期刊
JOURNAL OF ECONOMICS AND BUSINESS
卷 93, 期 -, 页码 29-45出版社
ELSEVIER SCIENCE INC
DOI: 10.1016/j.jeconbus.2017.06.002
关键词
Non-performing loans; Bank balance sheet; Macrofinancial linkages; Feedback effects; GMM estimations; Panel VAR
Although a growing literature has analyzed the determinants of non-performing loans (henceforth NPLs), very few studies have explored the issue at the disaggregate level. Such an analysis unmasks important differences in the inter-relationships between macroeconomic and balance sheet conditions and different categories of NPLs. The present study examines sector-specific NPLs in the US using data for the 100 largest commercial bank over the period 1992q4-2016q1. While total NPLs remain sensitive to different balance sheet and US macroeconomic conditions, this is most accentuated for real estate loans and its different constituent categories, and commercial & industrial loans. The paper further explores the impact of NPLs on sector-specific product and labor markets. Total NPLs have the most pronounced effect on US housing prices, real GDP growth and housing starts. At the disaggregate level, non-performing construction & land development and C&I loans have the most persistent pernicious impact on corresponding sector-specific employment growth. (C) 2017 Elsevier Inc. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据