EconPapers    
Economics at your fingertips  
 

Credit Cycles, Credit Risk and Countercyclical Loan Provisions

Martha López (), Fernando Tenjo and Hector Zarate-Solano

Revista ESPE - Ensayos Sobre Política Económica, 2014, vol. 32, issue 74, 9-17

Abstract: In this paper we investigate the impact of rapid credit growth on ex ante credit risk. We present microeconometric evidence of the positive relationship between rapid credit growth and deterioration in lending portfolios: Loans granted during boom periods have higher probability of default than those granted during periods of slow credit growth. In addition, given their importance for macroprudential policy, we evaluate the effectiveness of the implementation of the countercyclical loan provisions. We find a negative relationship between the amplitude of credit cycles and this kind of macroprudential tool. ****** En este documento investigamos el impacto del rápido crecimiento del crédito sobre riesgo de crédito ex ante. Presentamos evidencia micro-econométrica de una relación positiva entre el rápido crecimiento del crédito y el deterioro de la calidad de la cartera de créditos: créditos que se otorgan durante períodos de auge tienen probabilidades de no pago más altas que aquellos otorgados en tiempos de más lento crecimiento del crédito. Adicionalmente, dada la importancia de las provisiones contra-cíclicas como política macro-prudencial, evaluamos su efectividad. Encontramos que existe una relación negativa entre la amplitud del ciclo del crédito y este tipo de instrumento.

Keywords: Ex ante credit risk; Credit cycles; Countercyclical provisioning (search for similar items in EconPapers)
JEL-codes: E32 E51 E60 G18 G21 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1016/S0120-4483(14)70024-7

Related works:
Journal Article: Credit Cycles, Credit Risk and Countercyclical Loan Provisions (2014) Downloads
Working Paper: Credit Cycles, Credit Risk and Countercyclical Loan Provisions (2013) Downloads
Working Paper: Credit Cycles, Credit Risk and Countercyclical Loan Provisions (2013) Downloads
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:col:000107:012392

Access Statistics for this article

More articles in Revista ESPE - Ensayos Sobre Política Económica from Banco de la República - ESPE
Bibliographic data for series maintained by Espe ().

 
Page updated 2022-09-05
Handle: RePEc:col:000107:012392