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

Dung Tran and Sy-Hoa Ho

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: Bank diversification; Non-performing loan; Panel Granger-causality (search for similar items in EconPapers)
JEL-codes: G21 G28 G34 (search for similar items in EconPapers)
Date: 2019-01-16
New Economics Papers: this item is included in nep-ban and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:98186

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