The dynamic effects of non-performing loans on banks’ cost of capital and lending supply in the Eurozone
Read access available from
2021-03-20
Date
2020Version
Acceso embargado / Sarbidea bahitua dago
xmlui.dri2xhtml.METS-1.0.item-type
Artículo / Artikulua
Version
Versión aceptada / Onetsi den bertsioa
Project Identifier
ES/1PE/ECO2016-77631-R
Impact
|
10.1007/s10663-020-09475-5
Abstract
This paper analyses the transmission channel from non-performing loans to the cost of capital, credit provision and liquidity creation in the banks of the Eurozone. The empirical results suggest that holdings of non-performing loans increase both the long- and short-term cost of capital for banks. Moreover, the less capitalized the bank, the greater the reduction in credit provision and liquidity ...
[++]
This paper analyses the transmission channel from non-performing loans to the cost of capital, credit provision and liquidity creation in the banks of the Eurozone. The empirical results suggest that holdings of non-performing loans increase both the long- and short-term cost of capital for banks. Moreover, the less capitalized the bank, the greater the reduction in credit provision and liquidity creation due to the increased cost of capital. This phenomenon is found to be more economically significant for European periphery country banks than for core country banks. The identification of the transmission channel is robust to the Granger predictability test. [--]
Publisher
Springer
Published in
Empirica, 2020
Departament
Universidad Pública de Navarra. Departamento de Gestión de Empresas /
Nafarroako Unibertsitate Publikoa. Enpresen Kudeaketa Saila /
Universidad Pública de Navarra / Nafarroako Unibertsitate Publikoa. Inarbe - Institute for Advanced Research in Business and Economics
Publisher version
Sponsorship
José Manuel Mansilla-Fernández gratefully acknowledges Financial Support from ECO2016-77631-R (Ministerio de Economía y Competitividad).