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Contagious loan default

Jann Goedecke

Economics Letters, 2018, vol. 170, issue C, 14-18

Abstract: Applying survival analysis to a large loan-level dataset for regulatory purposes on group loans provided by Mexican banks, I find that ex-post credit risk is subject to substantial geographic spillover effects. Potential underlying mechanisms include contagious defaulting behavior, which bears the risk of proliferating into a repayment crisis in the event of an economic or political shock, as experiences from similar markets suggest.

Keywords: Credit risk; Repayment crisis; Geographic spillovers; Survival analysis; Microfinance; Mexico (search for similar items in EconPapers)
JEL-codes: G1 G21 G28 C14 (search for similar items in EconPapers)
Date: 2018
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