Determinants of NPLs at the aggregate level: A comparative approach for middle and high income countries
diplomová práce (OBHÁJENO)
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Trvalý odkaz
http://hdl.handle.net/20.500.11956/64661Identifikátory
SIS: 137682
Kolekce
- Kvalifikační práce [17632]
Autor
Vedoucí práce
Oponent práce
Serdarevič, Goran
Fakulta / součást
Fakulta sociálních věd
Obor
Ekonomie a finance
Katedra / ústav / klinika
Institut ekonomických studií
Datum obhajoby
24. 9. 2014
Nakladatel
Univerzita Karlova, Fakulta sociálních vědJazyk
Angličtina
Známka
Velmi dobře
Klíčová slova (česky)
Non-performing loans, subsamples, dynamic model, macroeconomic determinants, indexKlíčová slova (anglicky)
Non-performing loans, subsamples, dynamic model, macroeconomic determinants, indexThis thesis investigates the key determinants of the Non-performing loans (NPLs) comparing two groups of countries from Southeastern and Western Europe, with two different levels of economic development. We try to find empirical evidence and estimate whether the determinants of NPL ratio are different for the middle and high income countries. Applying panel data models for 14 countries overall, and using the regressions of subsampled countries, we analyze the importance of the determinants at the aggregate level. The final results show that all variables considered are significant, except inflation rate under all specifications and FDI when the subsampled dummy variables are used. As for the specifications of the exchange rate determinant, we conclude that the NPL ratio is negatively and significantly influenced in the export dominant middle income economies. An additional non-economic variable, such as the educational index, constructed at the national level, is found to increase the NPL ratio. Concerning the institutional quality index, averaging all six institutional indicators, this determinant does not show a consistent result across different data sample specifications.