Parliarou, Angeliki (2021) Non-performing loans and house prices: Evidence from Greece. Master thesis.
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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.
| Item Type: | Thesis (Master) |
|---|---|
| Degree programme: | Real Estate Studies |
| Supervisor: | Daams, M.N. |
| Date Deposited: | 02 Sep 2021 12:04 |
| Last Modified: | 02 Sep 2021 12:04 |
| URI: | https://frw.studenttheses.ub.rug.nl/id/eprint/3705 |
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