Abstract
Research background: A number of microeconomic and macroeconomic variables affect credit risk. Macroeconomic factors are particularly significant for credit risk volatility.
Purpose: The purpose of this study is to identify significant macroeconomic determinants influencing credit risk in the banking sector of Central and Eastern Europe. This goal was achieved as a result of a statistical and econometric analysis.
Research methodology: The empirical part includes a statistical study based on an analysis of primary statistics and Pearson’s correlation coefficients between selected variables and the credit risk measure. Afterwards, on the basis of aggregated panel data at the country level, an econometric model was made through the GMM system.
Novelty: A statistical and econometric analysis was conducted that showed the occurrence of long-term shocks for credit risk for Central and Eastern European countries, which is in opposition to short-term shocks based on global credit risk studies. The stability of results for the impact of economic growth, unemployment rate and inflation rate on credit risk was confirmed. The occurrence of “moral hazard” in the banking sector of some of the examined countries was also proved. A comparison was made of the impact of macroeconomic variables on credit risk in particular examined countries. A considerable diversity of countries was demonstrated in terms of “moral hazard” in the banking sector.