The impact of macroeconomic conditions on credit risk in the Moroccan banking system: empirical evidence from the ARDL model and the Toda-Yamamoto test

This study investigates the impact of macroeconomic conditions on credit risk in the Moroccan banking sector, covering the period from the first quarter of 2009 to the first quarter of 2020. The research employs the Autoregressive Distributed Lag (ARDL) method to effectively assess both the short-term and long-term effects of various explanatory variables on the dependent variable. In addition, the Toda-Yamamoto causality test is utilized to identify which key macroeconomic variables drive credit risk. The ARDL findings indicate that, in the short term, real GDP, inflation, and the exchange rate have a statistically significant negative impact on the rate of non-performing loans. This result aligns with theoretical expectations. In the long term, however, the unemployment rate shows a positive and statistically significant effect on the credit risk indicator, particularly the non-performing loan rate. Furthermore, a decline in the value of a currency appears to negatively affect the credit risk proxy. The results from the Toda-Yamamoto test reveal that interest rates, the unemployment rate, and currency exchange rates significantly influence the ratio of non-performing loans. These findings corroborate the assertion that banking and financial upheavals are manifestations of economic instability. keywords: Credit risk, non-performing loans, Macroeconomic déterminants, Morocco. JEL Classification: E01, G21, C22. Paper type: Recherche empirique