*Assistant Professor, School of Management Studies, Bannari Amman Institute of Technology, Sathyamangalam, India
**Former Principal and Head, Department of Commerce and Business Administration, Jamal Mohamed College, Trichy, India
***Associate Professor, PG & Research Department of Commerce, Jamal Mohamed College, Trichy, India
Online published on 2 July, 2016.
This empirical study examines the interface between Non-Performing assets of New Private Sector Banks and macroeconomic determinants for the period 2002–2003 to 2013–2014. The study aims to find the association between GNPA and macroeconomic factors with the help of econometrics tools such as Unit Root Test Analysis, Johanson Cointegration test, Granger Casualty Test and Auto Regressive Conditional Hetroscedasticity (ARCH Model). The analytical results revealed the long term relationship between GNPA of New Private Sector Banks and macroeconomic factors during the study period. It is found that all the macroeconomic variables are cointegrated with GNPA and exogenous variable Inflation granger caused GNPA of New Private Sector Banks in bi-directional mode. It is also observed from the results that exogenous variables such as inflation, money supply (M3), exchange rate, unemployment rate and weighted average lending rate are having significant relationship with GNPA of New Private Sector Banks.
GNPA, Nationalised Banks, Unit Root test, Johansen Cointegration Test, Granger Causality Test, ARCH Model and Macroeconomic Determinants
