Macroeconomic determinants of the credit risk in the banking system: The case of the GIPSI
Vitor Castro
No 11/2012, NIPE Working Papers from NIPE - Universidade do Minho
Abstract:
In this paper, we analyse the link between the macroeconomic developments and the banking credit risk in a particular group of countries – Greece, Ireland, Portugal, Spain and Italy (GIPSI) – recently affected by unfavourable economic and financial conditions and to which, on this matter, the literature has not given a particular attention yet. Employing dynamic panel data approaches to these five countries over the period 1997q1-2011q3, we conclude that the banking credit risk is significantly affected by the macroeconomic environment: the credit risk increases when GDP growth and the share price indices decrease and rises when the unemployment rate, interest rate, and credit growth increase; it is also positively affected by an appreciation of the real exchange rate; moreover, we observe a substantial increase in the credit risk during the recent financial crisis period. Several robustness tests with different estimators have also confirmed these results.
Keywords: Credit risk; Macroeconomic factors; Banking system; GIPSI; Panel data (search for similar items in EconPapers)
JEL-codes: C23 F41 G21 (search for similar items in EconPapers)
Date: 2012
New Economics Papers: this item is included in nep-ban, nep-cba and nep-eec
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Citations: View citations in EconPapers (14)
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Related works:
Journal Article: Macroeconomic determinants of the credit risk in the banking system: The case of the GIPSI (2013) 
Working Paper: Macroeconomic Determinants of the Credit Risk in the Banking System: The Case of the GIPSI (2013) 
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