Investigating determinants of credit growth in the case of Kosovo
A VAR model
Bibliographic Data
| ID | 22189799 |
|---|---|
| Authors | Erleta Halimi (Széchenyi István University), Katalin Czakó (0000-0001-9373-051X, Széchenyi István University), Arben Sahiti (0000-0002-5429-7626) |
| Year | 2025 |
| Volume | 9 |
| Issue | 1 |
| Pages | 9805 |
| Publication date | 2025-01-06 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Journal of Infrastructure Policy and Development (JOURNAL) |
| Journal identifiers | ISSN: 2572-7923 • E-ISSN: 2572-7931 |
| Publisher | EnPress Publisher (PUBLISHER) |
| DOI | 10.24294/jipd9805 |
| OpenAlex | W4406112087 |
| Language | EN |
| References cited | 6 |
This paper investigates the factors influencing credit growth in Kosovo, focusing on the relationship between credit activity and key economic variables, including GDP, FDI, CPI, and interest rates. Its analysis targets loans issued to businesses and households in Kosovo, employing a VAR model integrated into a VEC model to investigate the determinants of credit growth. The findings were validated using OLS regression. Additionally, the study includes a normality test, a model stability test (Inverse Roots AR Characteristic Polynomial), a Granger causality test for short-term relationships, and variance decomposition to analyze variable shocks over time. This research demonstrates that loan growth is primarily driven by its historical values. The VEC model shows that, in the long run, economic growth in Kosovo leads to less credit growth, showing a negative link between it and GDP. Higher interest rates also reduce credit growth, showing another negative link. On the other hand, more foreign direct investment (FDI) increases credit demand, showing a positive link between credit growth and FDI. The results show that loans and inflation (CPI) are positively linked, meaning higher inflation leads to more credit growth. Similarly, more foreign direct investment (FDI) increases credit demand, showing a positive link between FDI and credit growth. In the long term, higher inflation is connected to greater credit growth. In the short term, the VAR model suggests that GDP has a small to moderate effect on loans, while FDI has a slightly negative effect. In the VAR model, interest rates have a mixed effect: one coefficient is positive and the other negative, showing a delayed negative impact on loan growth. CPI has a small and negative effect, indicating little short-term influence on credit growth. The OLS regression supports the VAR results, finding no effect of GDP on loans, a small negative effect from FDI, a strong negative effect from interest rates, and no effect from CPI. This study provides a detailed analysis and adds to the research by showing how macroeconomic factors affect credit growth in Kosovo. The findings offer useful insights for policymakers and researchers about the relationship between these factors and credit activity
Econometrics · Economics · Foreign direct investment · Granger causality · Interest rate · Loan · Macroeconomics · Monetary economics · Variance decomposition of forecast errors · Vector autoregression · Banking stability, regulation, efficiency · Economic Growth and Development · Islamic Finance and Banking Studies
Time Series and Panel Data Econometrics
Generalized impulse response analysis in linear multivariate models
Some properties of time series data and their use in econometric model specification
Distribution of the Estimators for Autoregressive Time Series With a Unit Root
Macroeconomics and Reality
Bank ownership and drivers of credit growth in Central, Eastern and South-Eastern Europe
| Highly cited | No |
|---|