Publication detail

The impact of low interest rates on banks' non-performing loans

Author(s): prof. PhDr. Petr Teplý Ph.D., Matěj Maivald
Type: Others
Year: 2020
Number: 0
ISSN / ISBN:
Published in: FFA Working Papers, Czech Republic
Publishing place: University of Economics in Prague
Keywords: banks, credit risk, low interest rates, non-performing loans
JEL codes: C33, E43, G21
Suggested Citation: Maivald, M., & Teplý, P. (2020). The impact of low interest rates on banks’ non-performing loans. FFA Working Papers, 2, 2020.
Grants: GACR 18-05244S - Innovative Approaches to Credit Risk Management VŠE IP100040
Abstract: The paper examines the impact of a low interest rate environment on banks’ credit risk measured by the non-performing loan (NPL)/total loans ratio. We analyse a unique sample of annual data on 823 banks from the Eurozone, Denmark, Japan, Sweden, and Switzerland for the 2011-2017 period, which also covers the period of zero and negative rates. We conclude that after 1 year of low interest rates, the NPL ratio increases. Our results are mostly consistent with the findings of previous research, and the majority of differences can be explained by the changes in the economic environment during the period with low interest rates.
Downloadable: PDF

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance