Aug 2026· Journal of Risk and Financial Management· 0 citations· 54 references
Abstract
This study examines whether the accumulated stock of private credit provides early-warning information for subsequent deterioration in banking-sector asset quality. It combines annual Passport banking indicators with World Development Indicators for 58 countries over 2010–2024; the preferred sample contains 746 country–year observations. A second-order dynamic fixed-effects model links log(1 + NPL), where NPL denotes the non-performing loan ratio, to lagged private credit to gross domestic product (GDP), real credit growth, lending rates, bank capital, GDP growth, inflation, and unemployment. Its preferred credit-depth coefficient is 0.00377, implying that a 10-percentage-point increase is associated with approximately 0.15 percentage points more NPLs one year later at the sample median. To operationalize early-warning calibration without claiming a universal cutoff, the paper reports the sample credit-depth quartiles and estimates a country fixed-effects linear probability model using the European Banking Authority’s 5% gross-NPL supervisory trigger. In that alternative outcome, a 10-percentage-point increase in credit depth is associated with a 2.78-percentage-point higher conditional probability of NPLs reaching 5% or more (p = 0.002). On a strictly common 609-observation sample, the credit-depth coefficients at one-, two-, and three-year horizons are 0.00501, 0.00960, and 0.01266. Lending rates and unemployment are positive, whereas annual credit growth and capital ratios are not robust predictors. Pooled interactions do not reject equal slopes across broad country partitions. System generalized method of moments (GMM) passes conventional tests but violates a persistence-bound credibility check. The evidence supports an early-warning interpretation, not a causal claim.
This study examines the dynamics of asset quality across all twelve Indian public-sector banks
(PSBs) over fiscal years 2011–2026, using a merger-consistent (pro-forma) panel of 192 bankyears constructed from Reserve Bank of India (RBI) data and bank disclosures. The empirical
workhorse is deliberately simple: the canonical non-performing-loan (NPL) determinants panel,
in which the gross non-performing-asset (GNPA) ratio is regressed on its own lag, real GDP
growth, the ten-year government-bond yield, and lagged credit growth, with bank fixed effects
and standard errors clustered by bank. Three findings emerge. First, asset quality is highly
persistent: the autoregressive coefficient is about 0.71 with the full set of controls—implying a
half-life of roughly two years—and is robust to adding year fixed effects and to excluding the
pandemic years. Second, the relationship between GNPAs and the macroeconomy is not
structurally stable: interest rates matter, but the coefficient on GDP growth is weak and wrongsigned in the pooled panel, and when the identical regression is estimated separately before and
after the AQR the GDP coefficient collapses from +1.20 to zero—evidence that the 2016 surge
was a supervisory recognition event rather than a business-cycle effect. Third, a transparent,
calibrated stress test—reconciled to the RBI June 2026 Financial Stability Report—finds that all
twelve banks remain above the eight-per-cent CET1 prompt-corrective-action floor even under a
severe five-percentage-point GDP contraction, with the asset-weighted GNPA ratio rising from
1.94 to 3.93 per cent. Cross-sectionally, the stressed-capital ranking is governed by starting
capital and bank size rather than current asset quality.
Mihir Khanna· International Journal of Soc...· 0 citations
This study aims to examine the impact of economic uncertainty on bank credit growth globally. Specifically, it analyzes how heightened uncertainty impedes credit activities through three primary monetary policy transmission channels: credit supply, credit demand and notably, the asset price channel.
The research uses Bayesian regression to analyze a data set encompassing 41 countries from 2001 to 2019. The World Uncertainty Index (WUI) serves as the primary independent variable. The empirical model incorporates proxies for credit supply, credit demand and asset price channels. The Bayesian approach is used for its robustness in handling small samples and its ability to provide intuitive, logically structured posterior probabilities compared to frequentist statistics.
Empirical results confirm that economic uncertainty has a significant negative effect on global bank credit growth across three dimensions: (i) credit supply channel, where banks curtail lending or recall loans due to heightened risks, creating systemic ripple effects; (ii) credit demand channel, as firms postpone investments and consumers increase precautionary savings; and (iii) asset price channel, where banks tighten lending conditions despite rising asset values to hedge against instability. Furthermore, the findings suggest that central bank monetary easing may lose effectiveness during periods of extreme uncertainty.
To the best of the authors’ knowledge, this study is among the first to apply Bayesian inference to evaluate the nexus between economic uncertainty and credit growth on a global scale. Its primary contribution lies in the comprehensive integration of the asset price channel into the analytical framework – a dimension largely overlooked in previous literature. In addition the adoption of the WUI instead of the traditional economic policy uncertainty index enhances the sample size and ensures higher standardization across diverse economies.
D. Le· Studies in Economics and Fin...· 0 citations
This paper re-examines the determinants of profitability in Bangladeshi private commercial banks, using a panel-corrected standard errors (PCSE) analysis of ten listed banks over 2014–2023 (n = 100 bank-year observations), together with a post-sample assessment of the sector's extraordinary deterioration through 2024–2025. Profitability is measured by return on assets (ROA), with return on equity (ROE) and net interest margin (NIM) used as robustness checks. Results show that capital adequacy and management efficiency significantly enhance profitability, while asset-quality deterioration and non-performing loans (NPLs) exert strong negative effects; liquidity management and bank size are largely insignificant, pointing to inefficiencies in deployment and scale. GDP growth is statistically negligible within-sample and inflation shows mixed effects, underscoring structural weaknesses in financial intermediation. A winsorization check (1st/99th percentiles) confirms that the capital-adequacy and NPL effects are stable to outlier treatment, while the management-efficiency effect is more sensitive. Extending the analysis with Bangladesh Bank, IMF, and World Bank data through 2025 shows that the sector-wide NPL ratio rose from below 10 percent in 2023 to more than 30 percent by late 2025, alongside a collapse in aggregate capital adequacy a trajectory consistent with, and considerably amplifying, the credit-quality channel identified in the panel results. The study contributes methodologically by applying PCSE in a South Asian context, and offers policy implications for strengthening credit discipline, addressing regulatory forbearance, and improving banking efficiency.
Md. Jahidul Islam, M. Moniruzzaman, A. Haq et al.· Global Disclosure of Economi...· 0 citations
Identifying credit supply shocks separately from demand shocks remains a central challenge in the empirical credit-channel literature, particularly in emerging economies. We use the Brazilian Central Bank's Quarterly Credit Conditions Survey (PTC), launched in 2011, which records the lending standards reported by financial institutions and provides a direct measure of credit-supply conditions independent of price. We embed this variable in a hierarchical Bayesian VAR estimated on quarterly data for 2011Q1–2025Q4. A tightening in lending standards is followed by a sustained contraction in non-earmarked credit, and standards account for about a quarter of credit’s forecast-error variance at the twelve-quarter horizon. Impulse responses, variance decomposition, and Granger tests point in the same direction. Surveys like the PTC provide an early indicator of credit supply conditions, with implications for the conduct of monetary policy in emerging economies.
Jose Antonio dos Santos Rocha, Marcos Roberto Vasconcelos· Journal of Economic Analysis· 0 citations
This study examines the relationship between financial deepening and output in Nigeria using 56
quarterly observations from 2012Q1 to 2025Q4. The supplied dataset contains current-value
naira series for gross domestic product (GDP), Point-of-Sale (POS) transactions, mobile
payments, and credit to the private sector (CPS). Consequently, the dependent variable measures
nominal output rather than real economic growth. All series were transformed into natural
logarithms. Seasonal augmented Dickey-Fuller tests show that the four log-level series are non
stationary but become stationary after first differencing. A stationary seasonal distributed-lag
model was therefore estimated in quarterly log changes, with lagged financial variables, a four
quarter output-growth term, quarterly effects, a trend, a COVID-19 intervention dummy, and a
2025Q1 data-discontinuity control. Newey-West heteroskedasticity- and autocorrelation
consistent standard errors were used. Lagged POS growth, mobile-payment growth, and CPS
growth are individually insignificant, and they are jointly insignificant (F = 0.769, p = 0.518).
The results do not support the earlier claim that the three financial-deepening indicators exert
positive and significant short-run and long-run effects on economic growth. A defensible real
growth analysis requires real GDP and consistently deflated financial variables.
Samuel Chukwuyem Okojere· International Journal of Eco...· 0 citations
This paper examines how economic downturns and currency movements affect the quality of bank loans in Central, Eastern, and Southeastern Europe, using annual data for 14 national banking systems over 2008–2023. We estimate a bias-corrected dynamic fixed-effects model, verify inference with Driscoll–Kraay, cluster-robust, and wild cluster bootstrap procedures, run formal threshold tests, and conduct scenario simulations. Credit risk is highly persistent. The bias-corrected autoregressive coefficient of 0.944 implies a half-life of 12.0 years, although the bootstrap confidence interval of 0.601 to 1.048 does not rule out near-unit-root behavior. Exchange-rate depreciation predicts higher non-performing loan (NPL) ratios and survives both the strictest few-cluster test (p = 0.028) and a correction for euro-adoption breaks, while lower real GDP per capita growth is marginal under the same test (p = 0.060). Threshold tests that re-estimate the threshold in every bootstrap replication do not reject linearity in any of 14 configurations (minimum p-value of 0.071). Institutional quality does not measurably moderate the exchange-rate channel. A severe combined adverse scenario raises the projected NPL ratio from 6.54 to 12.32 percent over five years (90 percent interval: 8.2 to 24.6 percent). Together, the surviving channels and the disciplined null results delimit nonlinear transmission in emerging Europe.
Ivana Miklošević, Andreja Todorović, Andrija Popović· Journal of Risk and Financia...· 0 citations