Macroeconomic Determinants of NPLs Using an Extended Sample and Dominance Analysis

George Sfakianakis (), George Agiomirgianakis and George Manolas
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George Sfakianakis: National and Kapodistrian University of Athens and Hellenic Open University
George Manolas: Hellenic Ministry of Finance and Hellenic Open University

A chapter in Advances in Longitudinal Data Methods in Applied Economic Research, 2021, pp 285-296 from Springer

Abstract: Abstract This chapter aims at revisiting the empirical literature on the determinants of Non-Performing Loans (NPLs) using an extended dataset of selected OECD countries (augmented by EU countries not yet members of the OECD) and the latest data available for “traditional” macroeconomic variables with the addition of variables only recently proposed and not yet adequately tested. We endeavor to measure the effect of these determinants, but even more so for specific variables for which no clear consensus exists in the preexisting literature as for the direction of their impact. Our panel data specifications performed quite well, allowing us to address two additional research questions; whether the recent financial/economic crisis has changed the magnitude of the impact of the determinants of NPLs while also quantifying the relative importance of each determinant using the analytical tool of Dominance Analysis. The macroeconomic approach we opt for regarding the determinants of NPLs explains a more than satisfactory part of the variability of the dependent variable, while the crisis seems, as expected, to have affected the magnitude of the impact for most of the regressors. Last but not least, the unemployment rate and the degree of financial intermediation are topping the list of most important determinants followed by lending rates.

Keywords: Non-performing loans; Panel data estimation; Dominance analysis (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-63970-9_20

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DOI: 10.1007/978-3-030-63970-9_20

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