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Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies
Open accessAbstract
We analyze the link between nonperforming loans (NPL) and macroeconomic performance using two complementary approaches. First, we investigate the macroeconomic determinants of NPL in panel regressions and confirm that adverse macroeconomic developments are associated with rising NPL. Second, we investigate the feedback between NPL and its macroeconomic determinants in a panel vector autoregressive (PVAR) model. The impulse response functions (IRFs) attribute to NPL a central role in the linkages between credit market frictions and macrofinancial vulnerability. They suggest that a sharp increase in NPL triggers long-lived tailwinds that cripple macroeconomic performance from several fronts.
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Cites
Testing for unit roots in heterogeneous panels
Im, K. S., Pesaran, M. H., & Shin, Y. (2003) · Journal of Econometrics · doi:10.1016/s0304-4076(03)00092-7 · Cited by 15,435
Hsiao, C. (2014) · doi:10.1017/cbo9781139839327 · Cited by 7,869
Agency Costs, Net Worth, And Business Fluctuations
Bernanke, B., Gertler, M., Bernanke, B., & Gertler, M. (1988) · Unknown · doi:10.22004/ag.econ.292693 · Cited by 4,386
Estimating dynamic panel data models: a guide for macroeconomists
Judson, R. A., & Owen, A. L. (1999) · Economics Letters · doi:10.1016/s0165-1765(99)00130-5 · Cited by 2,171
Cited by
Louzis, D. P., Vouldis, A. T., & Metaxas, V. L. (2012) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2011.10.012 · Cited by 1,289
Macroeconomic determinants of the credit risk in the banking system: The case of the GIPSI
Castro, V. (2013) · Economic Modelling · doi:10.1016/j.econmod.2013.01.027 · Cited by 377
Key Determinants of Non-performing Loans: New Evidence from a Global Sample
Beck, R., Jakubik, P., & Piloiu, A. (2015) · Open Economies Review · doi:10.1007/s11079-015-9358-8 · Cited by 317
Metadata
- Authors
- Nkusu, M.
- Venue
- IMF Working Papers
- Publisher
- International Monetary Fund (IMF)
- Published
- 2011-07
- Volume
- 2011
- Issue
- 161
- Pages
- 1
- ISSN
- 1018-5941 (ISSN-L)
- OpenAlex
- W2953803312
- Cited by
- 413
- References
- 4
- FWCI
- 25.51
- Type
- journal article
- Language
- en
- Open access
- bronze
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
