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Do Macroeconomic Determinants of Non-Performing Loans Vary with the income Levels of Countries?

Journal of Systems Science and Information 2018年第6期9卷 512-531页

作者： Laxmi KOJU Ghulam ABBAS Shouyang WANG Academy of Mathematics and Systems Science Chinese Academy of SciencesBeijing 100190 China University of Chinese Academy of Sciences Beijing 100049 China School of Economics and Management University of Chinese Academy of SciencesBeijing 100190China Sukkur Institute of Business Administration Sindh-65200 Pakistan

This paper explores the macroeconomic determinants of non-performing loans(NPL) in 19 Asian countries(low to high income economies) using the Generalized Method of Moments estimation approach based on the economic data for the period between 1998 and 2015. The categorization of the economies is based on the average gross national income per capita as set by the World ***, the paper aims to evaluate if the determinants of NPL vary with the income levels of the countries. The results indicate that the NPL is strongly influenced by the inflation rate. The effect is,however, negative in the high-income and the middle-income countries and positive in the low-income countries. The GDP per capita has a dynamic negative relationship with the NPL in the high-income and the low-income countries. The remittance has a significant positive association in the high-income and a significant negative association in the low-income countries. Similarly, the unemployment rate has a positive effect on NPL in the middle-income and the low-income countries. With the rise in the official exchange rate, the NPL level increases in the low-income countries. The overall estimation results suggest that the NPL in Asian banking system depend on some key macroeconomic variables,such as unemployment rate, inflation rate, official exchange rate, remittance received and gross domestic product per capita, and these associations vary with the income level of the countries. Therefore,economic level of a country should be carefully considered while formulating credit policy to minimize credit risks in the banking system.

关键词： dynamic panel economic growth fiscal policy gross national income non-performing loans

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