Macroeconomic Determinants of Household Credit Risk: Evidence from Non-Performing Loans in Morocco

This study examines the impact of macroeconomic determinants on household non-performing loans (NPLs) in Morocco over the period 2005–2024. Its primary objective is to identify the macroeconomic factors influencing the evolution of household credit risk by employing the Autoregressive Distributed Lag (ARDL) modeling approach. The explanatory variables include economic growth, unemployment rate, lending interest rate, inflation rate, and household debt ratio, while the household non-performing loan ratio serves as the dependent variable. Following the assessment of the stationarity properties of the variables using the Augmented Dickey–Fuller (ADF) unit root test, the ARDL model is estimated. Subsequently, the Pesaran, Shin, and Smith (2001) Bounds Test confirms the existence of a long-run relationship among the variables.
The empirical findings reveal that economic growth significantly reduces household non-performing loans, whereas the lending interest rate exerts a positive effect on household credit default risk. The unemployment rate exhibits a lagged effect, while inflation is found to have a negative impact, contrary to theoretical expectations. Conversely, the household debt ratio does not appear to have a statistically significant effect.
Overall, these findings highlight the crucial role of macroeconomic conditions in shaping household credit risk and provide valuable insights for monetary authorities, financial regulators, and banking institutions in designing effective strategies to mitigate the accumulation of household non-performing loans and preserve financial stability.

Household Non-Performing Loans (NPLs); Credit Risk; Households

1. Adebola, S. S., Wan Yusoff, W. S., & Dahalan, J. (2011). An ARDL approach to the determinants of non-performing loans in the Islamic banking system in Malaysia. Kuwait Chapter of Arabian Journal of Business and Management Review, 1(2), 20–30. [Google Scholar] [Crossref]

2. Beck, R., Jakubik, P., & Piloiu, A. (2015). Key determinants of non-performing loans: New evidence from a global sample. Open Economies Review, 26(3), 525–550. https://doi.org/10.1007/s11079-015-9358-8 [Google Scholar] [Crossref]

3. Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427–431. https://doi.org/10.1080/01621459.1979.10482531 [Google Scholar] [Crossref]

4. Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. https://doi.org/10.2307/1913236 [Google Scholar] [Crossref]

5. Espinoza, R., & Prasad, A. (2010). Nonperforming loans in the GCC banking system and their macroeconomic effects (IMF Working Paper No. 10/224). International Monetary Fund. [Google Scholar] [Crossref]

6. Fisher, I. (1933). The debt-deflation theory of great depressions. Econometrica, 1(4), 337–357. https://doi.org/10.2307/1907327 [Google Scholar] [Crossref]

7. Gujarati, D. N., & Porter, D. C. (2009). Basic econometrics (5th ed.). McGraw-Hill. [Google Scholar] [Crossref]

8. Jiménez, G., & Saurina, J. (2006). Credit cycles, credit risk, and prudential regulation. International Journal of Central Banking, 2(2), 65–98. [Google Scholar] [Crossref]

9. Klein, N. (2013). Non-performing loans in CESEE: Determinants and impact on macroeconomic performance (IMF Working Paper No. 13/72). International Monetary Fund. [Google Scholar] [Crossref]

10. Louzis, D. P., Vouldis, A. T., & Metaxas, V. L. (2012). Macroeconomic and bank-specific determinants of non-performing loans in Greece: A comparative study of mortgage, business and consumer loan portfolios. Journal of Banking & Finance, 36(4), 1012–1027. https://doi.org/10.1016/j.jbankfin.2011.10.012 [Google Scholar] [Crossref]

11. Messai, A. S., & Jouini, F. (2013). Micro and macro determinants of non-performing loans. International Journal of Economics and Financial Issues, 3(4), 852–860. [Google Scholar] [Crossref]

12. Nkusu, M. (2011). Nonperforming loans and macrofinancial vulnerabilities in advanced economies (IMF Working Paper No. 11/161). International Monetary Fund. [Google Scholar] [Crossref]

13. Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. https://doi.org/10.1002/jae.616 [Google Scholar] [Crossref]

14. Skarica, B. (2014). Determinants of non-performing loans in Central and Eastern European countries. Financial Theory and Practice, 38(1), 37–59. https://doi.org/10.3326/fintp.38.1.2 [Google Scholar] [Crossref]

15. Stiglitz, J. E., & Weiss, A. (1981). Credit rationing in markets with imperfect information. The American Economic Review, 71(3), 393–410. [Google Scholar] [Crossref]

16. Wooldridge, J. M. (2020). Introductory econometrics: A modern approach (7th ed.). Cengage Learning. [Google Scholar] [Crossref]

• Impact of Foreign Direct Investment in India
• Issues Involved in Digitalisation Special Reference to Indian Tourism Growth
• Relationship Marketing and Customer Loyalty in the Fast-Moving Consumer Goods (FMCG) Industry in Nairobi County
• Financial Literacy or Financial Inclusion? Which is Which, What is What—To Achieve Uganda’s 10-Fold Economic Growth By 2040
• Harnessing Natural Gas for Economic Transformation: Overcoming the Regulatory and Infrastructural Bottlenecks in Nigeria