The Correlation of Non-Performing Loans Between the Four Greek Systemic Banks Before and During the Recent Crisis Based on Accounting Information

Kanellos Stylianou Toudas, Apostolos Christopoulos, Petros Kalantonis and Stylianos Kravaritis
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Kanellos Stylianou Toudas: National and Kapodistrian University of Athens, Athens, Greece
Apostolos Christopoulos: National and Kapodistrian University of Athens, Athens, Greece
Petros Kalantonis: Technological Educational Institute of Piraeus, Aigaleo, Greece
Stylianos Kravaritis: Hellenic Open University, Patras, Greece

International Journal of Corporate Finance and Accounting (IJCFA), 2017, vol. 4, issue 2, 23-40

Abstract: In the last years, and especially during the recent financial crisis there is an ongoing debate about non-perorming loans (NPLs) as they have increased enormously, even in developed countries. This phenomenon has deteriorated the overall status of banks, especially in countries that affected more by the crisis, as the loan portfolio constitutes a very important part of banks' total assets. This situation has increased uncertainty towards the global banking system resulting to run on banks with negative effects on the liquidation of the financial system and therefore to the finaning of the real economy. The aim of this article is to examine the level of correlation of NPLs among the four systemic banks in Greece. The empirical results show that the level of NPLs of the examined banks is affected by the performance of the bank itself in previous periods, as well as the performance of the other three banks for the same periods. Furthermore, the impulse response of a positive shock on the level of NPLs of each bank proves the existance of correlation between the four banks.

Date: 2017
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