An Empirical Analysis of Macroeconomic and Bank Performance Factors Affecting Credit Risk in Banking for The Central European Countries

This paper provides empirical results of the macroeconomic and bank performance determinants which affect credit risk in banking for the Central European Countries. Using time series data from 2002 to 2016 for Austria, the Czech Republic, Germany, Hungary and Poland. In this study, we apply fixed effect panel data regression to figure out how banks' non-performing loans are influenced by macroeconomic factors and bank performance indicators. Through econometric verification, the valid estimation shows empirical results that macroeconomic and bank performance factors do have significant impact on credit risk. GDP growth rate, share price indices, and return on assets are negatively related to the increasing of NPL ratio, while better banks' assets quality is following with lower exchange rate, harmonized consumer price index and unemployment rate.