Cost efficiency and non-performing loans: An application of the Granger causality test

The Impact of Provisioning Policies on Non-Performing Loans

The Central Bank has specific regulations, including asset classification guidelines and how to perform loan’s loss provisioning to oversee banks and credit institutions. The Central Bank seeks to improve the quality of the loan and reduce the amount of non-performing loans by reducing the revenues of the bank or credit institution through imposing fine on balance of each of the categories of n...

A Non-parametric Test for Granger Causality in Distribution with Application to Financial Contagion

This paper introduces a kernel-based non-parametric inferential procedure to test for Granger causality in distribution. This test is a multivariate extension of the kernel-based Granger causality test in tail event introduced by Hong, Liu, and Wang (2009). The main advantage of this test is its ability to examine a large number of lags, with higher-order lags discounted. In addition, our test ...

Resolution of Non-Performing Loans in China

Surrogate-based test for Granger causality

A novel approach for testing the presence of Granger causality between two time series is proposed. The residue of the destination signal after self-prediction is computed, after which a crossprediction of the source signal over this residue is examined. In the absence of causality, there should be no cross-predictive power, due to which the performance of the cross-prediction system can be use...

Dealing with non-performing loans of banks.PDF

A lot of confusion and misunderstanding has been created by several commentators on the issue of non-performing loans (NPLs) of banking system. They take the absolute amount of such loans at the current point of time and compare it with the quantum of such loans in October 1999 and make a hue and cry that the situation has deteriorated because the quantum of NPLs has gone up. Such a simplistic ...