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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

Common exposure to macroeconomic risk factors across financial institutions is a source of a systemic risk that influences quality of banks&apos; 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.

Název v anglickém jazyce

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

Popis výsledku anglicky

Common exposure to macroeconomic risk factors across financial institutions is a source of a systemic risk that influences quality of banks&apos; 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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

<a href="/cs/project/GA16-13784S" target="_blank" >GA16-13784S: Hospodářská politika a instituce pro finanční sektor: Současné výzvy při vyvažování finančního rozvoje a stability</a><br>

Návaznosti

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

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název periodika

Prague Economic Papers

ISSN

1210-0455

e-ISSN

—

Svazek periodika

27

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

24

Strana od-do

351-374

Kód UT WoS článku

000437554400006

EID výsledku v databázi Scopus

2-s2.0-85048707532