Non-Performing Loans: What Matters in Addition to the Economic Cycle?
By Roland Beck, Petr Jakubík, Anamaria Piloiu. Social Science Research Network, 2013
314 citations recorded by the source corpus.
Using a novel panel data set we study the macroeconomic determinants of nonperforming loans (NPLs) across 75 countries during the past decade. According to our dynamic panel estimates, the following variables are found to significantly affect NPL ratios: real GDP growth, share prices, the exchange rate, and the lending interest rate. In the case of exchange rates, the direction of the effect depends on the extent of foreign exchange lending to unhedged borrowers which is particularly high in countries with pegged or managed exchange rates. In the case of share prices, the impact is found to be larger in countries which have a large stock market relative to GDP. These results are robust to alternative econometric specifications. JEL Classification: G21, G28, G32, F34
Subfields: Accounting, Finance
View Paper: https://www.semanticscholar.org/paper/09f5f4ca86b5a8b332f420fbaa3ad2ab039b0117
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Citations in the corpus
- Non-Performing Loans in the Euro Area: Are Core-Periphery Banking Markets Fragmented? (2016, unknown): “Beck et al. (2013) used a more complete panel data set to examine the role of macroeconomic factors on NPLs across 75 countries during the last decade.”
- Determinants of non-performing loans in Central and Eastern European countries (2014, unknown): “Journal of Banking & Finance, 36(4), pp.”
- Macroeconomic and Institutional Determinants of Non-performing Loans (2015, background): “Beck et al. (2013) suggest that exchange rate depreciations might lead to an increase of non-performing loans in countries with a high degree of lending in foreign currencies to unhedged borrowers.”