Key Determinants of Non-performing Loans: New Evidence from a Global Sample
Roland Beck (),
Petr Jakubík () and
Open Economies Review, 2015, vol. 26, issue 3, 525-550
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. Copyright Springer Science+Business Media New York 2015
Keywords: Non-performing loans; Credit risk; Currency mismatches; G21; G28; G32; F34 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (54) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:kap:openec:v:26:y:2015:i:3:p:525-550
Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/11079/PS2
Access Statistics for this article
Open Economies Review is currently edited by G.S. Tavlas
More articles in Open Economies Review from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().