Determinantes de la morosidad bancaria en una economía dolarizada. El caso uruguayo

Martín Vallcorba () and Javier Delgado
Additional contact information
Martín Vallcorba: Banco Central del Uruguay

No 722, Working Papers from Banco de España

Abstract: This paper examines the determinants of the non-performing loans ratio of Uruguayan banks and studies the existence of cointegration relationships between this ratio and a set of macroeconomic variables. Authors find evidence of the existence of a relationship between non-performing loans ratio, variation of wages measured in dollars and interest rates. The paper concludes that lower wages and higher rates lead to a higher default ratio in the long term. This conclusion emphasizes the importance of the exchange-rate risk over the credit risk in such economies with dollarized banking systems. The estimated model is then used to simulate the effects of several hypothetical stress scenarios on defaulted loans ratio. As a result of this exercise, the paper concludes that the Uruguayan banking system presents nowadays a more solid position than during the period before the 2002 crisis.

Keywords: morosidad; dolarización; cointegración; Uruguay (search for similar items in EconPapers)
JEL-codes: E32 E44 G21 (search for similar items in EconPapers)
Pages: 45 pages
Date: 2007-07
New Economics Papers: this item is included in nep-ban and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.bde.es/f/webbde/SES/Secciones/Publicaci ... jo/07/Fic/dt0722.pdf First spanish version, July 2007 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:0722

Access Statistics for this paper

More papers in Working Papers from Banco de España Contact information at EDIRC.
Bibliographic data for series maintained by Ángel Rodríguez. Electronic Dissemination of Information Unit. Research Department. Banco de España ().