Economics at your fingertips  

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
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

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:

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

Page updated 2020-01-08
Handle: RePEc:eee:ecolet:v:170:y:2018:i:c:p:14-18