Macroeconomic and bank-specific determinants of non-performing loans: Panel Data Evidence for Europe

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dc.contributor.author Peveretos, Iason Sozon en
dc.contributor.author Πεβερέτος, Ιάσων Σώζων el
dc.date.accessioned 2021-02-02T08:43:12Z
dc.date.available 2021-02-02T08:43:12Z
dc.identifier.uri https://dspace.lib.ntua.gr/xmlui/handle/123456789/52840
dc.identifier.uri http://dx.doi.org/10.26240/heal.ntua.20538
dc.description Εθνικό Μετσόβιο Πολυτεχνείο--Μεταπτυχιακή Εργασία. Διεπιστημονικό-Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών (Δ.Π.Μ.Σ.) “Μαθηματική Προτυποποίηση σε Σύγχρονες Τεχνολογίες και στα Χρηματοοικονομικά” el
dc.rights Default License
dc.subject Non performing loans en
dc.subject Europe en
dc.subject Greek en
dc.subject Bank determinants en
dc.subject Macroeconomics en
dc.subject Κόκκινα δάνεια el
dc.subject Ευρώπη el
dc.subject Ελλάδα el
dc.subject Μακροοικονομία el
dc.subject Τραπεζικές μεταβλητές el
dc.title Macroeconomic and bank-specific determinants of non-performing loans: Panel Data Evidence for Europe en
dc.contributor.department Mathematical Modeling in Modern Technologies and Financial Engineering el
heal.type masterThesis
heal.classification Financial Engineering en
heal.language en
heal.access free
heal.recordProvider ntua el
heal.publicationDate 2020-12-22
heal.abstract The European Union (EU27) is a political and economic union of 27 member states. The EU policies aim to ensure the free movement of people, goods, services and capital within the European internal market. However, EU does not have a unified monetary policy and one of the main reasons is that not all EU member states have joined the euro and, thus, do not have the same currency. In this context, this master thesis attempts to consider the Non-Performing Loans (NPLs) problem in the Euro system. The Euro system includes the national central banks of the 19 member states that have adopted the Euro currency. At the same time, EU has founded the European System of Central Banks (ESCB), which consists of the European Central Bank (ECB) and the National Central Banks (NCBs) of all 27 member states of the EU. The European Banking System is a highly regulated system, which is supervised by one authority, namely the ECB. However, many banking issues are not faced directly by the ECB, since each country follows its own fiscal policy. Thus, they plan their own strategy and they implement it in cooperation with the ECB. A representative banking problem is the handling of NPLs in the Eurosystem. The objective of this master thesis is to examine the impact of non-performing loans on the European banking system. For this purpose the last two decades are split in the era of high growth (2000- 2008 on average 2,06% GDP annual growth) according to the World Bank, in contrast with the era of European fiscal crisis in the countries (2009-2015 on average 0,21%) and the recent period of Brexit (2016-2018 on average 2,08%). Additionally, this master thesis tries to explore the potential resolution instruments and policies that each country can use in order to encounter their NPLs problem, based on the unique characteristics of their economy. The increase of NPLs has put into question the robustness of the majority of banks and the stability of the whole financial sector, after 2009. It still remains a serious challenge, since a few banks suffer from inadequate “equity capital”. Using econometric models, it can be estimated which macroeconomic and bank- specific conditions affect NPLs. To this end, a number of relevant econometric techniques are employed such as: LLC tests, Hausman test, Dynamic Panel Data analysis, etc. Based on our findings, the Government Debt, the Total Bank Deposits and the Structural Debt crisis are the statistically significant variables and were found to affect the Non-Performing Loans. en
heal.advisorName Michaelides, Panayotis
heal.committeeMemberName Michaelides, Panayotis en
heal.academicPublisher Εθνικό Μετσόβιο Πολυτεχνείο. Σχολή Εφαρμοσμένων Μαθηματικών και Φυσικών Επιστημών el
heal.academicPublisherID ntua
heal.numberOfPages 85 σ. el
heal.fullTextAvailability false

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