Does diversification affect the quality of loan portfolio?Panel Granger-causality evidence from US banks

This paper investigates the direction of causality between bank business model and the quality of loan portfolio using a large sample of US banks. We employ the panel causality testing approach, developed by Dumitrescu and Hurlin (2012), and new technique of optimal lag selection of Hans et al (2017). Empirical results show that there is evidence of two-way causality between diversification and non-performing loans.

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Year of publication:	2019-01-16
Authors:	Tran, Dung Viet ; Ho, Sy-Hoa

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Tran, Dung Viet and Ho, Sy-Hoa (2019): Does diversification affect the quality of loan portfolio?Panel Granger-causality evidence from US banks.
Classification:	G21 - Banks; Other Depository Institutions; Mortgages ; G28 - Government Policy and Regulation ; G34 - Mergers; Acquisitions; Restructuring; Corporate Governance
Source:	BASE

Persistent link: https://www.econbiz.de/10015266278