Revue d'économie et de statistique appliquée
Volume 23, Numéro 1, Pages 61-88
2026-06-28

Determinants Of Non-performing Loans And Stress Testing Of Algerian Banks: A Dynamic Panel Approach,



Authors : Medjellekh Mohammed-rami . Zaid Hizia .

Abstract

This research examines the causes of non-performing loans (NPLs) and Algerian banks' stress-test resilience. Over the 2016–2021 period, using a Difference GMM model, We evaluate macroeconomic and bank-specific characteristics utilizing panel data from 18 commercial banks, including public, joint-venture, and foreign banks, The findings suggest that credit risk is substantially influenced by lagged NPLs, profitability (ROA), exchange rate, and interest rate, while GDP growth and inflation do not exhibit a significant impact, Secondly, By stressing BNA Bank portfolio, we evaluate the sector's shock resistance. The findings suggest that Algerian banks' solvency ratios continue to surpass the regulatory threshold of 9.5%, despite the fact that loan quality is declining in extreme scenarios. This implies that Algerian institutions are relatively resilient. In the limited literature on developing countries, this research presents empirical data from Algeria and policy ideas for regulators to improve credit risk management and banking stability.

Keywords

Non-performing loans, Stress test, Credit risk, Algerian Banks, Generalized Method of Moments (GMM)

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