Macroeconomic and Bank-Specific Determinants of Non-Performing Loans in Greece: A Comparative Study of Mortgage, Business and Consumer Loan Portfolios

Bank of Greece Working Paper 118

44 Pages Posted: 6 Nov 2010 Last revised: 8 Nov 2010

See all articles by Dimitrios P. Louzis

Dimitrios P. Louzis

Athens University of Economics and Business; Bank of Greece

Angelos T. Vouldis

European Central Bank (ECB); Bank of Greece

Vasilios L. Metaxas

Bank of Greece

Date Written: November 4, 2010

Abstract

This paper uses dynamic panel data methods to examine the determinants of nonperforming loans (NPLs) in the Greek banking sector, separately for each type of loan (consumer, business and mortgage loans). The study is motivated by the hypothesis that both macroeconomic and bank-specific variables have an effect on loan quality and that these effects vary between different categories of loans. The results show that NPLs in the Greek banking system can be explained mainly by macrofundamentals (GDP, unemployment, interest rates) and management quality. Differences in the quantitative impact of macroeconomic factors among types of loans are evident with non- performing mortgages being the least responsive towards changes in the macroeconomic conditions.

Keywords: Non-perfoming loans, Greek banking system, Macroeconomic determinants, Bank specific determinants, Dynamic panel data

JEL Classification: G21, C23

Suggested Citation

Louzis, Dimitrios P. and Vouldis, Angelos T. and Metaxas, Vasilios L., Macroeconomic and Bank-Specific Determinants of Non-Performing Loans in Greece: A Comparative Study of Mortgage, Business and Consumer Loan Portfolios (November 4, 2010). Bank of Greece Working Paper 118. Available at SSRN: https://ssrn.com/abstract=1703026 or http://dx.doi.org/10.2139/ssrn.1703026

Dimitrios P. Louzis (Contact Author)

Athens University of Economics and Business ( email )

47A Evelpidon
Athens, 11362
Greece

Bank of Greece ( email )

21 E. Venizelos Avenue
GR 102 50 Athens
Greece

Angelos T. Vouldis

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Bank of Greece ( email )

21 E. Venizelos Avenue
GR 102 50 Athens
Greece

HOME PAGE: http://www.bankofgreece.gr

Vasilios L. Metaxas

Bank of Greece ( email )

21 E. Venizelos Avenue
GR 102 50 Athens
Greece

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