Table 1 Empirical studies that have...

Table 1

Empirical studies that have considered the effects of some macroeconomic variables on the NPLs of EU countries after the 2007 financial crisis

Author	Independent variables	Countries	Years	Econometric method
Škarica (2014)	GDP, unemployment, inflation rate	Bulgaria, Croatia, Czech Republic, Hungary, Latvia, Romania and Slovakia	2007–2012	Fixed effects
Tanasković and Jandrić (2015)	(FX_cred; ex_rate; intr_r; infl; fin_mark; sound_b)¹	Albania, Bosnia and Herzegovina, Bulgaria, Croatia, Hungary, Lithuania, Montenegro, FYR Macedonia, Romania, Serbia and Slovenia	2006 to 2013 period	Fixed effects
Beck et al. (2015)	RGDP; NEER; Lending IR; ICL²	75 Western countries, including 26 of the 28 EU countries (countries not considered: Cyprus and Malta	2000–2010	Fixed effects Arellano-Bond estimation
Anastasiou et al. (2016)	ROA, ROE, LTD, UNEMP, TAXINC, FISCAL, DEBT, GROWTH, infl³	Euro-area	1990–2015	GMM estimations
Anastasiou et al. (2019a)	ROA, ROE, LTD, UNEMP, TAXINC, FISCAL, DEBT, GROWTH, infl	Euro-area	2003–2016	VAR
Anastasiou et al. (2019b)	GOVERNANCE index (PCA for all the Worldwide Governance Indicators, WGI)	Greece	1996–2016	OLS

Author	Independent variables	Countries	Years	Econometric method
Škarica (2014)	GDP, unemployment, inflation rate	Bulgaria, Croatia, Czech Republic, Hungary, Latvia, Romania and Slovakia	2007–2012	Fixed effects
Tanasković and Jandrić (2015)	(FX_cred; ex_rate; intr_r; infl; fin_mark; sound_b)¹	Albania, Bosnia and Herzegovina, Bulgaria, Croatia, Hungary, Lithuania, Montenegro, FYR Macedonia, Romania, Serbia and Slovenia	2006 to 2013 period	Fixed effects
Beck et al. (2015)	RGDP; NEER; Lending IR; ICL²	75 Western countries, including 26 of the 28 EU countries (countries not considered: Cyprus and Malta	2000–2010	Fixed effects Arellano-Bond estimation
Anastasiou et al. (2016)	ROA, ROE, LTD, UNEMP, TAXINC, FISCAL, DEBT, GROWTH, infl³	Euro-area	1990–2015	GMM estimations
Anastasiou et al. (2019a)	ROA, ROE, LTD, UNEMP, TAXINC, FISCAL, DEBT, GROWTH, infl	Euro-area	2003–2016	VAR
Anastasiou et al. (2019b)	GOVERNANCE index (PCA for all the Worldwide Governance Indicators, WGI)	Greece	1996–2016	OLS

Note(s): ¹FX_cred, is the local currency value of FX denominated debt and its servicing cost; ex_rate is the change in the nominal US dollar exchange rate for each country; intr_r is Increases in lending rates; infl is inflation rate; fin_mark is financial market developments; sound_b is soundness of the banking system; ²RGDP (Real Gross domestic Product); NEER (Nominal Effective Exchange Rate); LendingIR (Lending Interest Rate); ICL (International Claims); ³ROA (return on assets); ROE (return on equity); LTD (increasing loans to deposits ratio); UNEMP (increasing unemployment). TAXINC (income tax as % of GDP); FISCAL (government budget balance as % of GDP). DEBT (the general gross government debt as % of GDP); GROWTH (the percentage growth rate of real GDP); Infl (inflation rate)

[ViewLarge]

Sharing Unavailable