Key Determinants of Non-performing Loans: New Evidence from a Global Sample

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F15%3A10295385" target="_blank" >RIV/00216208:11230/15:10295385 - isvavai.cz</a>
Result on the web
<a href="http://link.springer.com/article/10.1007/s11079-015-9358-8/fulltext.html" target="_blank" >http://link.springer.com/article/10.1007/s11079-015-9358-8/fulltext.html</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s11079-015-9358-8" target="_blank" >10.1007/s11079-015-9358-8</a>

Result language
angličtina
Original language name
Key Determinants of Non-performing Loans: New Evidence from a Global Sample
Original language description
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 countrieswith 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.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
<a href="/en/project/GA14-02108S" target="_blank" >GA14-02108S: The nexus between sovereign and bank crises</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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