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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

<a href="/cs/project/GA14-02108S" target="_blank" >GA14-02108S: Vzájemná interakce krizí státu a bank</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Open Economices Review

ISSN

0923-7992

e-ISSN

—

Svazek periodika

26

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

26

Strana od-do

525-550

Kód UT WoS článku

000356172200007

EID výsledku v databázi Scopus

2-s2.0-84930931271