Joint effect of financial fragility and macroeconomic shocks on bank loan losses: Evidence from Europe

Jarmo Pesola

Journal of Banking & Finance, 2011, vol. 35, issue 11, 3134-3144

Abstract: A reduced-form model including nonlinearities is estimated from pooled data from nine European countries during 1982-2004 to show the effects of macroeconomic shocks and financial fragility on bank loan losses. The main ingredients of the model are unanticipated-output and interest-rate shocks estimated from published macroeconomic and naïve forecasts. The model fits the data well, capturing the extremely high levels of loan losses witnessed in different financial crises.

Keywords: Financial; fragility; Macroeconomic; shock; Joint; effect; Loan; loss (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:35:y:2011:i:11:p:3134-3144

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