Sustainable Visual Analysis for Bank Non-Performing Loans and Government Debt Distress

Abstract

This article visualizes bank non-performing loans (NPLs) and government debt distress data integration and an outcome classification after the outbreak of European sovereign debt. Linear and functional principal component analysis (FPCA) and biclustering are used to show the clustering pattern of NPLs and government debt for 25 EU and BRICS countries (Brazil, Russia, India, China and South Africa) during the period of 2006 to 2017 through high-dimensional visualizations. The results demonstrate that the government debt markets of EU countries experienced a similar trend in terms of NPLs, with a similar size of NPLs across debt markets. Through visualization, we find that the government debt and NPLs of EU and BRICS countries increased drastically after the crisis, and crisis countries are contagious. However, the impact of the Greek debt crisis is lower for non-crisis countries, because the debt markets of these countries are decoupled from the Greek market. We also find that sovereign debtors in the EU countries have much closer fiscal linkages than BRICS countries. The level of crisis in the EU countries will be higher than that in the BRICS countries if crisis is driven by the common shocks of macroeconomic fundamentals.

The impact of covid-19 pandemic on credit financing of microenterprises and farmer business activity in Poland

“…Moreover, we show that COVID-19 has triggered the growth of the number of banking loans at risk. It is in line with Ertas et al (2021) and Liu et al (2020), who observed the increase in the share of non-performing loans during crisis periods.…”

“…Despite government assistance programs, due to the accumulating financial problems of enterprises, we assume an increase in the number and value of non-performing loans in the aftermath of the COVID-19 pandemic (Ertaş et al, 2021;Liu et al, 2020). We put forward the following research hypothesis.…”

“…Ertas et al (Ertaş et al, 2021), based on the data about Turkish enterprises, show that entrepreneurs face difficulties in repaying and recovering loans during crisis periods. Liu et al (2020) also reveal that non-performing loans of EU and BRICS countries have substantially increased after the global financial crisis 2008-2009. Our contribution is that we are the first to examine the impact of COVID-19 on the market of loans granted to micro-entrepreneurs and farmers. We emphasise that we examine not only the change in the number and value of the investment and working capital loans but also crucial credit indicators, including loan enquiries and the share of non-performing loans, measured by the DPD90 ratio.…”

Analysis of Tail Dependence between Sovereign Debt Distress and Bank Non-Performing Loans

“…Empirical evidence shows that the impact of sovereign debt ratio on bank non-performing loans varies across countries. Liu et al find that the government debt and NPLs of EU and BRICS countries increased drastically after the crisis, and crisis countries are contagious [30].…”