期刊
JOURNAL OF BANKING & FINANCE
卷 36, 期 4, 页码 1012-1027出版社
ELSEVIER
DOI: 10.1016/j.jbankfin.2011.10.012
关键词
Non-performing loans; Greek banking system; Macroeconomic determinants; Bank specific determinants; Dynamic panel data
This paper uses dynamic panel data methods to examine the determinants of non-performing loans (NPLs) in the Greek banking sector, separately for each loan category (consumer loans, business loans and mortgages). The study is motivated by the hypothesis that both macroeconomic and bank-specific variables have an effect on loan quality and that these effects vary between different loan categories. The results show that, for all loan categories, NPLs in the Greek banking system can be explained mainly by macroeconomic variables (GDP, unemployment, interest rates, public debt) and management quality. Differences in the quantitative impact of macroeconomic factors among loan categories are evident, with non-performing mortgages being the least responsive to changes in the macroeconomic conditions. (C) 2011 Elsevier B.V. All rights reserved.
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