Convergence in non-performing loans across EU banks: The role of COVID-19

Figures & data

Table 1. Convergence results: NPLs

Panel A 2016:1–2020:2	Countries	b-Coefficient	t-Statistic	Speed of adjustment (|b/2|)
Full Sample	All EU27 banks	−1.478	−22.619
First Club	Belgium, France, Germany, Ireland, Italy, Spain	1.648	5.924	0.824
Second Club	Austria, Czech Rep., Denmark, Estonia, Finland, Latvia, Lithuania, Luxembourg, Malta, Netherlands, Slovak Rep., Slovenia, UK	0.784	10.773	0.392
Third Club	Bulgaria, Croatia, Cyprus, Greece, Hungary, Poland, Portugal, Romania	0.175	2.415	0.0875
Panel B 2020:3–2021:3	Countries	b-Coefficient	t-Statistic	Speed of adjustment (|b/2|)
Full Sample	All EU27 banks	−1.206	−16.053
First Club	France, Germany, UK	1.884	6.418	0.942
Second Club	Austria, Denmark, Estonia, Finland, Latvia, Lithuania, Luxembourg, Malta, Netherlands	0.994	8.962
Third Club	Bulgaria, Croatia, Cyprus, Greece, Hungary, Poland, Portugal, Romania	0.259	2.038	0.497
Fourth Club	Belgium, Czech Rep., Ireland, Slovak Rep., Slovenia	1.007	3.289	0.130 0.0035
Fifth Club	Italy, Spain	1.447	9.063	0.724

Critical value = −1.67.

Table 2. Club-merging convergence

Club	b-Coefficient	t-Statistic
Panel A 2016:1–2020:2
Club 1 + 2	13.046	0.00
Club 2 + 3	10.598	0.00
Panel B 2020:3–2021:3
Club 1 + 2	11.921	0.00
Club 2 + 3	10.362	0.00
Club 3 + 4	12.448	0.00
Club 4 + 5	9.863	0.00

Table 3. Order logit estimates

Variables	Coefficient	p-value
2016:1–2020:2
real GDP	0.348***	0.00
10-yr bond yield	−0.124**	0.03
judicial efficiency	0.209***	0.01
ROA	0.158**	0.03
capitalization	0.196**	0.02
risk	−0.147**	0.03
loans	0.106**	0.04
2020:3–2021:3
real GDP	0.501***	0.00
10-yr bond yield	−0.152**	0.03
judicial efficiency	0.196***	0.01
ROA	0.226**	0.02
capitalization	0.191**	0.02
risk	−0.325***	0.00
loans	0.137**	0.03

**: p ≤ 0.05; ***: p ≤ 0.01.