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This paper investigates the determinants of the stocks and flows (both in- and outflows) of nonperforming loans (NPLs) by considering a bank-specific factor that is not adequately analysed in the literature, namely, bank capital buffers. Using unbalanced panel data with 6,087 bank-year observations for the 2006–2018 period and a two-step system generalised method of moments (GMM) estimation, we find that banks with higher levels of capital buffers (both in terms of Tier 1 and total capital) have fewer NPL stocks and generate fewer NPL inflows. When we control for the characteristics of the loan portfolio, real guarantees collected by the bank increase the stocks and flows of new, impaired loans, while personal guarantees favour the outflow of bad loans.

La recente pandemia, la crisi finanziaria e del debito sovrano hanno dimostrato quanto sia importante monitorare il rischio sistemico. Infatti, banche efficienti favoriscono la crescita e l’economia reale. In questo contesto, la minimizzazione dei costi di agenzia è una condizione necessaria per lo sviluppo e la stabilità del sistema bancario, in modo da garantire una più corretta allocazione delle risorse finanziarie. Utilizzando un campione europeo sulla struttura proprietaria delle banche, il seguente articolo si pone un duplice obiettivo: studiare la relazione tra il rischio sistemico e l’assetto azionario della banca e identificare il canale attraverso cui tale relazione si manifesta. Coerentemente con la teoria dei costi di agenzia, i risultati ottenuti suggeriscono che una struttura azionaria più concentrata si associa a un minor livello di rischio sistemico, mentre il rischio di credito rappresenta il principale canale attraverso cui la struttura proprietaria influenza il rischio sistemico delle banche europee.

This article empirically verifies the existence of a connection between the relationship-oriented model and the quality of the loan portfolio, by using alternative risk measures to previous studies. Consistently with earlier literature, bank size, distance and intensity of labour are used as proxies for the relationship lending model. The main results demonstrate that the relationship lending variables are all significant contributory factors to the loan portfolio quality. Robustness tests, conducted using intermediate risk measures (Doubtful Loan Rate (DLR), Past Due Loan Rate (PDLR)), confirm the results. Our findings are consistent with the relationship lending literature, but we extend to Default Rate (DR) measurement, a new role in terms of a banking model to create loans and manage credit risk. Finally, banking literature can take advantage of the DR indicator as a proxy for the quality of loan portfolio, and we consider its strong relationship to the intermediation model chosen. © 2013 Copyright Taylor and Francis Group, LLC.

Weather derivatives market: The Italian case

How is bank performance affected by functional distance?