Null hypothesis | F-statistics | [Prob. value] | Granger causality |
---|---|---|---|
Liquidity → Non-performing loans | 3.326* | [0.001] | Yes |
Capital regulation → Non-performing loans | 4.415* | [0.000] | Yes |
Profitability → Non-performing loans | 3.456* | [0.003] | Yes |
Inefficiency → Non-performing loans | 2.426** | [0.024] | Yes |
Income diversification → Non-performing loans | 4.326* | [0.001] | Yes |
Country risk index → Non-performing loans | 5.411** | [0.013] | Yes |
Political risk index → Non-performing loans | 4.165* | [0.001] | Yes |
Economic risk index → Non-performing loans | 4.353* | [0.000] | Yes |
Financial risk index → Non-performing loans | 3.435** | [0.032] | Yes |
Financial development → Non-performing loans | 4.465* | [0.003] | Yes |
Lending interest rate → Non-performing loans | 5.233* | [0.000] | Yes |
Global risk → Non-performing loans | 4.336* | [0.001] | Yes |