Do macroeconomic factors affect the credit risk of islamic banks? evidence from Malaysia

Sapian, Safeza and Masih, Mansur (2018): Do macroeconomic factors affect the credit risk of islamic banks? evidence from Malaysia.

Abstract

This paper makes an attempt to investigate whether the macroeconomic factors contribute to the credit risk exposure and non-performing financing (NPF) of Islamic banks. Malaysia is taken as a case study. The standard time series techniques are used to analyze the issue. The variables that have been chosen for the study are gross domestic product (GDP), Non-Performing Financing rate, Islamic financing rate (IFR) and unemployment rate (UMPT). The findings tend to indicate that Islamic Financing rate (IFR) stands out as the only factor that had a significant impact on the credit risk exposure and non-performing financing as well as the performance of Islamic banks in the context of Malaysia.

• Item Type: MPRA Paper
• Language: English
• Keywords: Islamic Banks, Credit Risk, Non-performing Financing, Time Series Analysis, Malaysia
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy; G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages

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