JACIII Vol.21 No.6 pp. 1094-1101
doi: 10.20965/jaciii.2017.p1094


Comparison of International Differences in the Volatility of Economic Growth and Non-Performing Loan Ratio: A Statistical Study Based on the Quantile Regression Model

Song Qin*,** and Zhenlei Wang***

*Taizhou University
Taizhou 318000, China

**Huazhong University of Science and Technology
Wuhan 430074, China

***Hangzhou Dianzi University
Hangzhou 315000, China

December 27, 2016
May 2, 2017
October 20, 2017
quantile regression, economic growth, non-performing loan ratio

What is the level of non-performing loans in China’s banking sector and in different countries? Has the relationship between economic growth and the non-performing loan ratio changed? Is there a difference in the effect of the economic growth of different economies on the rate of non-performing loans in the banking sector? This study analyzes the relationship between economic growth and the non-performing loan ratios and characteristics of 13 countries from 2005-2014 based on quantile regression models with panel data. The results showed that the relationship between economic growth and the non-performing loan ratio was positive before the financial crisis in 2008 but was negative after 2008. The non-performing loan ratio in Canada, Mexico, and the US was low before 2008 and high after 2008. The impact of economic growth on the non-performing loan ratio was more significant for countries with a high non-performing loan ratio than for countries with a low non-performing loan ratio.

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Last updated on Dec. 12, 2017