Publicação
Credit risk determinants : the role of foreign direct investment, taxes and fintech investment in the level of nonperforming loans of US commercial banks
| Resumo: | Identifying the determinants of nonperforming loans and understanding their impact is of crucial importance given that it is proven that financial institutions report a large proportion of nonperforming loans prior to insolvency, increasing the risk of a banking crisis. Nonperforming loans also constitute the main metric of credit risk measurement, with this risk being the most significant for financial institutions. Using data of 408 US commercial banks to derive bank specific variables, while also considering macroeconomic variables, over the period of 2008 to 2021, this Dissertation provides evidence of the importance and impact of both sets of variables in the level of nonperforming loans. Through the use of a dynamic panel data estimation model, known as the Generalized Method of Moments, introduced by Arellano and Bover (1995) and Blundell and Bond (1998), this research project tests the impact of a set of variables, specifically, of new or little explored variables in the US banking industry, e.g. foreign direct investment, fintech investment, and personal taxes. Model estimates derive the significance of these variables for the determination of nonperforming loans of commercial banks, showing a negative relationship for the foreign direct investment variable and a positive relationship for the fintech investment and personal taxes variables. Moreover, results also show that the lagged value of nonperforming loans is significant to determine their future value, thus concluding on the past literature finding of time persistence of nonperforming loans. |
|---|---|
| Autores principais: | Santos, Beatriz Alexandra Esteves |
| Assunto: | Determinants Nonperforming loans Credit risk Generalized method of moments Macroeconomic variables Bank specific variables Determinantes Crédito malparado Risco de crédito Método dos momentos generalizados Variáveis macroeconómicas Variáveis intrínsecas |
| Ano: | 2023 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso restrito |
| Instituição associada: | Universidade Católica Portuguesa |
| Idioma: | inglês |
| Origem: | Veritati - Repositório Institucional da Universidade Católica Portuguesa |
| _version_ | 1866895287221485568 |
|---|---|
| author | Santos, Beatriz Alexandra Esteves |
| author_facet | Santos, Beatriz Alexandra Esteves |
| author_role | author |
| contributor_name_str_mv | Bhimjee, Diptes Chandrakante Prabhudas Veritati |
| country_str | PT |
| creators_json_txt | [{\"Person.name\":\"Santos, Beatriz Alexandra Esteves\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | Bhimjee, Diptes Chandrakante Prabhudas Veritati |
| datacite.creators.creator.creatorName.fl_str_mv | Santos, Beatriz Alexandra Esteves |
| datacite.date.Accepted.fl_str_mv | 2023-01-25T00:00:00Z |
| datacite.date.available.fl_str_mv | 2023-05-22T08:14:42Z |
| datacite.date.embargoed.fl_str_mv | 2023-05-22T08:14:42Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_16ec |
| datacite.subjects.subject.fl_str_mv | Determinants Nonperforming loans Credit risk Generalized method of moments Macroeconomic variables Bank specific variables Determinantes Crédito malparado Risco de crédito Método dos momentos generalizados Variáveis macroeconómicas Variáveis intrínsecas |
| datacite.titles.title.fl_str_mv | Credit risk determinants : the role of foreign direct investment, taxes and fintech investment in the level of nonperforming loans of US commercial banks |
| dc.contributor.none.fl_str_mv | Bhimjee, Diptes Chandrakante Prabhudas Veritati |
| dc.creator.none.fl_str_mv | Santos, Beatriz Alexandra Esteves |
| dc.date.Accepted.fl_str_mv | 2023-01-25T00:00:00Z |
| dc.date.available.fl_str_mv | 2023-05-22T08:14:42Z |
| dc.date.embargoed.fl_str_mv | 2023-05-22T08:14:42Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | http://hdl.handle.net/10400.14/41191 |
| dc.language.none.fl_str_mv | eng |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_16ec |
| dc.subject.none.fl_str_mv | Determinants Nonperforming loans Credit risk Generalized method of moments Macroeconomic variables Bank specific variables Determinantes Crédito malparado Risco de crédito Método dos momentos generalizados Variáveis macroeconómicas Variáveis intrínsecas |
| dc.title.fl_str_mv | Credit risk determinants : the role of foreign direct investment, taxes and fintech investment in the level of nonperforming loans of US commercial banks |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_bdcc |
| description | Identifying the determinants of nonperforming loans and understanding their impact is of crucial importance given that it is proven that financial institutions report a large proportion of nonperforming loans prior to insolvency, increasing the risk of a banking crisis. Nonperforming loans also constitute the main metric of credit risk measurement, with this risk being the most significant for financial institutions. Using data of 408 US commercial banks to derive bank specific variables, while also considering macroeconomic variables, over the period of 2008 to 2021, this Dissertation provides evidence of the importance and impact of both sets of variables in the level of nonperforming loans. Through the use of a dynamic panel data estimation model, known as the Generalized Method of Moments, introduced by Arellano and Bover (1995) and Blundell and Bond (1998), this research project tests the impact of a set of variables, specifically, of new or little explored variables in the US banking industry, e.g. foreign direct investment, fintech investment, and personal taxes. Model estimates derive the significance of these variables for the determination of nonperforming loans of commercial banks, showing a negative relationship for the foreign direct investment variable and a positive relationship for the fintech investment and personal taxes variables. Moreover, results also show that the lagged value of nonperforming loans is significant to determine their future value, thus concluding on the past literature finding of time persistence of nonperforming loans. |
| dirty | 0 |
| eu_rights_str_mv | restrictedAccess |
| format | masterThesis |
| fulltext.url.fl_str_mv | https://repositorio.ucp.pt/bitstreams/55193943-c524-490b-832c-699fb84f8740/download |
| id | veritati_4bbc8defbdf532e479da0fb79e09dbce |
| identifier.url.fl_str_mv | http://hdl.handle.net/10400.14/41191 |
| instacron_str | ucp |
| institution | Universidade Católica Portuguesa |
| instname_str | Universidade Católica Portuguesa |
| language | eng |
| network_acronym_str | veritati |
| network_name_str | Veritati - Repositório Institucional da Universidade Católica Portuguesa |
| oai_identifier_str | oai:repositorio.ucp.pt:10400.14/41191 |
| organization_str_mv | urn:organizationAcronym:ucp |
| person_str_mv | Santos, Beatriz Alexandra Esteves |
| publishDate | 2023 |
| reponame_str | Veritati - Repositório Institucional da Universidade Católica Portuguesa |
| repository_id_str | urn:repositoryAcronym:veritati |
| service_str_mv | urn:repositoryAcronym:veritati |
| spelling | engpt_PTIdentifying the determinants of nonperforming loans and understanding their impact is of crucial importance given that it is proven that financial institutions report a large proportion of nonperforming loans prior to insolvency, increasing the risk of a banking crisis. Nonperforming loans also constitute the main metric of credit risk measurement, with this risk being the most significant for financial institutions. Using data of 408 US commercial banks to derive bank specific variables, while also considering macroeconomic variables, over the period of 2008 to 2021, this Dissertation provides evidence of the importance and impact of both sets of variables in the level of nonperforming loans. Through the use of a dynamic panel data estimation model, known as the Generalized Method of Moments, introduced by Arellano and Bover (1995) and Blundell and Bond (1998), this research project tests the impact of a set of variables, specifically, of new or little explored variables in the US banking industry, e.g. foreign direct investment, fintech investment, and personal taxes. Model estimates derive the significance of these variables for the determination of nonperforming loans of commercial banks, showing a negative relationship for the foreign direct investment variable and a positive relationship for the fintech investment and personal taxes variables. Moreover, results also show that the lagged value of nonperforming loans is significant to determine their future value, thus concluding on the past literature finding of time persistence of nonperforming loans.application/pdfpt_PTCredit risk determinants : the role of foreign direct investment, taxes and fintech investment in the level of nonperforming loans of US commercial banksSantos, Beatriz Alexandra EstevesBhimjee, Diptes Chandrakante PrabhudasHostingInstitutionOrganizationalVeritatie-mailmailto:repositorio@ucp.ptrepositorio@ucp.ptURNurn:tid:2032783562023-05-22T08:14:42Z2023-01-252023-012023-01-25T00:00:00ZHandlehttp://hdl.handle.net/10400.14/41191http://purl.org/coar/access_right/c_16ecrestricted accessDeterminantsNonperforming loansCredit riskGeneralized method of momentsMacroeconomic variablesBank specific variablesDeterminantesCrédito malparadoRisco de créditoMétodo dos momentos generalizadosVariáveis macroeconómicasVariáveis intrínsecas406656 bytesliteraturehttp://purl.org/coar/resource_type/c_bdccmaster thesishttp://purl.org/coar/access_right/c_16ecapplication/pdffulltexthttps://repositorio.ucp.pt/bitstreams/55193943-c524-490b-832c-699fb84f8740/download |
| spellingShingle | Credit risk determinants : the role of foreign direct investment, taxes and fintech investment in the level of nonperforming loans of US commercial banks Santos, Beatriz Alexandra Esteves Determinants Nonperforming loans Credit risk Generalized method of moments Macroeconomic variables Bank specific variables Determinantes Crédito malparado Risco de crédito Método dos momentos generalizados Variáveis macroeconómicas Variáveis intrínsecas |
| status | SINGLETON |
| subject.fl_str_mv | Determinants Nonperforming loans Credit risk Generalized method of moments Macroeconomic variables Bank specific variables Determinantes Crédito malparado Risco de crédito Método dos momentos generalizados Variáveis macroeconómicas Variáveis intrínsecas |
| title | Credit risk determinants : the role of foreign direct investment, taxes and fintech investment in the level of nonperforming loans of US commercial banks |
| title_full | Credit risk determinants : the role of foreign direct investment, taxes and fintech investment in the level of nonperforming loans of US commercial banks |
| title_fullStr | Credit risk determinants : the role of foreign direct investment, taxes and fintech investment in the level of nonperforming loans of US commercial banks |
| title_full_unstemmed | Credit risk determinants : the role of foreign direct investment, taxes and fintech investment in the level of nonperforming loans of US commercial banks |
| title_short | Credit risk determinants : the role of foreign direct investment, taxes and fintech investment in the level of nonperforming loans of US commercial banks |
| title_sort | Credit risk determinants : the role of foreign direct investment, taxes and fintech investment in the level of nonperforming loans of US commercial banks |
| topic | Determinants Nonperforming loans Credit risk Generalized method of moments Macroeconomic variables Bank specific variables Determinantes Crédito malparado Risco de crédito Método dos momentos generalizados Variáveis macroeconómicas Variáveis intrínsecas |
| topic_facet | Determinants Nonperforming loans Credit risk Generalized method of moments Macroeconomic variables Bank specific variables Determinantes Crédito malparado Risco de crédito Método dos momentos generalizados Variáveis macroeconómicas Variáveis intrínsecas |
| url | http://hdl.handle.net/10400.14/41191 |
| visible | 1 |