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文章基本信息

  • 标题:Nonperforming Loans in the GCC Banking System and their Macroeconomic Effects
  • 本地全文:下载
  • 作者:Espinoza, Raphael A. ; Prasad, Ananthakrishnan
  • 期刊名称:International Monetary Fund Survey
  • 印刷版ISSN:0047-083X
  • 出版年度:2010
  • 期号:Oct
  • 出版社:International Monetary Fund
  • 摘要:

    According to a dynamic panel estimated over 1995 - 2008 on around 80 banks in the GCC region, the NPL ratio worsens as economic growth becomes lower and interest rates and risk aversion increase. Our model implies that the cumulative effect of macroeconomic shocks over a three year horizon is indeed large. Firm-specific factors related to risk-taking and efficiency are also related to future NPLs. The paper finally investigates the feedback effect of increasing NPLs on growth using a VAR model. According to the panel VAR, there could be a strong, albeit short-lived feedback effect from losses in banks’ balance sheets on economic activity, with a semi-elasticity of around 0.4.

  • 关键词:NPLs; macro-financial linkages; Gulf Cooperation Council; Stress-testing
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