EconPapers    
Economics at your fingertips  
 

Is ex-post credit risk affected by the cycles? The case of Italian banks

Dimitris Anastasiou ()

Research in International Business and Finance, 2017, vol. 42, issue C, 242-248

Abstract: The objective of this research is to empirically examine if both credit and business cycle affect the ex-post credit risk (i.e. non-performing loans) in the banking system of Italy for the period 1995Q1–2014Q1. The increase in NPLs post-2008 has put into question the robustness of many European banks and the stability of the whole sector. It still remains a serious challenge, especially in Italy which is one of the countries that hit by the financial crisis. By employing fixed and random effects and a dynamic GMM estimation as econometric methodologies I find results that underline common causes for NPLs. Higher NPLs in Italy are mostly due to worse macroeconomic conditions (i.e. bad phase of business cycle) and due to excess credit. Through a Granger causality test, my arguments found even more support. Such findings can be helpful when designing macro-prudential as well as NPL resolution policies.

Keywords: Non-performing loans; Ex-post credit risk; Business cycle; Credit cycle; GMM estimation; Italian Banks; Macro-prudential policy (search for similar items in EconPapers)
JEL-codes: C23 C51 E32 G2 G21 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531916303415
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:42:y:2017:i:c:p:242-248

DOI: 10.1016/j.ribaf.2017.07.051

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2022-05-06
Handle: RePEc:eee:riibaf:v:42:y:2017:i:c:p:242-248