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Title: :  An Empirical Analysis on Nexus between Credit Risk of Nationalised Banks in India and Macroeconomic Factors – An Econometric Perspective
PaperId: :  2369
Published in:   International Journal Of Advance Research And Innovative Ideas In Education
Publisher:   IJARIIE
e-ISSN:   2395-4396
Volume/Issue:    Volume 2 Issue 3 2016
DUI:    16.0415/IJARIIE-2369
Licence: :   IJARIIE is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Author NameAuthor Institute
Mr. P. Arun PrakashBannari Amman Institute of Technology, Sathyamangalam.
Dr. A. M. Mohamed SindhashaHead, Department of Commerce and Business Administration, (SF) Jamal Mohamed College, Trichy.
Dr. K. Senthil KumarDept of Commerce CA, Sri Krishna Arts and Science College, Coimbatore.

Abstract

Management
Gross Non-Performing Assets, Macroeconomic Variables, Nationalised Banks, Cointegrating and Causal Relationship.
This empirical study analyses the interaction between credit risk of nationalised banks and macroeconomic determinants for the period 2002-2003 to 2013-2014. The study aims to find the association between GNPA and macroeconomic factors with the help of econometrics tools such as Unit Root Test Analysis, Johanson Cointegration test, Granger Casualty Test and Auto Regressive Conditional Hetroscedasticity (ARCH Model). The analytical results revealed the long term relationship among GNPA of nationalised banks and macroeconomic factors during the study period. It is found that all the macroeconomic variables are cointegrated with GNPA and exogenous variable Inflation granger caused GNPA of nationalised banks in bi-directional mode. It is also observed from the results that exogenous variables such as GDP, inflation, credit growth, exchange rate, unemployment rate, annual growth of industrial production and weighted average lending rate are having significant relationship with GNPA of nationalised banks.

Citations

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IJARIIE Mr. P. Arun Prakash, Dr. A. M. Mohamed Sindhasha, and Dr. K. Senthil Kumar. "An Empirical Analysis on Nexus between Credit Risk of Nationalised Banks in India and Macroeconomic Factors – An Econometric Perspective" International Journal Of Advance Research And Innovative Ideas In Education Volume 2 Issue 3 2016 Page 1171-1182
MLA Mr. P. Arun Prakash, Dr. A. M. Mohamed Sindhasha, and Dr. K. Senthil Kumar. "An Empirical Analysis on Nexus between Credit Risk of Nationalised Banks in India and Macroeconomic Factors – An Econometric Perspective." International Journal Of Advance Research And Innovative Ideas In Education 2.3(2016) : 1171-1182.
APA Mr. P. Arun Prakash, Dr. A. M. Mohamed Sindhasha, & Dr. K. Senthil Kumar. (2016). An Empirical Analysis on Nexus between Credit Risk of Nationalised Banks in India and Macroeconomic Factors – An Econometric Perspective. International Journal Of Advance Research And Innovative Ideas In Education, 2(3), 1171-1182.
Chicago Mr. P. Arun Prakash, Dr. A. M. Mohamed Sindhasha, and Dr. K. Senthil Kumar. "An Empirical Analysis on Nexus between Credit Risk of Nationalised Banks in India and Macroeconomic Factors – An Econometric Perspective." International Journal Of Advance Research And Innovative Ideas In Education 2, no. 3 (2016) : 1171-1182.
Oxford Mr. P. Arun Prakash, Dr. A. M. Mohamed Sindhasha, and Dr. K. Senthil Kumar. 'An Empirical Analysis on Nexus between Credit Risk of Nationalised Banks in India and Macroeconomic Factors – An Econometric Perspective', International Journal Of Advance Research And Innovative Ideas In Education, vol. 2, no. 3, 2016, p. 1171-1182. Available from IJARIIE, http://ijariie.com/AdminUploadPdf/An_Empirical_Analysis_on_Nexus_between_Credit_Risk_of_Nationalised_Banks_in_India__and_Macroeconomic_Factors_–_An_Econometric_Perspective_ijariie2369.pdf (Accessed : 21 December 2020).
Harvard Mr. P. Arun Prakash, Dr. A. M. Mohamed Sindhasha, and Dr. K. Senthil Kumar. (2016) 'An Empirical Analysis on Nexus between Credit Risk of Nationalised Banks in India and Macroeconomic Factors – An Econometric Perspective', International Journal Of Advance Research And Innovative Ideas In Education, 2(3), pp. 1171-1182IJARIIE [Online]. Available at: http://ijariie.com/AdminUploadPdf/An_Empirical_Analysis_on_Nexus_between_Credit_Risk_of_Nationalised_Banks_in_India__and_Macroeconomic_Factors_–_An_Econometric_Perspective_ijariie2369.pdf (Accessed : 21 December 2020)
IEEE Mr. P. Arun Prakash, Dr. A. M. Mohamed Sindhasha, and Dr. K. Senthil Kumar, "An Empirical Analysis on Nexus between Credit Risk of Nationalised Banks in India and Macroeconomic Factors – An Econometric Perspective," International Journal Of Advance Research And Innovative Ideas In Education, vol. 2, no. 3, pp. 1171-1182, May-Jun 2016. [Online]. Available: http://ijariie.com/AdminUploadPdf/An_Empirical_Analysis_on_Nexus_between_Credit_Risk_of_Nationalised_Banks_in_India__and_Macroeconomic_Factors_–_An_Econometric_Perspective_ijariie2369.pdf [Accessed : 21 December 2020].
Turabian Mr. P. Arun Prakash, Dr. A. M. Mohamed Sindhasha, and Dr. K. Senthil Kumar. "An Empirical Analysis on Nexus between Credit Risk of Nationalised Banks in India and Macroeconomic Factors – An Econometric Perspective." International Journal Of Advance Research And Innovative Ideas In Education [Online]. volume 2 number 3 (21 December 2020).
Vancouver Mr. P. Arun Prakash, Dr. A. M. Mohamed Sindhasha, and Dr. K. Senthil Kumar. An Empirical Analysis on Nexus between Credit Risk of Nationalised Banks in India and Macroeconomic Factors – An Econometric Perspective. International Journal Of Advance Research And Innovative Ideas In Education [Internet]. 2016 [Cited : 21 December 2020]; 2(3) : 1171-1182. Available from: http://ijariie.com/AdminUploadPdf/An_Empirical_Analysis_on_Nexus_between_Credit_Risk_of_Nationalised_Banks_in_India__and_Macroeconomic_Factors_–_An_Econometric_Perspective_ijariie2369.pdf
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