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Determinants of non-performing loans: Evidence from Euro-area countries

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Listed:
  • Dimitrios, Anastasiou
  • Helen, Louri
  • Mike, Tsionas

Abstract

The objective of this paper is to identify the main determinants of non-performing loans in the euro-area banking system for the period 1990Q1-2015Q2 using GMM estimations. On top of the bank- and country-specific variables proposed by the literature the roles of income tax and output gap are for the first time examined and found to be significant. Our results could be helpful when designing macro-prudential and fiscal policies.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:finlet:v:18:y:2016:i:c:p:116-119
    DOI: 10.1016/j.frl.2016.04.008
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    References listed on IDEAS

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    9. Ghosh, Amit, 2015. "Banking-industry specific and regional economic determinants of non-performing loans: Evidence from US states," Journal of Financial Stability, Elsevier, vol. 20(C), pages 93-104.
    10. Ahlem Selma Messai & Fathi Jouini, 2013. "Micro and Macro Determinants of Non-performing Loan," International Journal of Economics and Financial Issues, Econjournals, vol. 3(4), pages 852-860.
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    More about this item

    Keywords

    Non-performing loans; Macroeconomic determinants; Bank-specific determinants; GMM estimation;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G2 - Financial Economics - - Financial Institutions and Services

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