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Erscheinungsjahr: 
2022
Quellenangabe: 
[Journal:] Journal of Applied Economics [ISSN:] 1667-6726 [Volume:] 25 [Issue:] 1 [Year:] 2022 [Pages:] 1050-1080
Verlag: 
Taylor & Francis, Abingdon
Zusammenfassung: 
We estimate the impact of changes in non-performing loan (NPL) ratios on aggregate banking sector variables and the macroeconomy by estimating a panel Bayesian VAR model for twelve euro area countries. The main findings are as follows: i) An impulse response analysis shows that an exogenous increase in the change in NPL ratios tends to depress bank lending volumes, widens bank lending spreads and leads to a fall in real GDP growth and residential real estate prices; ii) A forecast error variance decomposition shows that shocks to the change in NPL ratios explain a relatively large share of the variance of the variables in the VAR, particularly for countries that experienced a large increase in NPL ratios during the recent crises; and iii) A three-year structural out-of-sample scenario analysis suggests that reducing banks' NPL ratios can produce significant benefits in terms of improved macroeconomic and financial conditions.
Schlagwörter: 
Euro area countries
hierarchical priors
non-performing loans
panel Bayesian VAR
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