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Table 11 Robustness results III

From: Does country risk impact the banking sectors’ non-performing loans? Evidence from BRICS emerging economies

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

  1. * and **Denote 1% and 5% statistical significance levels, correspondingly