International Advances in Economic Research

, Volume 20, Issue 1, pp 87–102

Credit Risk Determinants for the Bulgarian Banking System


DOI: 10.1007/s11294-013-9444-x

Cite this article as:
Nikolaidou, E. & Vogiazas, S.D. Int Adv Econ Res (2014) 20: 87. doi:10.1007/s11294-013-9444-x


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 

Copyright information

© International Atlantic Economic Society 2014

Authors and Affiliations

  1. 1.Department of Economics, Faculty of CommerceUniversity of Cape TownCape TownSouth Africa
  2. 2.South East European Research Centre Research Centre of the University of Sheffield and CITY CollegeThessalonikiGreece

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