Arun Prakash, P and Umamaheswari, R (2019) INTERRELATIONSHIP BETWEEN BANKS ASSETS QUALITY AND MACROECONOMIC VARIABLES OF PUBLIC AND PRIVATE SECTOR COMMERCIAL BANKS IN INDIA. ICTACT JOURNAL ON MANAGEMENT STUDIES, 5 (4). pp. 1108-1115. ISSN 2395-1664 (Submitted)

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Abstract

The present study aims at finding out the interaction between Banks’s Assets Quality and Macroeconomic Variables of public and private sector commercial banks in India. Banks Assets Quality is measured through the level of Non-Performing Assets. It specifically analyses the causality and statistically significant association between NPA and macroeconomic factors for the period 2003-2014. The study has applied various econometric tools such as unit root test, Granger Causality test, and Auto Regressive Hetroscedasticity Model. To analyse the NPA of commercial banks, the researchers have taken GNPA Ratio as proxy. The empirical results of ARCH model exhibited that macroeconomic variables such as inflation, credit growth, deposits growth, unemployment rate, weighted average lending rate and
exchange rate are having statistically significant association with GNPA Ratios of commercial banks. Based on the analysis, it is inferred that exogenous variables such as GDP, inflation, credit growth and Exchange Rate are having unilateral relationship with GNPA whereas variables like Index of Industrial Production, Unemployment Rate and
Weighted Average Lending Rate are having bivariate grange causal relationship with GNPA of Public and Private Sector Commercial Banks.

Item Type: Article
Uncontrolled Keywords: GNPA, Inflation, IIP, Deposits Growth and Exchange Rate
Divisions: PSG College of Arts and Science > Department of Commerce
Depositing User: Mr Team Mosys
Date Deposited: 22 Mar 2022 08:36
Last Modified: 22 Mar 2022 08:36
URI: http://ir.psgcas.ac.in/id/eprint/652

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