Abstract
Using a Panel Smooth Transition Regression (PSTR) model, we find that the non-performing loans of banks with loans-to-deposit ratios surpassing the threshold value of 95% are significantly more sensitive to management performance and ownership concentration. Also, the impact of macroeconomic factors like unemployment or budget deficit is more pronounced, while the sensitivity to inflation decreases. This means that such low-liquid (risk-seeking) banks are a greater threat to banking system's stability and should be more closely monitored by regulators.
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