Analiza determinanti kreditnog rizika u uslovima izražene informacione asimetrije
the case of the Republic of Serbia
Doktorand
Jović, ŽeljkoMentor
Todorović, MiroslavČlanovi komisije
Živković, BoškoUrošević, Branko
Mladenović, Zorica
Krejić, Nataša
Metapodaci
Prikaz svih podataka o disertacijiSažetak
U ovom radu istraživane su ključne determinante kreditnog rizika na
primeru bankarskog sektora u Republici Srbiji. Specičnost istraživanja uslovili su odabrani
primer, koji se karakteriše uslovima izražene informacione asimetrije, i period koji je
istraživanje pokrilo, a koji se karakteriše ispoljavanjem efekata svetske ekonomske krize. U
cilju identifikacije determinanti kreditnog rizika i kvantifikacije njihovog uticaja na kvalitet
kreditnog portfolija banaka u istraživanju je primenjen vektorski autoregresioni (VAR)
model i model diskretne zavisne promenljive – binarni modeli izbora (logit i probit).
Pokazano je da su kod kredita odobrenih privredi najznačajnije sistemske determinante
kreditnog rizika predstavljali poslovni ciklus i devizni kurs, odnosno, porast problematičnih
kredita u bankarskom sektoru bio je u najvećoj meri uzrokvan padom bruto domaćeg
proizvoda i slabljenjem domaće valute. Povećanje stope nezaposlenosti, uzorkovano
pogoršanjem stanja u privredi, zajedno sa sman...jenjem vrednosti domaće valute i
uvođenjem fiskalnog zahvatanja iz zarada u obliku tzv. solidarnog poreza predstavljali su
najznačajnije sistemske determinante kreditnog rizika kod kredita koje su banke odobrile
stanovništvu. Default-u dužnika bile su više izložene one banke koje su u krizni period ušle
sa nižim nivoom kapitala, sa većom koncentracijom kredita u grupi od 50 preduzeća sa
najvećim nivoom zaduženosti i sa ograničenjima koja vlasnicima banke nisu dozvoljavala
da izvrše dokapitalizuju banke. Istovremeno su ove banke bile i sklonije da potcenjuju
problematične kredite u svojim finansijskim izveštajima. Pad ekonomske aktivnosti (indeks
prihoda od prodaje) potvrđen je i na nivou nesistemskih faktora kao značajan faktor
kreditnog rizika kompanija. Kreditni rizik je rastao i po osnovu prelivanja efekata deviznog
rizika usled pada vrednosti domaće valute i efekata operativnog rizika koji je poticao iz
ekonomske povezanosti dužnika. Visoka posledična izloženost banka prema privrednim
društvima koji su u periodu krize ušli u status problematičnih rezultat je izražene
procikličnosti kreditne aktivnosti banka u uzlaznoj fazi poslovnog ciklusa tj. pretkriznom
periodu. Latentni uzroci kreditnog rizika preuzetog od strane banaka u pretkiznom periodu
identifikovani su dekomponovanjem problematičnih kredita po sektorima privrede,
komponentama rashodne strane bruto domaćeg proizvoda i izvora rasta. Konačno, kao
činioci koji su opredelili izraženi porast informacione asimetrije identifikovani su
ograničenja u informacionoj infrastrukturi domaćeg tržišta, kao i ponašanje banaka,
regulatora i ostalih tržišnih učesnika.
This paper examined the key determinants of credit risk in the case of the
banking sector in the Republic of Serbia. Specificity of this research was caused by the
chosen example, which is characterized by conditions of expressed informational
asymmetries, and the period the survey covered, which is characterized by the
manifestation of the effects of the global economic crisis. Vector autoregression (VAR)
model and discrete dependent variable model – a binary choice models (logit and probit)
were used in this survey in order to identify the determinants of credit risk and quantify
their impact on the quality of the loan portfolio of banks. It has been shown that in case of
loan that were granted to corporates, the most important systemic determinants of credit
risk represented the business cycle and exchange rate, i.e., the increase of non-performing
loans in the banking sector was mostly caused by the decrease of the gross domestic
product and the weakening of the domestic currency. ...The increase of the unemployment
rate, caused by deteriorating state of the economy, along with a reduction of the value of
the domestic currency and the introduction of fiscal abstractions of earnings in the form of
so-called solidarity tax system represented the most important determinants of credit risk
for loans that banks granted to households. Banks that have entered into the crisis period
with a lower level of capital, with a higher concentration of loans in a group of 50
companies with the highest level of debt and the constraints that did not allow the owners
of banks to conduct recapitalisation of banks were more exposed to default of the debtor. At
the same time these banks were also more likely to underestimate the non-performing loans
in its financial statements. The decline of economic activity (index of sales revenue) was
confirmed at the level of non-systematic factors as a significant factor of credit risk of the
companies. Credit risk has grown based on the spillover effects of foreign exchange risk
due to falling value of the domestic currency and the effects of operational risk that came
from the economic integration of the debtor. High consequent exposure of the banks to
companies that are in a period of crisis become non-performing is the result of expressed
pro-cyclicality of credit activity of the banks in the growth stage of the business cycle, i.e.
the pre-crisis period. Latent causes of the credit risk assumed by banks in the pre-crisis
period were identified by the decomposition of the non-performing loans in corporate
sectors, the components of the expenditure side of the gross domestic product and the
sources of growth. Finally limitations in the information infrastructure of the domestic
market, as well as the behaviour of banks, regulators and other market participants were
identified as the factors that determined the expressed growth of information asymmetry.