International Advances in Economic Research

, Volume 20, Issue 1, pp 87-102

First online:

Credit Risk Determinants for the Bulgarian Banking System

  • Eftychia NikolaidouAffiliated withDepartment of Economics, Faculty of Commerce, University of Cape Town
  • , Sofoklis D. VogiazasAffiliated withSouth East European Research Centre Research Centre of the University of Sheffield and CITY College Email author 

Rent the article at a discount

Rent now

* Final gross prices may vary according to local VAT.

Get Access


Using an autoregressive distributed lag model, this paper examines the factors that influence the credit risk of the Bulgarian banking system over the decade 2001–2010, as measured by non-performing loans. Recent papers aim to identify the determinants of non-performing loans using a cross-country modelling framework. As the South East European region (SEE) is non-homogeneous, our analysis is country-specific and captures the timeline between the bank privatisation era up to the global financial crisis and the ensuing Greek crisis. The contribution of our paper is twofold: it uses the ARDL modelling framework that is scarcely employed in related studies but also investigates spillover effects from the Greek crisis in view of the material presence of Greek banks in Bulgaria. In accordance with previous studies, the findings suggest that the credit risk determinants of Bulgarian banks should be sought endogenously in macroeconomic variables and industry-specific factors but also in exogenous factors. We evidence a pronounced role of the global financial crisis and the country’s bank regulatory framework. The Greek debt crisis appears to play an immaterial role indicating that Greek banks have not been a Trojan horse in the Bulgarian banking system.


Credit risk Non-performing loans Bulgarian banking system Greek crisis

JEL Classification

C10 G20 O57