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Title: Non-performing loans and sovereign credit ratings
Authors: Boumparis, Periklis
Milas, Costas
Panagiotidis, Theodore
Type: Article
Subjects: FRASCATI::Social sciences::Economics and Business
Keywords: Sovereign credit ratings
Non-performing loans
Panel VAR
Issue Date: 2019
Source: International Review of Financial Analysis
Volume: 64
First Page: 301
Last Page: 314
Abstract: This paper examines the joint behaviour of sovereign ratings and their macroeconomic/financial determinants (namely uncertainty, GDP growth, government debt-to-GDP ratio, investment-to-GDP ratio and the fiscal balance-to-GDP ratio) in a multivariate Panel Vector Autoregressive (PVAR) framework. We reveal another channel of interconnection between sovereign and banking credit risk by identifying a two-way relationship between non-performing loans (NPLs) and sovereign ratings. Generalized impulse response functions (GIRFs) provide evidence of significant effects from NPLs on sovereign rating decisions over and above the effects of the remaining economic/financial variables. At the same time, sovereign rating decisions impact on NPLs and all other variables.
ISSN: 1057-5219
Other Identifiers: 10.1016/j.irfa.2019.06.002
Appears in Collections:Department of Economics

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