eprintid: 3705
rev_number: 6
eprint_status: archive
userid: 1
dir: disk0/00/00/37/05
datestamp: 2021-09-02 12:04:19
lastmod: 2021-09-02 12:04:19
status_changed: 2021-09-02 12:04:19
type: thesis
metadata_visibility: show
sword_depositor: 1
creators_name: Parliarou, Angeliki
creators_id: S3999475
creators_email: a.parliarou@student.rug.nl
title: Non-performing loans and house prices: Evidence from Greece
ispublished: unpub
full_text_status: public
abstract: This thesis examines whether shocks in house prices have an impact on the non-performing loan ratios. The analysis presents empirical evidence from the Greek economy, using quarterly basis data over the years 2002-2019, which include the global financial crisis. A vector auto regressive and vector error correction model are used, which capture the interdependencies of the macro-economic variables. The more precise responses of the variables of interest to shocks within the system are presented through the generalized impulse response functions. The findings show that, among multiple macroeconomic factors, housing prices have a significant negative impact on non-performing loans, which importantly confirms international evidence. However, there are spatial deviations within the country. The findings reported could be used by policy makers for scenario analysis, to examine whether forecasting the performance of NPLs at the country or regional level, could provide with specific thresholds that can be useful when determining the lending policy within a bank.
date: 2021
pages: 36
thesis_type: master
degree_programme: VG
tutors_name: Daams, M.N.
tutors_organization: Fac. Ruimtelijke wetenschappen, Basiseenheid Economische Geografie
tutors_email: M.N.Daams@rug.nl
security: validuser
keywords_local: Non-performing loans spatial variation
keywords_local: housing prices
keywords_local: macroeconomic determinants
keywords_local: vector autoregressive model
keywords_local: spatial variation
language_iso: en
agreed_repository: yes
date_issued: 2021-09-01
citation:   Parliarou, Angeliki  (2021) Non-performing loans and house prices: Evidence from Greece.  Master thesis.   
document_url: https://frw.studenttheses.ub.rug.nl/3705/1/Angelina%20Parliarou-S3999475-Final%20Version.pdf