Impact. Journal of Money, Investment and Banking, 22. Recuperado de https://papers.ssrn.com/abstract=1947550
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Barr, R. S., Seiford, L. M. y Siems, T. F. (1994). Forecasting Bank Failure: A Non-Parametric Frontier Estimation Approach. Recherches Économiques de Louvain / Louvain Economic Review, 60(4), 417-429.
Berger, A. N. y DeYoung, R. (1997). Problem loans and cost efficiency in commercial banks. Journal of Banking & Finance, 21(6), 849-870. doi: 10.1016/S0378-4266(97)00003-4
Bonfim, D. (2009). Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics. Journal of Banking & Finance, 33(2), 281-299. doi: 10.1016/j.jbankfin.2008.08.006
Boudriga, A., Boulila Taktak, N. y Jellouli, S. (2009). Banking supervision and nonperforming loans: A cross?country analysis. Journal of Financial Economic Policy, 1(4), 286-318. doi: 10.1108/17576380911050043
Castro, V. (2013). Macroeconomic determinants of the credit risk in the banking system: The case of the GIPSI. Economic Modelling, 31, 672-683. doi: 10.1016/j.econmod.2013.01.027
Chaibi, H. y Ftiti, Z. (2014). Credit Risk Determinants: Evidence From A Cross-Country Study. Research in International Business and Finance, 33, 1-16. doi: 10.1016/j.ribaf.2014.06.001
Das, A. y Ghosh, S. (2007). Determinants of Credit Risk in Indian State-owned Banks: An Empirical Investigation. Reserve Bank of India, 12(2), 48-66.
Di Pietro, F., Lusignani, G. y Oliver, M. D. (2012). Business Cycle and the Riskiness of Italian Firm: An Empirical Analysis. Journal of Modern Accounting and Auditing, 8(1), 66-76.
Fofack, H. (2005). Nonperforming Loans in Sub-Saharan Africa: Causal Analysis and Macroeconomic Implications. World Bank Publications. Recuperado de https://books.google.com.pe/books?id=44IQhcGssd8C&lpg=PA25&ots=ztb75B2KI-&dq=fofack%20credit%20risk&lr&hl=es&pg=PA1#v=onepage&q&f=false
Freixas, X. y Rochet, J. (1997). Microeconomics of Banking (1.a ed.). Londes, Inglaterra: The MIT Press. Recuperado de https://econpapers.repec.org/bookchap/mtptitles/0262061937.htm
Ganic, 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.
Ghosh, A. (2015). Banking-industry specific and regional economic determinants of non-performing loans: Evidence from US states. Journal of Financial Stability, 20, 93-104. doi: 10.1016/j.jfs.2015.08.004
Gujarati, D. y Porter, D. (2010). Econometría. México D.F., México: McGraw Hill/Interamericana Editores S.A.
Gutierrez, J. (2020, noviembre). El modelo de datos de panel. Todo Econometría. Recuperado de https://todoeconometria.com/paneldata1/
Haslem, J. A. (1968). A Statistical Analysis of the Relative Profitability of Commercial Banks. The Journal of Finance, 23(1), 167-176. doi: org/10.2307/2325316
Katuka, B. (2017). Credit Risk Dynamics in Listed Local Banks in Zimbabwe (2009-2013). Journal of Economics and Sustainable Development, 8(22), 33-38. Recuperado de https://papers.ssrn.com/abstract=3832564
Kharabsheh, B. (2019). Determinants of bank credit risk: Empirical evidence from Jordanian Commercial Banks. Academy of Accounting and Financial Studies Journal, 23(3), 1-12.
Khemraj, T. y Pasha, S. (2009). The determinants of non-performing loans: an econometric case study of Guyana. Munich Personal RePEc Archive. Recuperado de https://mpra.ub.uni-muenchen.de/53128/
Kwan, S. y Eisenbeis, R. A. (1997). Bank Risk, Capitalization, and Operating Efficiency. Journal of Financial Services Research, 12(2), 117-131. doi: 10.1023/A:1007970618648
Labra, R. y Torrecillas, C. (2014). Guía CERO para datos de panel. Un enfoque práctico. Recuperado de https://www.catedrauam-innova.com/documents/Working%20papers/WP2014_16_Guia%20CERO%20para%20datos%20de%20panel_Un%20enfoque%20practico.pdf
Lin, S. L., Penm, J. H. W., Gong, S.-C. y Chang, C.-S. (2005). Risk-based capital adequacy in assessing on insolvency-risk and financial performances in Taiwan’s banking industry. Research in International Business and Finance, 19(1), 111-153. doi: 10.1016/j.ribaf.2004.10.006
Louhichi, A. y Boujelbene, Y. (2016). Credit risk, managerial behaviour and macroeconomic equilibrium within dual banking systems: Interest-free vs. interest-based banking industries. Research in International Business and Finance, 38, 104-121. doi: 10.1016/j.ribaf.2016.03.014
Louzis, D. P., Vouldis, A. T. y 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. doi: 10.1016/j.jbankfin.2011.10.012
Lu, Z. (2013). Credit risk determinants analysis: Empirical evidence from Chinese commercial banks (tesis de maestría). The University of Nottingham, England. Recuperado de http://eprints.nottingham.ac.uk/26753/1/
Martinez, M. S. y Schmukler, S. L. (2002). Do Depositors Punish Banks for Bad Behavior? Market Discipline, Deposit Insurance, and Banking Crises. The Journal of Finance, 56(3), 1029-1051. doi: 10.1111/0022-1082.00354
Montero, R. (2011). Efectos fijos o aleatorios: test de especificación. Recuperado de http://www.ugr.es/~montero/matematicas/especificacion.pdf
Musaddiq Babangida, S. (2016). Credit Risk Determinants of North Cyprus Banking Sector (tesis de maestría). Eastern Mediterranean University, Chipre del Norte. Recuperado de http://i-rep.emu.edu.tr:8080/xmlui/handle/11129/3596
Nkusu, M. (2011). Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies. International Monetary Fund. Recuperado de https://papers.ssrn.com/abstract=1888904
Podpiera, J. y Weill, L. (2008). Bad luck or bad management? Emerging banking market experience. Journal of Financial Stability, 4(2), 135-148. doi: 10.1016/j.jfs.2008.01.005
Salas, V. y Saurina, J. (2002). Credit Risk in Two Institutional Regimes: Spanish Commercial and Savings Banks. Journal of Financial Services Research, 22(3), 203-224. doi: 10.1023/A:1019781109676
Salazar, F. (2019). Determinantes macro y microeconómicos del riesgo crediticio en el sistema bancario peruano (tesis doctoral). Universidad San Martín de Porres, Lima, Perú. Recuperado de https://repositorio.usmp.edu.pe/handle/20.500.12727/4761
Superintendencia de Banca, Seguros y AFP del Perú. (2020). Estadísticas y Publicaciones. Recuperado de https://www.sbs.gob.pe/
Tehulu, T. A. y Olana, D. R. (2014). Bank- Specific Determinants of Credit Risk: Empirical Evidence from Ethiopian Banks. Research Journal of Finance and Accounting, 5(7), 80-85. Recuperado de https://iiste.org/Journals/index.php/RJFA/article/view/12319/12713
Thalassinos, E. y Thalassinos, Y. (2018). How to Avoid Financial Crises. Challenges and Opportunities in the Digital Era, 232-243. doi: 10.1007/978-3-030-02131-3_21
Türsoy, T., Resatoglu, N. y Rjoub, H. (2008). Macroeconomic Factors, the APT and the Istanbul Stock Market. International Research Journal of Finance and Economics, (22), 9.
Uquillas, A. y González, C. (2017). Determinantes macro y microeconómicos para pruebas de tensión de riesgo de crédito: Un estudio comparativo entre Ecuador y Colombia basado en la tasa de morosidad. Ensayos sobre Política Económica, 35(84), 245-259. doi: 10.1016/j.espe.2017.11.002
Urbina Poveda, M. (2019). Riesgo de crédito: Evidencia en el sistema bancario ecuatoriano. Boletín de Coyuntura, 23, 4-9. doi: 10.31164/bcoyu.23.2019.842
Waemustafa, W. y Sukri, S. (2015). Bank Specific and Macroeconomics Dynamic Determinants of Credit Risk in Islamic Banks and Conventional Banks. International Journal of Economics and Financial Issues, 5(2), 476-481.
Zheng, C., Sarker, N. y Nahar, S. (2018). Factors affecting bank credit risk: An empirical insight. Journal of Applied Finance & Banking, 8(2), 45-67.
Zribi, N. y Boujelbene, Y. (2011). The factors influencing bank credit risk: The case of Tunisia. Journal of Accounting and Taxation, 3(4), 70-78. doi: 10.5897/JAT11.006
Ahmad, I., Salam, S., Ahmad, A. y Abbas, S. (2019). The nexus between credit risk and liquidity risk and their impact on banks financial performance: Evidence from Pakistan. Sarhad Journal of Management Sciences, 5(1), 67-86. doi: 10.31529/sjms.2018.5.1.5
Ahmad, N. H. y Ariff, M. (2008). Multi-country study of bank credit risk determinants. The International Journal of Banking and Finance, 5(1), 135-152. doi: 10.32890/IJBF2008.5.1.8362
Akhtar, M. F., Ali, K. y Sadaqat, S. (2011). Factors Influencing the Profitability of Conventional Banks of Pakistan. International Research Journal of Finance and Economics, (66), 117-124. Recuperado de http://joc.hcc.edu.pk/faculty_publications/IRJFE_66_11.pdf
Arpa, M., Giulini, I., Ittner, A. y Pauer, F. (2001). The influence of macroeconomic developments on Austrian banks: Implications for banking supervision. En Bank for International Settlements, Marrying the macro-and micropudential dimensions of financial stability. (1.a ed., Vol. 1, pp. 91-92). Basel, Switzerland: Monetary and Economic Department. Recuperado de http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.462.4785&rep=rep1&type=pdf#page=99
Asfaw, A. H. y Veni, P. (2015). Determinants of credit risk in Ethiopian private commercial banks. International Journal of Accounting and Financial Management Research, 5(3), 1-14.
Aver, B. (2008). An Empirical Analysis of Credit Risk Factors of the Slovenian Banking System. Managing Global Transitions, 6(3), 317-334.
Awojobi, O. (2011). Analysing Risk Management in Banks: Evidence of Bank Efficiency and Macroeconomic Impact. Journal of Money, Investment and Banking, 22. Recuperado de https://papers.ssrn.com/abstract=1947550
Banco Central de Reserva del Perú [BCRP]. (2020). BCRP Data. Lima, Perú: Gerencia Central de Estudios Económicos del BCRP. Recuperado de https://estadisticas.bcrp.gob.pe/estadisticas/series/index
Bank for International Settlements [BIS]. (2010). Basilea III: Marco regulador internacional para los bancos. Recuperado de https://www.bis.org/bcbs/basel3_es.htm
Baronio, A. y Vivanco, A. (2014). Datos de panel. Guía para el uso de Eviews. Recuperado de https://www.researchgate.net/publication/328812382_Datos_de_Panel_Guia_para_el_uso_de_Eviews
Barr, R. S., Seiford, L. M. y Siems, T. F. (1994). Forecasting Bank Failure: A Non-Parametric Frontier Estimation Approach. Recherches Économiques de Louvain / Louvain Economic Review, 60(4), 417-429.
Berger, A. N. y DeYoung, R. (1997). Problem loans and cost efficiency in commercial banks. Journal of Banking & Finance, 21(6), 849-870. doi: 10.1016/S0378-4266(97)00003-4
Bonfim, D. (2009). Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics. Journal of Banking & Finance, 33(2), 281-299. doi: 10.1016/j.jbankfin.2008.08.006
Boudriga, A., Boulila Taktak, N. y Jellouli, S. (2009). Banking supervision and nonperforming loans: A cross?country analysis. Journal of Financial Economic Policy, 1(4), 286-318. doi: 10.1108/17576380911050043
Castro, V. (2013). Macroeconomic determinants of the credit risk in the banking system: The case of the GIPSI. Economic Modelling, 31, 672-683. doi: 10.1016/j.econmod.2013.01.027
Chaibi, H. y Ftiti, Z. (2014). Credit Risk Determinants: Evidence From A Cross-Country Study. Research in International Business and Finance, 33, 1-16. doi: 10.1016/j.ribaf.2014.06.001
Das, A. y Ghosh, S. (2007). Determinants of Credit Risk in Indian State-owned Banks: An Empirical Investigation. Reserve Bank of India, 12(2), 48-66.
Di Pietro, F., Lusignani, G. y Oliver, M. D. (2012). Business Cycle and the Riskiness of Italian Firm: An Empirical Analysis. Journal of Modern Accounting and Auditing, 8(1), 66-76.
Fofack, H. (2005). Nonperforming Loans in Sub-Saharan Africa: Causal Analysis and Macroeconomic Implications. World Bank Publications. Recuperado de https://books.google.com.pe/books?id=44IQhcGssd8C&lpg=PA25&ots=ztb75B2KI-&dq=fofack%20credit%20risk&lr&hl=es&pg=PA1#v=onepage&q&f=false
Freixas, X. y Rochet, J. (1997). Microeconomics of Banking (1.a ed.). Londes, Inglaterra: The MIT Press. Recuperado de https://econpapers.repec.org/bookchap/mtptitles/0262061937.htm
Ganic, 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.
Ghosh, A. (2015). Banking-industry specific and regional economic determinants of non-performing loans: Evidence from US states. Journal of Financial Stability, 20, 93-104. doi: 10.1016/j.jfs.2015.08.004
Gujarati, D. y Porter, D. (2010). Econometría. México D.F., México: McGraw Hill/Interamericana Editores S.A.
Gutierrez, J. (2020, noviembre). El modelo de datos de panel. Todo Econometría. Recuperado de https://todoeconometria.com/paneldata1/
Haslem, J. A. (1968). A Statistical Analysis of the Relative Profitability of Commercial Banks. The Journal of Finance, 23(1), 167-176. doi: org/10.2307/2325316
Katuka, B. (2017). Credit Risk Dynamics in Listed Local Banks in Zimbabwe (2009-2013). Journal of Economics and Sustainable Development, 8(22), 33-38. Recuperado de https://papers.ssrn.com/abstract=3832564
Kharabsheh, B. (2019). Determinants of bank credit risk: Empirical evidence from Jordanian Commercial Banks. Academy of Accounting and Financial Studies Journal, 23(3), 1-12.
Khemraj, T. y Pasha, S. (2009). The determinants of non-performing loans: an econometric case study of Guyana. Munich Personal RePEc Archive. Recuperado de https://mpra.ub.uni-muenchen.de/53128/
Kwan, S. y Eisenbeis, R. A. (1997). Bank Risk, Capitalization, and Operating Efficiency. Journal of Financial Services Research, 12(2), 117-131. doi: 10.1023/A:1007970618648
Labra, R. y Torrecillas, C. (2014). Guía CERO para datos de panel. Un enfoque práctico. Recuperado de https://www.catedrauam-innova.com/documents/Working%20papers/WP2014_16_Guia%20CERO%20para%20datos%20de%20panel_Un%20enfoque%20practico.pdf
Lin, S. L., Penm, J. H. W., Gong, S.-C. y Chang, C.-S. (2005). Risk-based capital adequacy in assessing on insolvency-risk and financial performances in Taiwan’s banking industry. Research in International Business and Finance, 19(1), 111-153. doi: 10.1016/j.ribaf.2004.10.006
Louhichi, A. y Boujelbene, Y. (2016). Credit risk, managerial behaviour and macroeconomic equilibrium within dual banking systems: Interest-free vs. interest-based banking industries. Research in International Business and Finance, 38, 104-121. doi: 10.1016/j.ribaf.2016.03.014
Louzis, D. P., Vouldis, A. T. y 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. doi: 10.1016/j.jbankfin.2011.10.012
Lu, Z. (2013). Credit risk determinants analysis: Empirical evidence from Chinese commercial banks (tesis de maestría). The University of Nottingham, England. Recuperado de http://eprints.nottingham.ac.uk/26753/1/
Martinez, M. S. y Schmukler, S. L. (2002). Do Depositors Punish Banks for Bad Behavior? Market Discipline, Deposit Insurance, and Banking Crises. The Journal of Finance, 56(3), 1029-1051. doi: 10.1111/0022-1082.00354
Montero, R. (2011). Efectos fijos o aleatorios: test de especificación. Recuperado de http://www.ugr.es/~montero/matematicas/especificacion.pdf
Musaddiq Babangida, S. (2016). Credit Risk Determinants of North Cyprus Banking Sector (tesis de maestría). Eastern Mediterranean University, Chipre del Norte. Recuperado de http://i-rep.emu.edu.tr:8080/xmlui/handle/11129/3596
Nkusu, M. (2011). Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies. International Monetary Fund. Recuperado de https://papers.ssrn.com/abstract=1888904
Podpiera, J. y Weill, L. (2008). Bad luck or bad management? Emerging banking market experience. Journal of Financial Stability, 4(2), 135-148. doi: 10.1016/j.jfs.2008.01.005
Salas, V. y Saurina, J. (2002). Credit Risk in Two Institutional Regimes: Spanish Commercial and Savings Banks. Journal of Financial Services Research, 22(3), 203-224. doi: 10.1023/A:1019781109676
Salazar, F. (2019). Determinantes macro y microeconómicos del riesgo crediticio en el sistema bancario peruano (tesis doctoral). Universidad San Martín de Porres, Lima, Perú. Recuperado de https://repositorio.usmp.edu.pe/handle/20.500.12727/4761
Superintendencia de Banca, Seguros y AFP del Perú. (2020). Estadísticas y Publicaciones. Recuperado de https://www.sbs.gob.pe/
Tehulu, T. A. y Olana, D. R. (2014). Bank- Specific Determinants of Credit Risk: Empirical Evidence from Ethiopian Banks. Research Journal of Finance and Accounting, 5(7), 80-85. Recuperado de https://iiste.org/Journals/index.php/RJFA/article/view/12319/12713
Thalassinos, E. y Thalassinos, Y. (2018). How to Avoid Financial Crises. Challenges and Opportunities in the Digital Era, 232-243. doi: 10.1007/978-3-030-02131-3_21
Türsoy, T., Resatoglu, N. y Rjoub, H. (2008). Macroeconomic Factors, the APT and the Istanbul Stock Market. International Research Journal of Finance and Economics, (22), 9.
Uquillas, A. y González, C. (2017). Determinantes macro y microeconómicos para pruebas de tensión de riesgo de crédito: Un estudio comparativo entre Ecuador y Colombia basado en la tasa de morosidad. Ensayos sobre Política Económica, 35(84), 245-259. doi: 10.1016/j.espe.2017.11.002
Urbina Poveda, M. (2019). Riesgo de crédito: Evidencia en el sistema bancario ecuatoriano. Boletín de Coyuntura, 23, 4-9. doi: 10.31164/bcoyu.23.2019.842
Waemustafa, W. y Sukri, S. (2015). Bank Specific and Macroeconomics Dynamic Determinants of Credit Risk in Islamic Banks and Conventional Banks. International Journal of Economics and Financial Issues, 5(2), 476-481.
Zheng, C., Sarker, N. y Nahar, S. (2018). Factors affecting bank credit risk: An empirical insight. Journal of Applied Finance & Banking, 8(2), 45-67.
Zribi, N. y Boujelbene, Y. (2011). The factors influencing bank credit risk: The case of Tunisia. Journal of Accounting and Taxation, 3(4), 70-78. doi: 10.5897/JAT11.006