Determinants of non-performing loans in North Macedonia

https://doi.org/10.1080/23311975.2022.2140488
Page 20 of 40

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Appendix
0
5
10
15
20
25
30
35
40
2006
2008
2010
2012
2014
2016
2018
2020
2022
NPL
LGROSS_LOANS
LGDP
INTEREST
UNEMPLOYMENT
Figure A1. Variables in level.
-4
-3
-2
-1
0
1
2
2006
2008
2010
2012
2014
2016
2018
2020
2022
DNPL
DUNEMPLOYMENT
DLGROSS_LOANS
DLGDP
DINTEREST
Figure A2. Variables in first 
difference.
Golitsis et al., Cogent Business & Management (2022), 9: 2140488
https://doi.org/10.1080/23311975.2022.2140488
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Table and Figure 5.1. Zivot-Andrews unit root test on NPL
Zivot-Andrews Unit Root Test
Date: 08/30/22 Time: 12:08
Sample: 2005Q1 2022Q2
Included observations: 70
Null Hypothesis: NPL has a unit root with a structural break in both the intercept and trend
Chosen lag length: 2 (maximum lags: 4)
Chosen break point: 2016Q2
t-Statistic
Prob. *
Zivot-Andrews test statistic
−3.575502
7.37E-07
1% critical value:
−5.57
5% critical value:
−5.08
10% critical value:
−4.82
* Probability values are calculated from a standard t-distribution and do not take into account the breakpoint 
selection process 
-3.6
-3.2
-2.8
-2.4
-2.0
-1.6
-1.2
2006
2008
2010
2012
2014
2016
2018
2020
2022
Zivot-Andrew Breakpoints
Golitsis et al., Cogent Business & Management (2022), 9: 2140488
https://doi.org/10.1080/23311975.2022.2140488
Page 22 of 40

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Table and Figure 5.2. Zivot-Andrews unit root test on unemployment
Zivot-Andrews Unit Root Test
Date: 08/30/22 Time: 12:08
Sample: 2005Q1 2022Q2
Included observations: 70
Null Hypothesis: UNEMPLOYMENT has a unit root with a structural break in both the intercept and trend
Chosen lag length: 2 (maximum lags: 4)
Chosen break point: 2011Q1
t-Statistic
Prob. *
Zivot-Andrews test statistic
−3.687974
0.058355
1% critical value:
−5.57
5% critical value:
−5.08
10% critical value:
−4.82
* Probability values are calculated from a standard t-distribution and do not take into account the breakpoint 
selection process 
-4.0
-3.5
-3.0
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
2006
2008
2010
2012
2014
2016
2018
2020
2022
Zivot-Andrew Breakpoints
Golitsis et al., Cogent Business & Management (2022), 9: 2140488
https://doi.org/10.1080/23311975.2022.2140488
Page 23 of 40

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Table and Figure 5.3. Zivot-Andrews unit root test on interest rates
Zivot-Andrews Unit Root Test
Date: 08/30/22 Time: 12:08
Sample: 2005Q1 2022Q2
Included observations: 70
Null Hypothesis: INTEREST has a unit root with a structural break in both the intercept and trend
Chosen lag length: 2 (maximum lags: 4)
Chosen break point: 2019Q1
t-Statistic
Prob. *
Zivot-Andrews test statistic
−4.900227
0.002316
1% critical value:
−5.57
5% critical value:
−5.08
10% critical value:
−4.82
* Probability values are calculated from a standard t-distribution and do not take into account the breakpoint 
selection process 
-5.0
-4.5
-4.0
-3.5
-3.0
-2.5
-2.0
2006
2008
2010
2012
2014
2016
2018
2020
2022
Zivot-Andrew Breakpoints
Golitsis et al., Cogent Business & Management (2022), 9: 2140488