Nonperforming loan of European Islamic banks over the economic cycle
研究了2010至2019年英国和土耳其最大伊斯兰银行的不良贷款随经济周期的变化，发现不良贷款与资产回报率正相关、与权益回报率负相关，信用风险呈逆周期特征，为风险承担与风险分担原则提供了证据。
This paper investigates the variation in nonperforming loans over the economic cycle and the effect of past returns based on a nonparametric quantile analysis of the largest Islamic banks in the United Kingdom and Turkey from 2010 to 2019. The findings show a weak variation in nonperforming loans that increases with an increasing return on assets and a decreasing return on equity and decreases in an inverse scenario. As a result, the credit risk of Islamic banks is countercyclical. We suggest that the inverse relationships evidence the existence of trade-offs within bank returns and credit risk. Thus, banks’ past profitability and risk mitigation are determinants of asset quality. These findings provide support for risk-taking and risk-sharing principles in which flight-to-safety mirrors the calibration of risk factors in a disruptive economy. Our estimates indicate that nonparametric quantile regression captures considerably more variation in a risk-return analysis.