Credit Risk in the Euro Area Compared to Other European Union Countries

Abstract

Theoretical background: The article examines the microeconomic and macroeconomic determinants of credit risk in the European Union countries divided into two groups: countries that own the euro and countries outside the euro area. Purpose of the article: This study is to identify differences in the shaping of credit risk in the EU depending on the country's affiliation to the monetary union. Research methods: The statistical survey made it possible to identify significant differences between the mean values of the analyzed variables, and the econometric survey made it possible to identify differences in the determinants of credit risk in the two analyzed groups of countries. The study consisted of examining the occurrence of differences between the means for the collected variables and making the models using the GMM system. Main findings: Differences in the influence of macroeconomic factors on the credit risk of euro area countries and other European Union countries were shown. The main difference concerns the insensitivity of credit risk of euro area countries to changes in the foreign currency exchange rate, as well as the significant impact of inflation and unemployment on the credit risk of these countries.

Keywords

• credit risk
• economic growth
• euro zone
• european union
• gmm system