Czasopismo
Tytuł artykułu
Warianty tytułu
Języki publikacji
Abstrakty
Theoretical background: The article examines the microeconomic and macroeconomic determinants of credit risk in the European Union countries divided into two groups: countries that own the euro and countries outside the euro area.
Purpose of the article: This study is to identify differences in the shaping of credit risk in the EU depending on the country's affiliation to the monetary union.
Research methods: The statistical survey made it possible to identify significant differences between the mean values of the analyzed variables, and the econometric survey made it possible to identify differences in the determinants of credit risk in the two analyzed groups of countries. The study consisted of examining the occurrence of differences between the means for the collected variables and making the models using the GMM system.
Main findings: Differences in the influence of macroeconomic factors on the credit risk of euro area coun- tries and other European Union countries were shown. The main difference concerns the insensitivity of credit risk of euro area countries to changes in the foreign currency exchange rate, as well as the significant impact of inflation and unemployment on the credit risk of these countries.(original abstract)
Purpose of the article: This study is to identify differences in the shaping of credit risk in the EU depending on the country's affiliation to the monetary union.
Research methods: The statistical survey made it possible to identify significant differences between the mean values of the analyzed variables, and the econometric survey made it possible to identify differences in the determinants of credit risk in the two analyzed groups of countries. The study consisted of examining the occurrence of differences between the means for the collected variables and making the models using the GMM system.
Main findings: Differences in the influence of macroeconomic factors on the credit risk of euro area coun- tries and other European Union countries were shown. The main difference concerns the insensitivity of credit risk of euro area countries to changes in the foreign currency exchange rate, as well as the significant impact of inflation and unemployment on the credit risk of these countries.(original abstract)
Rocznik
Tom
Numer
Strony
79--93
Opis fizyczny
Twórcy
autor
- University of Lodz
autor
- University of Lodz
autor
- University of Lodz, Poland
Bibliografia
- Afonso, G.A. Kovener, A. Schoarn, Stressed. (2011). Not Frozen: The Federal Funds Market in the Financial Crisis. Journal of Finance, 66, 1109-1139. doi:10.1111/j.1540-6261.2011.01670.x
- Arellano, M., Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations, Review of Economic Studies, 58, 277-297.
- Bayar, Y. (2019). Macroeconomic, institutional and bank-specific determinants of non-performing loans in emerging market economies: A dynamic panel regression analysis. Journal of Central Banking Theory and Practice, 8(3), 95-110. doi:10.2478/jcbtp-2019-0026
- Beck, R., Jakubik, P., Piloiu, A. (2013). Non-performing loans: What matters in addition to the economic cycle? Working Paper No. 1515. European Central Bank.
- Beck, R., Jakubik, P., Piloiu, A. (2015). Key determinants of non-performing loans: new evidence from a global sample. Open Economies Review, 26(3), 525-550. doi:10.1007/s11079-015-9358-8
- Berger, A.N., DeYoung, R., Genay, H., Udell, G.F. (2000). Globalization of Financial Institutions : Evidence from Cross-Border Banking Performance. In Finance and Economics Discussion Series, 2000(04). doi:10.17016/feds.2000.04
- Berger, A.N., Bouwman, C.H.S. (2009). Bank Liquidity Creation. Review of Financial Studies, 22, 3779-3837. doi:10.1093/rfs/hhn104
- Boussaada, R., Hakimi, A., Karmani, M. (2020). Is there a threshold effect in the liquidity risk-non-performing loans relationship? A PSTR approach for MENA banks. International Journal of Finance & Economics, 1-13. doi:10.1002/ijfe.2248
- Brownlees, C., Hans, C., & Nualart, E. (2021). Bank credit risk networks: Evidence from the Eurozone. Journal of Monetary Economics, 117, 585-599. doi:10.1016/j.jmoneco.2020.03.014
- Buchholz, M., Tonzer, L. (2016). Sovereign credit risk co-movements in the Eurozone: Simple interdependence or contagion?. International Finance, 19(3), 246-268. doi:10.1111/infi.12099
- Castro, V. (2013). Macroeconomic determinants of the credit risk in the banking system: The case of the GIPSI. Economic Modelling, 31, 672-683. doi:10.1016/j.econmod.2013.01.027
- Chiesa, G., Mansilla-Fernández, J. M. (2018). Disentangling the transmission channel NPLs-cost of capital-lending supply. Applied Economics Letters, 26(16), 1-6. doi:10.1080/13504851.2018.1558335
- Erdinc, D., Abazi, E. (2014). The determinants of NPLs in emerging Europe, 2000-2011. Journal of Economics and Political Economy, 1(2), 112-125. doi:10.1453/jepe.v1i2.59
- Erdinç, D., Gurov, A. (2016). The effect of regulatory and risk management advancement on non-performing loans in European banking, 2000-2011. International advances in economic research, 22(3), 249-262. doi:10.1007/s11294-016-9591-y
- Fallanca, M., Forgione, A. F., Otranto, E. (2021). Do the determinants of non-performing loans have a different Effect over time? A conditional correlation approach. Journal of Risk and Financial Management, 14(21). doi:10.3390/jrfm14010021
- Fofack, H., Fofack, H.L. (2005). Nonperforming loans in Sub-Saharan Africa: causal analysis and macroeconomic implications. World Bank Publications, 3769.
- Hada, T., Bărbuță-Mișu, N., Iuga, I.C., Wainberg, D. (2020). Macroeconomic determinants of nonperforming loans of Romanian banks. Sustainability, 12(18), 7533. doi:10.3390/su12187533
- Kjosevski, J., Petkovski, M. (2017). Non-performing loans in Baltic States: determinants and macroeconomic effects. Baltic Journal of Economics, 17(1), 25-44. doi:10.1080/1406099X.2016.1246234
- Kjosevski, J., Petkovski, M., Naumovska, E. (2019). Bank-specific and macroeconomic determinants of non-performing loans in the Republic of Macedonia: Comparative analysis of enterprise and household NPLs. Economic research-Ekonomska istraživanja, 32(1), 1185-1203. doi:10.1080/1331677X.2019.1627894
- Klein, N. (2013). Non-Performing Loans in CESEE: Determinants and Impact on Macroeconomic Performance. IMF Working Papers, 13(72), 1. doi:10.5089/9781484318522.001
- Karkowska, R. (2019). Systemic risk affected by country level development. The case of the European banking sector. Argumenta Oeconomica, 2, 255-282. doi:10.15611/aoe.2019.2.11
- Louzis, D. P., Vouldis, A. T., Metaxas, V. L. (2012). Macroeconomic and bank-specific determinants of non-performing loans in Greece: A comparative study of mortgage, business and consumer loan portfolios. Journal of Banking & Finance, 36(4), 1012-1027. doi:10.1016/j.jbankfin.2011.10.012
- Makri, V., Tsagkanos, A., Bellas, A. (2014). Determinants of non-performing loans: The case of Eurozone. Panoeconomicus, 61(2), 193-206.
- Misra, B. M., Dhal, S. (2010). Pro-cyclical management of banks' non-performing loans by the Indian public sector banks. BIS Asian Research Papers, 16, 1-23.
- Morris, C., & Keeton, W.R. (1987). Why do banks' loan losses differ?. Economic Review, 3-21.
- Mpofu, T. R., Nikolaidou, E. (2018). Determinants of credit risk in the banking system in Sub-Saharan Africa. Review of Development Finance, 8(2), 141-153. doi:10.1016/j.rdf.2018.08.001
- Nkusu, M. (2011). Non-performing loans and macro financial vulnerabilities in advanced economies. IMF Working Papers, 11(161), 1. doi:10.5089/9781455297740.001
- Szarowska, I. (2018). Effect of macroeconomic determinants on non-performing loans in Central and Eastern European countries. International Journal of Monetary Economics and Finance, 11(1), 20-35. doi:10.1504/IJMEF.2018.090564
- Tsagkanos, A., Evgenidis, A., Vartholomatou, K. (2018). Financial and monetary stability across Euro-zone and BRICS: An exogenous threshold VAR approach. Research in International Business and Finance, 44, 386-393. doi:10.1016/j.ribaf.2017.07.108
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171657926