SỐ 196 | THÁNG 7/2022
Sự không chắc chắn của chính sách kinh tế, các khoản nợ xấu của ngân hàng và các khoản dự phòng rủi ro cho vay có tương quan với nhau không?
Peterson K. Ozili
Tóm tắt:
Mục đích – Bài báo này xem xét mối tương quan của sự không chắc chắn trong chính sách kinh tế (EPU) với các khoản nợ xấu và dự phòng rủi ro cho vay đối với 22 quốc gia phát triển lớn trong giai đoạn 2008–2017.
Thiết kế/phương pháp/cách tiếp cận – Nghiên cứu sử dụng phương pháp tương quan Pearson để đánh giá mối tương quan giữa EPU, các khoản nợ xấu của ngân hàng và các khoản dự phòng rủi ro cho vay.
Kết quả – Kết quả cho thấy EPU có tương quan nghịch với các khoản nợ xấu và các khoản dự phòng rủi ro cho vay trong lĩnh vực ngân hàng của các nước EU nhưng ngược lại đối với các nước ngoài EU. Ngoài ra, EPU có tương quan nghịch với các khoản nợ xấu trong lĩnh vực ngân hàng của các nền kinh tế tiên tiến nhất - các nước G7, trong khi các khoản dự phòng rủi ro cho vay phản ứng nhanh hơn với những thay đổi trong EPU so với nợ xấu ở các nước EU.
Ý nghĩa thực tiễn – Ý nghĩa của những phát hiện là mối tương quan của EPU với các khoản dự phòng rủi ro cho vay và các khoản nợ xấu bị ảnh hưởng bởi các đặc điểm khu vực.
Tính mới/giá trị – Nghiên cứu này là nghiên cứu đầu tiên phân tích mối liên hệ của EPU với các khoản nợ xấu của ngân hàng và các khoản dự phòng rủi ro cho vay theo các phân loại khu vực như EU, các nước không thuộc EU và G7. Nghiên cứu này cung cấp cái nhìn sâu sắc về sự khác biệt giữa các khu vực có thể giải thích sự đồng vận động của EPU với các khoản nợ xấu của ngân hàng và các khoản dự phòng rủi ro cho vay.
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Economic policy uncertainty, bank nonperforming loans and loan loss provisions: are they correlated?
Abstract:
Purpose
This paper examines the correlation of economic policy uncertainty (EPU) with nonperforming loans and loan loss provisions for 22 major developed countries over the 2008–2017 period.
Design/methodology/approach
The study used the Pearson correlation methodology to assess the correlation between EPU, bank nonperforming loans and loan loss provisions.
Findings
The findings reveal that EPU is negatively correlated with nonperforming loans and loan loss provisions in the banking sector of EU countries but not for non-EU countries. Also, EPU is negatively correlated with nonperforming loans in the banking sector of the most advanced economies – the G7 countries, while loan loss provisions are more responsive to changes in EPU than NPLs in EU countries.
Practical implications
The implication of the findings is that the correlation of EPU with loan loss provisions and nonperforming loans is influenced by regional characteristics.
Originality/value
This study is the first to analyze the association of EPU with bank nonperforming loans and loan loss provisions under regional classifications such as the EU, non-EU and the G7 countries. This study provides insights on how regional differences might explain the co-movement of EPU with bank nonperforming loans and loan loss provisions.