Analysis of macroeconomic determinants of non-performance in consumer and mortgage loans

David Cortés and Pilar Soriano

Finance Research Letters, 2024, vol. 61, issue C

Abstract: We investigate the macroeconomic determinants of non-performing loans (NPLs) in two dynamic unbalanced panels: consumer loans and mortgages, utilizing quarterly data for eight countries from 1992 to 2019. The article assesses which variables are key determinant factors, both in and out-of-sample, and whether they have the same impact in both portfolios. These variables are the lagged ratio of NPLs, credit level, real GDP, short-term real interest rates, real house price indices, and stock indices. We compare different econometric techniques applied to intermediate-sized panels and evaluate forecasting abilities. Results support pooled estimations, and mortgages exhibit higher sensitivities and better forecasting performance.

Keywords: Non-performing loans; Banking system; Macroeconomic determinants; Dynamic panel data (search for similar items in EconPapers)
JEL-codes: C23 G21 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323013119

DOI: 10.1016/j.frl.2023.104939

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