Browsing by Author "Pirozzi, Angelo"
Now showing 1 - 1 of 1
Results Per Page
Sort Options
- Macroeconomic and bank-specific determinants of non-performing loans : an empirical investigationPublication . Pirozzi, Angelo; Sousa, João Carlos Brogueira deIn this study, I worked to identify factors influencing banks’ non-performing loans (NPLs) in Europe, and then I evaluate if those determinants vary with the gross national income level of countries. I analysed a panel of 39 countries in Europe, from the period between 1998 and 2017, looking both at macroeconomic and bank-specific variables. I estimate two different models, a static panel model and a dynamic one. Besides, for both models, I consider for the estimation also two subsamples representing Low and High-Income countries. The results I found under the first econometrics model with fixed-effect estimation largely agree with the existing literature, as for a macroeconomic perspective, GDP growth rate, Unemployment, Remittances, and Public Debt are found to exert a significant influence on NPLs. At the same time, from a bank-specific perspective, both ROE, credit to deposit ratio and the concentration of the bank industry can be considered as factors affecting NPLs. Then, I apply one-step difference GMM using the Arellano-Bond estimator to solve the problem of endogeneity concerning the lagged variable of NPLs used as a regressor. Consequently, variables such as Public Debt and banking system concentration turn out to be not significant, thus, implying that most of the variability of the dependent variable is explained from its past. In addition, differences between low and high-income countries are found: the significance of macroeconomic and bank-specific variables varies according to the economic condition of a country, suggesting that the vulnerability of the banking system relies on different characteristics.