Towards an investigation of credit risk determinants in Eurozone countries
Vol. 15, Nr. 1/2016 , p27..57
Author(s):
Vasiliki Makri
Keywords:
Credit risk, loan quality, non performing loans, loan loss provisions, loan loss reserves, accounting factors and macroeconomic factors.
Abstract:
The main objective of this article is to define which macroeconomic and accounting factors determine loan quality, hence credit risk, in Eurozone. Non Performing Loans, Loan Loss Provisions and Loan Loss Reserves are used as proxies for loan portfolio quality. Through dynamic regression techniques, the empirical analysis is carried out at both aggregate and individual bank level data, from 2000 to 2012, including booming and instability periods of European economy. The evaluation of econometric results establishes that macroeconomic environment (public debt, economic activity and inflation) and accounting variables (past loan quality, bank size, capital ratio and liquidity) influence considerably credit risk in Euro countries.
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http://online-cig.ase.ro/jcig/art/15_1_2.pdf
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