Determinants of Non-Performing Loans: A Panel Data Empirical Analysis for South European Countries
(2019) NEKP01 20191Department of Economics
- Abstract
- The paper analyzes the determinants of non-performing loans in 19 European banks in Portugal, Italy, Greece and Spain based on quarterly data between 2006–2018. We implement a panel data model with interactive effects, which accounts for unobserved heterogeneity and cross-sectional dependence. The estimation approach we employ uses an analytical and iterative bias correction based on the work of Bai (Panel Data Models with Interactive Fixed Effects, Econometrica, 77, pp. 1229–1279, 2009). To the best of our knowledge, this is the first time such an approach is used to analyze the determinants of non-performing loans, while simultaneously accounting for cross-sectional dependence. The results indicate that the unemployment rate has a... (More)
- The paper analyzes the determinants of non-performing loans in 19 European banks in Portugal, Italy, Greece and Spain based on quarterly data between 2006–2018. We implement a panel data model with interactive effects, which accounts for unobserved heterogeneity and cross-sectional dependence. The estimation approach we employ uses an analytical and iterative bias correction based on the work of Bai (Panel Data Models with Interactive Fixed Effects, Econometrica, 77, pp. 1229–1279, 2009). To the best of our knowledge, this is the first time such an approach is used to analyze the determinants of non-performing loans, while simultaneously accounting for cross-sectional dependence. The results indicate that the unemployment rate has a positive relationship with non-performing loans. When investigating bank-specific determinants, this paper finds some evidence suggesting that bank profitability and capitalization has a negative relationship with non-performing loans. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8984222
- author
- Ghorbani, Tom LU and Jakobsson, Viktor LU
- supervisor
- organization
- course
- NEKP01 20191
- year
- 2019
- type
- H2 - Master's Degree (Two Years)
- subject
- keywords
- Non-performing loans, Bank-specific determinants, Macroeconomic determinants, Interactive Effects, Cross-sectional dependence
- language
- English
- id
- 8984222
- date added to LUP
- 2019-08-08 10:25:45
- date last changed
- 2019-08-08 10:25:45
@misc{8984222, abstract = {{The paper analyzes the determinants of non-performing loans in 19 European banks in Portugal, Italy, Greece and Spain based on quarterly data between 2006–2018. We implement a panel data model with interactive effects, which accounts for unobserved heterogeneity and cross-sectional dependence. The estimation approach we employ uses an analytical and iterative bias correction based on the work of Bai (Panel Data Models with Interactive Fixed Effects, Econometrica, 77, pp. 1229–1279, 2009). To the best of our knowledge, this is the first time such an approach is used to analyze the determinants of non-performing loans, while simultaneously accounting for cross-sectional dependence. The results indicate that the unemployment rate has a positive relationship with non-performing loans. When investigating bank-specific determinants, this paper finds some evidence suggesting that bank profitability and capitalization has a negative relationship with non-performing loans.}}, author = {{Ghorbani, Tom and Jakobsson, Viktor}}, language = {{eng}}, note = {{Student Paper}}, title = {{Determinants of Non-Performing Loans: A Panel Data Empirical Analysis for South European Countries}}, year = {{2019}}, }