Fluctuations Economiques et Dynamiques de la Constitution de Provisions Pour Créances Douteuses des Banques Luxembourgeoises

Sabbah Gueddoudj ()

No 81, BCL working papers from Central Bank of Luxembourg

Abstract: This work uses dynamic panel data methods to identify the determinants of the loan loss provisioning ratio in the Luxembourg banking sector from 1995 Q1 to 2011 Q4. The study is motivated by the theoretical framework assuming that both macroeconomic and microeconomic variables have a strong impact on the loans quality and quantity. The empirical results for Luxembourg confirm the findings of previous studies: both macroeconomic and bank-specific variables have a large impact on the development of the loan loss provisioning ratio. Indeed, the results show that GDP growth, house prices, ROA and the solvency ratio have a negative impact on the loan loss provisioning ratio, whereas the unemployment and interest rate increase the ratio.

Keywords: loan loss provisioning ratio Luxembourg banking system; macroeconomic factors and specific banking factors; dynamic data panel methods (search for similar items in EconPapers)
JEL-codes: C23 G21 (search for similar items in EconPapers)
Pages: 40
Date: 2013-01
New Economics Papers: this item is included in nep-ban
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Persistent link: https://EconPapers.repec.org/RePEc:bcl:bclwop:bclwp081

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