Key Determinants of Non-performing Loans: New Evidence from a Global Sample

被引：148

作者：

Beck, Roland ^{[1
]}

Jakubik, Petr ^{[2
,3
,4
]}

Piloiu, Anamaria ^{[5
,6
]}

机构：

[1] European Cent Bank, Frankfurt, Germany

[2] EIOPA, Frankfurt, Germany

[3] Czech Natl Bank, Prague, Czech Republic

[4] Charles Univ Prague, Inst Econ Studies, Prague, Czech Republic

[5] Deutsch Bank Res, Frankfurt, Germany

[6] Goethe Univ Frankfurt, D-60054 Frankfurt, Germany

来源：

OPEN ECONOMIES REVIEW | 2015年 / 26卷 / 03期

关键词：

Non-performing loans; Credit risk; Currency mismatches; PANEL-DATA; CREDIT; PRICES; TESTS;

D O I：

10.1007/s11079-015-9358-8

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Using a novel panel data set we study the macroeconomic determinants of non-performing 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.

引用

页码：525 / 550

页数：26