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Fluctuations Economiques et Dynamiques de la Constitution de Provisions Pour Créances Douteuses des Banques Luxembourgeoises

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  • Sabbah Gueddoudj

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    Abstract

    This work uses dynamic panel data methods to identify the determinants of the loan loss provisioning ratio in the Luxembourg banking sector from 1995 Q1 to 2011 Q4. The study is motivated by the theoretical framework assuming that both macroeconomic and microeconomic variables have a strong impact on the loans quality and quantity. The empirical results for Luxembourg confirm the findings of previous studies: both macroeconomic and bank-specific variables have a large impact on the development of the loan loss provisioning ratio. Indeed, the results show that GDP growth, house prices, ROA and the solvency ratio have a negative impact on the loan loss provisioning ratio, whereas the unemployment and interest rate increase the ratio.

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    File URL: http://www.bcl.lu/fr/publications/cahiers_etudes/81/BCLWP081.pdf
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    Bibliographic Info

    Paper provided by Central Bank of Luxembourg in its series BCL working papers with number 81.

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    Length: 40
    Date of creation: Jan 2013
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    Handle: RePEc:bcl:bclwop:bclwp081

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    Web page: http://www.bcl.lu/

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    Keywords: loan loss provisioning ratio Luxembourg banking system; macroeconomic factors and specific banking factors; dynamic data panel methods;

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