کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5107264 1481792 2017 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Is ex-post credit risk affected by the cycles? The case of Italian banks
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
Is ex-post credit risk affected by the cycles? The case of Italian banks
چکیده انگلیسی
The objective of this research is to empirically examine if both credit and business cycle affect the ex-post credit risk (i.e. non-performing loans) in the banking system of Italy for the period 1995Q1-2014Q1. The increase in NPLs post-2008 has put into question the robustness of many European banks and the stability of the whole sector. It still remains a serious challenge, especially in Italy which is one of the countries that hit by the financial crisis. By employing fixed and random effects and a dynamic GMM estimation as econometric methodologies I find results that underline common causes for NPLs. Higher NPLs in Italy are mostly due to worse macroeconomic conditions (i.e. bad phase of business cycle) and due to excess credit. Through a Granger causality test, my arguments found even more support. Such findings can be helpful when designing macro-prudential as well as NPL resolution policies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 42, December 2017, Pages 242-248
نویسندگان
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