The Drivers of NPLs in Europe: A Dynamic Panel Data Analysis
研究了欧洲不良贷款（NPLs）的宏观和银行层面驱动因素，发现政府债务、结构性债务危机、银行总资产和存款与NPL正相关，而10年期债券利率负相关，对政策制定者和金融从业者有参考价值。
ABSTRACT This work explores the determinants of non‐performing loans (NPLs) in Europe, focusing on how macroeconomic and bank‐specific agents augment systemic risk within the financial system. Using a dataset that includes quarterly data on European countries and incorporates major events like the BREXIT vote and the structural debt crisis, this research utilises dynamic panel data analysis to examine these factors. The findings reveal that Government Debt and the structural debt crisis show a strong and positive relation with elevated levels of NPLs. Conversely, the 10‐year bond rate is negatively related to NPLs. Additionally, total bank assets and total bank deposits also show a positive relation with NPLs. These results highlight the crucial role of macroeconomic stability and financial indicators in influencing NPL levels, while the paper points out the importance of effective policy measures to manage NPLs and improve financial stability.