Macroeconomic and Bank-Specific Determinants of Nonperforming Loans in Greece: A Comparative Study of Mortgage, Business and Consumer Loan Portfolios

By Dimitrios P. Louzis, Angelos T. Vouldis, V. Metaxas. Social Science Research Network, 2010

1,267 citations recorded by the source corpus.

This paper uses dynamic panel data methods to examine the determinants of non-performing loans (NPLs) in the Greek banking sector, separately for each loan category (consumer loans, business loans and mortgages). The study is motivated by the hypothesis that both macroeconomic and bank-specific variables have an effect on loan quality and that these effects vary between different loan categories. The results show that, for all loan categories, NPLs in the Greek banking system can be explained mainly by macroeconomic variables (GDP, unemployment, interest rates, public debt) and management quality. Differences in the quantitative impact of macroeconomic factors among loan categories are evident, with non-performing mortgages being the least responsive to changes in the macroeconomic conditions. 2011 Elsevier B.V. All rights reserved.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/bb8040e26fb39589004cba360fedf81d3655fa97

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Citations in the corpus

Investigating the Determinants of Nonperforming Loans in the Romanian Banking System: An Empirical Study with Reference to the Greek Crisis (2011, result): “The explanatory power of the Romanian macroeconomic variables such as inflation, unemployment rate, and monetary indicators is in broad agreement with related studies [5, 21, 22, 27].”
The Impact of Green Lending on Credit Risk in China (2018, result): “Using the NPL ratio to analyze credit risk is in line with many other studies analyzing the credit risk to both Chinese lenders [57–60] and lenders in other countries [46,48,61].”
Macroeconomic Determinants of the Credit Risk in the Banking System: The Case of the GIPSI (2013, background): “the credit risk pointed out by Nkusu (2011) and Louzis et al. (2012) calls our attention to the”
Policy uncertainty and loan loss provisions in the banking industry (2020, positive): “…US National Home Price Index (CSRETt), because prior studies suggest that these factors can also influence loan loss provisions (e.g., Demirgüç-Kunt and Detragiache, 19 1998; Demirgüç-Kunt et al., 2006; Louzis et al., 2012; Bushman and Williams, 2012; Beck and Narayanamoorthy, 2013).”
Determining Impacts on Non-Performing Loan Ratio in Turkey (2013, background): “On the other hand, [7] and [8] study panel date set to understand of NPLs’ behaviors on their own researches.”
Determinants of Non-Performing Loans: The Case of Eurozone (2014, methodology): “Specifically, Louzis, Vouldis, and Metaxas (2010) found that the real GDP growth rate, unemployment and lending rates have a strong negative effect on the level of NPL, as do the return on equity (ROE) and ROA indicators, interpreting these as a sign of poor bank management.”
The Impact of Non-performing Loans on Bank Lending Behavior: Evidence from the Italian Banking Sector (2015, result): “Many authors focus on the determinants of NPL and obtain similar results (Hoggarth et al., 2005; Harr & Noelsen, 2005; Bofondi & Ropele, 2011; Louzis et al., 2012; Vogiazas & Nikolaidou, 2011; Farhan et al. 2012; Klein, 2013; Messai & Jouini, 2013, Bruno et al., 2015).”
Non-Performing Loans in the Euro Area: Are Core-Periphery Banking Markets Fragmented? (2016, positive): “The factors that affect the NPLs of the Greek banking system were studied by Louzis et al. (2010) in one of the most cited papers in this literature. They used dynamic panel data including the nine largest Greek banks for the period 2003Q1 to 2009Q3 and applied GMM in order to test for the determina”
Factors influencing bank risk in Europe: Evidence from the financial crisis (2015, methodology): “Recent studies use the cost-to-income ratio (CIR) as a proxy for efficiency or managerial quality (Mänasoo and Myers, 2009; Poghosyan and Čihak, 2011 and Louzis et al., 2012 among others).”