Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/114603
Authors: 
Makri, Vasiliki
Papadatos, Konstantinos
Year of Publication: 
2014
Citation: 
[Journal:] International Journal of Economic Sciences and Applied Research [ISSN:] 1791-3373 [Volume:] 7 [Year:] 2014 [Issue:] 1 [Pages:] 129-143
Abstract: 
In this paper, we study the determinants of credit risk in the Greek banking sector. Credit risk is related to bank asset quality and considered responsible for bank failures. In this context, we investigate how loan quality can be explained by accounting and macroeconomic factors. Aggregate loans loss provisions (LLP) are used as a proxy for measuring credit risk. Using quarterly aggregate data that span from 2001Q1 to 2012Q4, we examine a period that covers the recent financial crisis in Greece. The results of Generalized Method of Moments (GMM) estimations indicate that LLP is positively affected by unemployment, public debt, loans loss provisions of previous quarter and negatively by capital adequacy ratio. Therefore, our findings support the hypotheses that both macroeconomic environment and accounting information exert significant influence on the credit risk of Greek banking system.
Subjects: 
Credit risk
loan loss provisions
Greek banking system
accounting information and macroeconomic environment
GMM
JEL: 
E44
G20
G21
Document Type: 
Article

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