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Forecasting models for non-performing loans in the EU countries

Karsten Staehr () and Lenno Uusküla ()

No wp2017-10, Bank of Estonia Working Papers from Bank of Estonia

Abstract: This paper estimates panel data models that use macroeconomic and macrofinancial variables to forecast the ratio of non-performing loans to total loans. The panels consist of either all EU countries or various subgroups, and the time sample is 1997Q4 to 2017Q1. The estimations show that macroeconomic and macro-financial variables have important roles in forecasting nonperforming loans. The ratio of non-performing loans exhibits substantial persistence and higher GDP growth, lower inflation and lower debt are robust leading indicators of the ratio of lower non-performing loans. The current account balance and real house prices are important indicators for Western Europe but are less important for Central and Eastern Europe

Keywords: non-performing loans; forecasting; financial stability (search for similar items in EconPapers)
JEL-codes: E44 E47 G21 (search for similar items in EconPapers)
Date: 2017-11-09, Revised 2017-11-09
New Economics Papers: this item is included in nep-eec, nep-for and nep-mac
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