The determinants of credit and insolvency risk of European commercial banks: a dynamic panel data analysis

Wiem Ben Jabra, Zouheir Mighri and Faysal Mansouri

International Journal of Monetary Economics and Finance, 2017, vol. 10, issue 2, 111-143

Abstract: This paper investigates the impact of both bank-specific and macroeconomic determinants on banking risk. A dynamic panel data regression analysis is applied to a large sample of 280 commercial banks operating in the euro area during the period 2003-2013. The main empirical results are as follows: (i) Economic growth, inflation, regulatory quality, insurance coverage and bank size are inversely and significantly related to credit risk, while capitalisation and competition are positively and significantly related to credit risk. (ii) Economic growth, inflation, capitalisation and regulatory quality are positively related to insolvency risk, while bank size, competition and deposit insurance coverage are negatively associated to insolvency risk.

Keywords: bank risk; credit risk; insolvency risk; dynamic panel data; bank-specific determinants; macroeconomic determinants. (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijmefi:v:10:y:2017:i:2:p:111-143

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