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Macroeconomic and bank-specific determinants of non-performing loans in Greece: a comparative study of mortgage, business and consumer loan portfolios

Dimitrios Louzis (), Angelos Vouldis () and Vasilios L. Metaxas
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Vasilios L. Metaxas: Bank of Greece

No 118, Working Papers from Bank of Greece

Abstract: This paper uses dynamic panel data methods to examine the determinants of non-performing loans (NPLs) in the Greek banking sector, separately for each type of loan (consumer, business and mortgage loans). The study is motivated by the hypothesis that both macroeconomic and bank-specific variables have an effect on loan quality and that these effects vary between different categories of loans. The results show that NPLs in the Greek banking system can be explained mainly by macrofundamentals (GDP, unemployment, interest rates) and management quality. Differences in the quantitative impact of macroeconomic factors among types of loans are evident with non-performing mortgages being the least responsive towards changes in the macroeconomic conditions.

Keywords: Non-perfoming loans; Greek banking system; Macroeconomic determinants; Bank specific determinants; Dynamic panel data (search for similar items in EconPapers)
JEL-codes: G21 C23 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-cfn and nep-ure
Date: 2010-09
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http://www.bankofgreece.gr/BogEkdoseis/Paper2010118.pdf Full Text (application/pdf)

Related works:
Journal Article: Macroeconomic and bank-specific determinants of non-performing loans in Greece: A comparative study of mortgage, business and consumer loan portfolios (2012) Downloads
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