Work detail

Determinants of NPLs at the aggregate level: A comparative approach for middle and high income countries

Author: Mgr. Violeta Sandrovschi
Year: 2014 - summer
Leaders: doc. PhDr. Ing. Ing. Petr Jakubík Ph.D. Ph.D.
Work type: Masters
Language: English
Pages: 96
Awards and prizes:
Abstract: This 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.




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