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In literature there are different research results regarding the impact of borrower’s size on cyclicality of credit risk. The aim of this research is to determine whether the credit risk cyclicality increases with the size of the borrower, using data from Serbian banking sector. The research presented herein is one of the first for developing countries with this subject and where credit risk was approximated by the default rate. Empirical analysis of the time series of loan default rates, as dependent variable, and macroeconomic factors, as explanatory variable, is based on the panel error correction model. Panel units are risk segments. Amount of annual revenue is key criteria for granulation borrowers within key four risk segments (retail, micro, SME and large corporate) that corresponds to its size. In multi-factor model, research results confirm that there is long term relationship between macroeconomic factors and loan default rate in Serbian banking sector in all risk segments. However, in model where GDP is explanatory variable, in the segment of small- and medium-sized enterprises, the adjustment coefficient is not statistically significant. It can be inferred that the credit risk of the SMEs segment is the most resistant to changes in the business cycle phases.

Credit risk cyclicality in Serbian banking sector