Macroeconomic and bank-specific determinants of non-performing loans in Greece: A comparative study of mortgage, business and consumer loan portfolios

This paper uses dynamic panel data methods to examine the determinants of non-performing loans (NPLs) in the Greek banking sector, separately for each loan category (consumer loans, business loans and mortgages). The study is motivated by the hypothesis that both macroeconomic and bank-specific vari...

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Bibliographic Details
Published in:Journal of banking & finance 2012-04, Vol.36 (4), p.1012-1027
Main Authors: Louzis, Dimitrios P., Vouldis, Angelos T., Metaxas, Vasilios L.
Format: Article
Language:English
Subjects:
Bank loans
Banking
Comparative studies
Corporate debt
Credit market
Economic conditions
Greece
Loans
Macroeconomics
Nonperforming loans
Personal finance
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Summary:This paper uses dynamic panel data methods to examine the determinants of non-performing loans (NPLs) in the Greek banking sector, separately for each loan category (consumer loans, business loans and mortgages). The study is motivated by the hypothesis that both macroeconomic and bank-specific variables have an effect on loan quality and that these effects vary between different loan categories. The results show that, for all loan categories, NPLs in the Greek banking system can be explained mainly by macroeconomic variables (GDP, unemployment, interest rates, public debt) and management quality. Differences in the quantitative impact of macroeconomic factors among loan categories are evident, with non-performing mortgages being the least responsive to changes in the macroeconomic conditions. [PUBLICATION ABSTRACT]
ISSN:0378-4266
1872-6372
DOI:10.1016/j.jbankfin.2011.10.012