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Nonperforming Loans in the GCC Banking System and their Macroeconomic Effects, Raphael Espinoza, Ananthakrishnan Prasad

Abstract
According to a dynamic panel estimated over 1995 - 2008 on around 80 banks in the GCC region, the NPL ratio worsens as economic growth becomes lower and interest rates and risk aversion increase. Our model implies that the cumulative effect of macroeconomic shocks over a three year horizon is indeed large. Firm-specific factors related to risk-taking and efficiency are also related to future NPLs. The paper finally investigates the feedback effect of increasing NPLs on growth using a VAR model. According to the panel VAR, there could be a strong, albeit short-lived feedback effect from losses in banks’ balance sheets on economic activity, with a semi-elasticity of around 0.4
Table Of Contents
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Stylized Facts; 1. Summary Statistics on Nonperforming Loans; 2. Macroeconomic and Firm-Specific Determinants of NPLs; 3. Panel Unit Root Tests (Levin-Lin-Chu); 4. Bankscope Coverage in the GCC; 1. NPL Ratio and Economic Activity in the GCC; 2. Bank Heterogeneity and the Business Cycle; III. Literature; A. Macroeconomic Factors; B. Bank-Specific Factors; C. Feedback Effects; IV. Determinants of Credit Risk; 3. Logit Transformation of the NPL ratio; 4. Dynamics of NPLs with Maintained Macroeconomic Shocks
Language
eng
Literary Form
non fiction
Note
"October 2010."
Physical Description
1 online resource (37 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9786613870100

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