Open Economies Review

, Volume 26, Issue 3, pp 525–550 | Cite as

Key Determinants of Non-performing Loans: New Evidence from a Global Sample

Research Article


Using a novel panel data set we study the macroeconomic determinants of non-performing loans (NPLs) across 75 countries during the past decade. According to our dynamic panel estimates, the following variables are found to significantly affect NPL ratios: real GDP growth, share prices, the exchange rate, and the lending interest rate. In the case of exchange rates, the direction of the effect depends on the extent of foreign exchange lending to unhedged borrowers which is particularly high in countries with pegged or managed exchange rates. In the case of share prices, the impact is found to be larger in countries which have a large stock market relative to GDP. These results are robust to alternative econometric specifications.


Non-performing loans Credit risk Currency mismatches 

JEL Classification

G21 G28 G32 F34 



The authors would like to thank Elitza Mileva, Jorn Zenhorst, Roland Straub, Philipp Hartmann for useful comments. The views expressed in this paper are those of the authors and do not necessarily reflect those of the institutions the authors are affiliated with or those of the Eurosystem. Financial support from Grant Agency of the Czech Republic GACR 14-02108S is gratefully acknowledged.


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Copyright information

© Springer Science+Business Media New York 2015

Authors and Affiliations

  1. 1.European Central BankFrankfurtGermany
  2. 2.European Insurance and Occupational Pensions Authority (EIOPA)FrankfurtGermany
  3. 3.Czech National BankPragueCzech Republic
  4. 4.Institute of Economic StudiesCharles University in PraguePragueCzech Republic
  5. 5.Deutsche Bank ResearchFrankfurtGermany
  6. 6.Goethe University FrankfurtFrankfurtGermany

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