Saliba Chafic, Farmanesh Panteha, Athari Seyed Alireza
Department of Business, Girne American University, Kyrenia, Northern Cyprus Turkey.
Department of Business, Holy Spirit University of Kaslik, Kaslik, Lebanon.
Financ Innov. 2023;9(1):86. doi: 10.1186/s40854-023-00494-2. Epub 2023 May 7.
This study aims to fill the gap in the literature by specifically investigating the impact of country risk on the credit risk of the banking sectors operating in Brazil, Russia, India, China, and South Africa (BRICS), emerging countries. More specifically, we explore whether the country-specific risks, namely financial, economic, and political risks significantly impact the BRICS banking sectors' non-performing loans and also probe which risk has the most outstanding effect on credit risk. To do so, we perform panel data analysis using the quantile estimation approach covering the period 2004-2020. The empirical results reveal that the country risk significantly leads to increasing the banking sector's credit risk and this effect is prominent in the banking sector of countries with a higher degree of non-performing loans (Q.25 = - 0.105, Q.50 = - 0.131, Q.75 = - 0.153, Q.95 = - 0.175). Furthermore, the results underscore that an emerging country's political, economic, and financial instabilities are strongly associated with increasing the banking sector's credit risk and a rise in political risk in particular has the most positive prominent impact on the banking sector of countries with a higher degree of non-performing loans (Q.25 = - 0.122, Q.50 = - 0.141, Q.75 = - 0.163, Q.95 = - 0.172). Moreover, the results suggest that, in addition to the banking sector-specific determinants, credit risk is significantly impacted by the financial market development, lending interest rate, and global risk. The results are robust and have significant policy suggestions for many policymakers, bank executives, researchers, and analysts.
本研究旨在通过专门调查国家风险对巴西、俄罗斯、印度、中国和南非（金砖国家）等新兴国家银行业信贷风险的影响，填补文献中的空白。更具体地说，我们探讨特定国家风险，即金融、经济和政治风险是否会对金砖国家银行业的不良贷款产生重大影响，并探究哪种风险对信贷风险的影响最为显著。为此，我们使用分位数估计方法进行面板数据分析，涵盖2004 - 2020年期间。实证结果表明，国家风险显著导致银行业信贷风险增加，这种影响在不良贷款程度较高的国家银行业中尤为突出（第25分位数 = -0.105，第50分位数 = -0.131，第75分位数 = -0.153，第95分位数 = -0.175）。此外，结果强调新兴国家的政治、经济和金融不稳定与银行业信贷风险增加密切相关，特别是政治风险的上升对不良贷款程度较高的国家银行业具有最显著的正向影响（第25分位数 = -0.122，第50分位数 = -0.141，第75分位数 = -0.163，第95分位数 = -0.172）。此外，结果表明，除了银行业特定的决定因素外，信贷风险还受到金融市场发展、贷款利率和全球风险的显著影响。这些结果具有稳健性，对许多政策制定者、银行高管、研究人员和分析师具有重要的政策建议意义。
