Macroeconomic Drivers of Non-performing Loans: A Meta-regression Analysis

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F18%3A10237940" target="_blank" >RIV/61989100:27510/18:10237940 - isvavai.cz</a>
Result on the web
<a href="https://www.vse.cz/pep/656" target="_blank" >https://www.vse.cz/pep/656</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.18267/j.pep.656" target="_blank" >10.18267/j.pep.656</a>

Result language
angličtina
Original language name
Macroeconomic Drivers of Non-performing Loans: A Meta-regression Analysis
Original language description
Common exposure to macroeconomic risk factors across financial institutions is a source of a systemic risk that influences quality of banks' loan portfolios. This paper focuses on the growing literature on credit risk determinants. The aim of the paper is to provide more general information on effects of macroeconomic drivers with the use of quantitative meta-analytic techniques. We consider five of the most common macroeconomic determinants of non-performing loans ratio. The meta-regression results suggest that there are some significant differences among studies, which could be identified. For instance, data specification, estimation method, number of countries and observations included in the model play a significant role. In some cases, e.g. inflation and exchange rate, the size of the effects presented in journals with impact factor are significantly different from other types of studies included in the analysis. The sub-sample analysis mostly confirms meta-regressions results.
Czech name
—
Czech description
—

Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50202 - Applied Economics, Econometrics

Project
<a href="/en/project/GA16-13784S" target="_blank" >GA16-13784S: Financial sector policy and institutions: Current challenges in balancing financial development and stability</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Similar results(10)