Econometric model of non-performing loans determinants

Abstract

© 2019 Elsevier B.V. The paper presents the use of the difference GMM and the system GMM for the purpose of determining the critical determinants of non-performing loans. The aim of the paper is to point out the theoretical advantages of GMM in relation to other (often used) panel data estimators in the study of NPLs, and to demonstrate its advantages in the case of the emerging markets in the countries of Latin America. The paper seeks to identify a relevant econometric model in order to demonstrate the impact of crucial macro and microeconomic variables on the NPLs. No evidence was found in support of the significance of the impact of the inflation rate and the microeconomic variables that were the subject of research in this paper.