Boumparis, Periklis, Milas, KC 
ORCID: 0000-0002-9789-384X and Panagiotidis, Theodore
(2019)
Non-performing loans and sovereign credit ratings.
International Review of Financial Analysis, 64.
pp. 301-314.
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Abstract
This paper examines the joint behaviour of sovereign ratings and their macroeconomic/financial determinants (namely uncertainty, GDP growth, government debt-to-GDP ratio, investment-to-GDP ratio and the fiscal balance-to-GDP ratio) in a multivariate Panel Vector Autoregressive (PVAR) framework. We reveal another channel of interconnection between sovereign and banking credit risk by identifying a two-way relationship between non-performing loans (NPLs) and sovereign ratings. Generalized impulse response functions (GIRFs) provide evidence of significant effects from NPLs on sovereign rating decisions over and above the effects of the remaining economic/financial variables. At the same time, sovereign rating decisions impact on NPLs and all other variables.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Sovereign credit ratings, Non-performing loans, Panel VAR |
| Depositing User: | Symplectic Admin |
| Date Deposited: | 27 Jun 2019 13:00 |
| Last Modified: | 19 Jan 2023 00:41 |
| DOI: | 10.1016/j.irfa.2019.06.002 |
| Related URLs: | |
| URI: | https://livrepository.liverpool.ac.uk/id/eprint/3044411 |
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