Modelling the Sensitivity of Zimbabwean Commercial Banks’ Non-performing Loans to Shocks in Macro-economic Variables and Micro-economic Variables: (2009-2014)
World Journal of Operational Research
Volume 1, Issue 1, August 2017, Pages: 27-34
Received: Apr. 27, 2017;
Accepted: Jun. 2, 2017;
Published: Jul. 21, 2017
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Jacob Muvingi, Department of Financial Engineering, Harare Institute of Technology, Harare, Zimbabwe
Kudzai Sauka, Department of Financial Engineering, Harare Institute of Technology, Harare, Zimbabwe
David Chisunga, Department of Forensic Accounting and Auditing, Harare Institute of Technology, Harare, Zimbabwe
Crispen Chirume, Department of Forensic Accounting and Auditing, Harare Institute of Technology, Harare, Zimbabwe
This paper used complementary panel data models that are fixed effect regression model and panel vector auto regression model. The study was motivated by the hypothesis that both macroeconomic and microeconomic variables have an effect on the loan quality. The first part of the research was to determine the specific macro and microeconomic variables that give rise to the non-performing loans (NPLs) using fixed effect regression model. The empirical findings of this study provide evidence that nonperforming loans depends on macro and micro economic variables, the trend analysis of Zimbabwean commercial banks’ shows an upward movement of over the period of study. The study found out that Gross domestic product (GDP), Inflation, loan deposit ratio and bank size had a statistical significant effect on the level of non-performing loans (NPLs). The second part was mainly to model the dynamic relationship of all the variables that were found to affect non-performing loans (NPLs); this was done through impulse response analysis based on PANEL VAR model. One standard shock to credit growth will be greatly felt in the sixth year, whereas of size of the bank will have a great negative impulse in the seventh year.
Modelling the Sensitivity of Zimbabwean Commercial Banks’ Non-performing Loans to Shocks in Macro-economic Variables and Micro-economic Variables: (2009-2014), World Journal of Operational Research.
Vol. 1, No. 1,
2017, pp. 27-34.
Copyright © 2017 Authors retain the copyright of this article.
This article is an open access article distributed under the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/
) which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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