عوامل ریسک اعتباری: شواهدی از یک مطالعه بین کشوری

This paper applies a dynamic panel data approach to examine the determinants of non-performing loans (NPLs) of commercial banks in a market-based economy, represented by France, compared with a bank-based economy, represented by Germany, during 2005–2011. The paper is motivated by the hypothesis that macroeconomic and bank-specific variables have an effect on loan quality, and that these effects vary between different banking systems. The key question discussed is which credit risk determinants are important for both countries. The results indicate that except for the inflation rate, the set of macroeconomic variables used in the paper influence the NPLs of both economies. This result is explained by the fact that both economies belong to the same euro area. Additionally, our study finds that compared to Germany, the French economy is more susceptible to bank-specific determinants. This highlights the impact of the type of economy (bank-based or market-based) on credit risk.