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Key Determinants of Non-performing Loans: New Evidence from a Global Sample

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  • Roland Beck

    ()

  • Petr Jakubik

    ()

  • Anamaria Piloiu

    ()

Abstract

Using a novel panel data set we study the macroeconomic determinants of non-performing loans (NPLs) across 75 countries during the past decade. According to our dynamic panel estimates, the following variables are found to significantly affect NPL ratios: real GDP growth, share prices, the exchange rate, and the lending interest rate. In the case of exchange rates, the direction of the effect depends on the extent of foreign exchange lending to unhedged borrowers which is particularly high in countries with pegged or managed exchange rates. In the case of share prices, the impact is found to be larger in countries which have a large stock market relative to GDP. These results are robust to alternative econometric specifications. Copyright Springer Science+Business Media New York 2015

Suggested Citation

  • Roland Beck & Petr Jakubik & Anamaria Piloiu, 2015. "Key Determinants of Non-performing Loans: New Evidence from a Global Sample," Open Economies Review, Springer, vol. 26(3), pages 525-550, July.
  • Handle: RePEc:kap:openec:v:26:y:2015:i:3:p:525-550
    DOI: 10.1007/s11079-015-9358-8
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    Cited by:

    1. Jan Bruha & Jiri Polansky & Jaromir Tonner & Stanislav Tvrz & Osvald Vasicek & Jan Babecky & Kamil Galuscak & Lubomir Lizal & Diana Zigraiova, 2016. "Topics in Labour Markets," Occasional Publications - Edited Volumes, Czech National Bank, Research Department, edition 1, volume 14, number rb14/1 edited by Jan Babecky.
    2. Marco Causi & Andrea Baldini, 2018. "Determinants Of Loan And Bad Loan Dynamics: Evidence From Italy," Departmental Working Papers of Economics - University 'Roma Tre' o232, Department of Economics - University Roma Tre.
    3. repec:spr:chfecr:v:4:y:2016:i:1:d:10.1186_s40589-016-0034-y is not listed on IDEAS
    4. Kimberly Beaton & Alla Myrvoda & Shernnel Thompson, 2016. "Non-Performing Loans in the ECCU; Determinants and Macroeconomic Impact," IMF Working Papers 16/229, International Monetary Fund.
    5. M. Brei & L. Jacolin & A. Noah, 2018. "Credit risk and bank competition in Sub-Saharan Africa," Working papers 664, Banque de France.
    6. repec:gam:jsusta:v:10:y:2018:i:9:p:3084-:d:166573 is not listed on IDEAS
    7. Dimitrios, Anastasiou & Helen, Louri & Mike, Tsionas, 2016. "Determinants of non-performing loans: Evidence from Euro-area countries," Finance Research Letters, Elsevier, vol. 18(C), pages 116-119.
    8. Ismail Tijjani Idris & Sabri Nayan, 2016. "The Joint Effects of Oil Price Volatility and Environmental Risks on Non-performing Loans: Evidence from Panel Data of Organization of the Petroleum Exporting Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 6(3), pages 522-528.
    9. Miroslav Plasil & Jakub Seidler & Petr Hlavac & Volha Audzei & Jakub Mateju & Michal Kejak & Simona Malovana & Jan Frait, 2016. "Financial Cycles and Macroprudential and Monetary Policies," Occasional Publications - Edited Volumes, Czech National Bank, Research Department, edition 2, volume 14, number rb14/2 edited by Jan Babecky & Michal Hlavacek.
    10. Samuel GUÉRINEAU & Florian LÉON, 2016. "Information sharing, credit booms, and financial stability," Working Papers P159, FERDI.
    11. repec:prg:jnlpep:v:2017:y:2017:i:3:id:615:p:300-316 is not listed on IDEAS
    12. Nor, Amirudin Mohd & Masih, Mansur, 2017. "Do Islamic banks lead or lag conventional banks? Evidence from Malaysia," MPRA Paper 79425, University Library of Munich, Germany.
    13. Frantisek Brazdik & Jan Bruha & Michal Franta & David Havrlant & Tibor Hledik & Tomas Holub & Zuzana Humplova & Frantisek Kopriva & Jiri Polansky & Marek Rusnak & Jaromir Tonner, 2015. "Forecasting," Occasional Publications - Edited Volumes, Czech National Bank, Research Department, edition 1, volume 13, number rb13/1 edited by Jan Babecky & Kamil Galuscak.
    14. Biswajit PATRA & Puja PADHI, 2016. "Determinants of nonperforming assets-bank-specific and macroeconomic factors: A panel data analysis of different group of commercial banks operating in India," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(609), W), pages 215-236, Winter.
    15. Ozili, Peterson K, 2017. "Non-performing loans and Financial Development: New Evidence," MPRA Paper 75964, University Library of Munich, Germany.
    16. Michal Andrle & Oxana Babecka Kucharcukova & Jaromir Baxa & Jan Bruha & Peter Claeys & Jan Filacek & Jakub Mateju & Miroslav Plasil & Serhat Solmaz & Borek Vasicek, 2015. "Monetary Policy Challenges in a Low-Inflation Environment," Occasional Publications - Edited Volumes, Czech National Bank, Research Department, edition 2, volume 13, number rb13/2 edited by Jan Babecky & Michal Franta.
    17. repec:eee:riibaf:v:42:y:2017:i:c:p:645-657 is not listed on IDEAS
    18. repec:eco:journ2:2017-03-42 is not listed on IDEAS
    19. repec:cnb:ocpubv:rb15/2 is not listed on IDEAS
    20. Ismail Tijjani Idris & Sabri Nayan, 2016. "The Moderating Role of Loan Monitoring on the Relationship between Macroeconomic Variables and Non-performing Loans in Association of Southeast Asian Nations Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 402-408.
    21. repec:eee:riibaf:v:42:y:2017:i:c:p:242-248 is not listed on IDEAS
    22. repec:cnb:ocpubv:rb15/1 is not listed on IDEAS
    23. repec:lje:journl:v:22:y:2017:i:1:p:37-70 is not listed on IDEAS
    24. Anastasiou, Dimitrios, 2017. "The Interplay between Ex-post Credit Risk and the Cycles: Evidence from the Italian banks," MPRA Paper 79470, University Library of Munich, Germany.
    25. Biswajit PATRA & Puja PADHI, 2016. "Determinants of nonperforming assets-bank-specific and macroeconomic factors: A panel data analysis of different group of commercial banks operating in India," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(609), W), pages 215-236, Winter.

    More about this item

    Keywords

    Non-performing loans; Credit risk; Currency mismatches; G21; G28; G32; F34;

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems

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