Open AccessDeterminants of credit risk: A multiple linear regression analysis of Peruvian municipal savings banks
Author(s) -
Valentín J. Calderon-Contreras,
Jhony Ostos,
Wilmer Florez-Garcia,
Harold D. Angulo-Bustinza
Publication year - 2022
Publication title -
decision science letters
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.384
H-Index - 18
eISSN - 1929-5804
pISSN - 1929-5812
DOI - 10.5267/j.dsl.2022.4.003
Subject(s) - solvency , credit risk , market liquidity , variables , economics , sample (material) , inflation (cosmology) , interest rate , econometrics , regression analysis , unemployment , gross domestic product , business , actuarial science , monetary economics , statistics , macroeconomics , chemistry , physics , mathematics , chromatography , theoretical physics
In order to identify the determinants that influence the credit risk of Peruvian municipal savings banks, this quantitative research uses a nonexperimental design and a longitudinal sample to analyze monthly data corresponding to macroeconomic variables and microfinance institutions’ internal variables from 2011 to 2020. Using multiple linear regression, the results show that the interest rate, unemployment rate, and liquidity ratio positively influence the credit risk of Peruvian municipal savings banks; the study also shows that gross domestic product, efficiency of administrative expenses, solvency, and coverage of provisions exert a negative influence on credit risk. It is concluded that seven of the eight independent variables studied influence the credit risk of Peruvian municipal savings banks; only the inflation variable does not significantly influence credit risk.