The causal relationship between SME sustainability and banks’ risk

Figures & data

Figure 1. Sustainability in SMEs and bank’s risk.

Table 1. Descriptive statistics.

Variables	Definition	Obs.	Mean	Std. Dev.	Min	Max
NPL	Logarithm the value of non-performing loans	162	0.059	0.064	0.008	0.376
CSME	Logarithm the amount of credits to SME’s	162	2.10e+	5.04e+	38335	3.32e+
Size	Logarithm the number of branches	162	13.981	12.201	1	83
GDP	the annual growth in GDP	162	0.050	0.043	−0.039	0.124
CAP	Logarithm the paid amount of capital	162	5.06e+	2.76e+	5005648	1.95e+
Ass	Logarithm the net amount of assets	162	6.26e+	7.92e+	3.59e+	4.12e+
Inf	The annual index of inflation- consumer index	162	0.031	0.023	0.014	0.099

Source: annual bank’s reports, World bank, PMA reports.

Table 2. Correlation matrix.

Variables	NPL	CSME	Size	GDP	CAP	ASS	Inf
NPL	1.000
CSME	–0.148	1.000
Size	–0.193	0.649	1.000
GDP	–0.188	–0.037	–0.022	1.000
CAP	–0.379	0.730	0.813	0.034	1.000
ASS	–0.168	0.896	0.786	–0.016	0.780	1.000
Inf	0.192	–0.136	–0.133	0.193	–0.235	–0.116	1.000

Source: Authors’ calculations.

Figure 2. IRFs of NPL. Source: Authors’ calculations.

Table 3. Granger causality test results.

Variables	NPLt–1	CSMEt–1	Sizet–1	GDPt–1	CAPt–1	ASSt–1
NPLt–1	0.427***	–3.110***	–0.698***	–0.0603***	0.165	–0.294***
	(0.0383)	(0.419)	(0.143)	(0.0211)	(0.154)	(0.0829)
CSMEt–1	–0.0130***	0.769***	–0.00588	–0.0310***	–0.0258	–0.0193*
	(0.00415)	(0.0652)	(0.0132)	(0.00407)	(0.0207)	(0.0106)
Sizet–1	0.194***	–1.373***	–0.0524	0.104***	0.160**	0.378***
	(0.0215)	(0.228)	(0.0580)	(0.0127)	(0.0685)	(0.0596)
GDPt–1	–0.318***	–1.399***	–0.186	0.306***	–0.638***	–0.827***
	(0.0472)	(0.488)	(0.155)	(0.0351)	(0.122)	(0.0916)
CAPt–1	–0.134***	0.509***	0.314***	0.0554***	0.116***	0.0441
	(0.0119)	(0.150)	(0.0338)	(0.0107)	(0.0444)	(0.0357)
ASSt–1	–0.177***	1.288***	0.594***	0.0986***	–0.172***	0.637***
	(0.0157)	(0.172)	(0.0424)	(0.0105)	(0.0452)	(0.0395)
Groups	15	15	15	15	15	15
Observations	117	117	117	117	117	117

Source: Authors’ calculations. Panel VAR-Granger causality Wald test. Variables in logs except; NPL and GDP. Standard errors in parentheses, ***p < 0.01, **p < 0.05, *p < 0.1.

Table 4. Fixed effect results.

	NPL
Variables	M1	M2
Constant	1.897***	1.491***
	(0.407)	(0.352)
CSMEt–1	–0.0231**	–0.0247***
	(0.0112)	(0.00855)
Sizet–1	0.0315	0.0124
	(0.0326)	(0.0282)
GDPt–1	–0.325**	–0.284***
	(0.126)	(0.0986)
CAPt–1	0.00329	0.0357
	(0.0128)	(0.0261)
ASSt–1	–0.0780***	–0.0541**
	(0.0251)	(0.0214)
INFt–1		–0.132
		(0.202)
Observations	117	147
Number of code	15	15
R-squared	0.385	0.395

Source: Authors’ calculations .M1: presents the basic model, M2 presents the basic model included inflation as control variable. Variables in logs except; NPL, GDP, and inflation. Standard errors in parentheses, ***p < 0.01, **p < 0.05, *p < 0.1.

Table A1. Multicollinearity test.

Variable	VIF
Assets	8.74
Credit to SMEs	6.28
Capital	4.14
SIZE	3.99
inflation	1.13
GDP	1.07
Mean VIF	4.23

Table B1. Hausman test.

	prob. > chi2	chi2
Model 1	0.0014	19.74
Model 2	0.0027	20.06