Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153948
Authors: 
Beck, Roland
Jakubik, Petr
Piloiu, Anamaria
Year of Publication: 
2013
Series/Report no.: 
ECB Working Paper 1515
Abstract: 
Using a novel panel data set we study the macroeconomic determinants of nonperforming 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 countries with 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.
Subjects: 
Credit risk
currency mismatches
non-performing loans
JEL: 
G21
G28
G32
F34
Document Type: 
Working Paper

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