Corporate loan duration, macroeconomic environments, and COVID-19

Dongwoo Kim

International Review of Economics & Finance, 2024, vol. 93, issue PB, 1088-1103

Abstract: This study identifies the relative importance of certain factors in predicting firm–bank relationship termination, including during COVID-19. We perform a nonparametric random survival forest analysis of firm–bank relationships using 2009–2020 data of 1,214,995 unique bank loan balances of 587,977 Korean corporations. Macroeconomic factors, especially gross domestic product (GDP) growth rates and average lending rates, are more important in predicting the end of firm–bank relationships than firm- and bank-specific factors, especially during COVID-19. These factors’ contributions in predicting relationship termination vary over time. This study provides new implications for methodological extensions of firm–bank relationship studies.

Keywords: Firm–bank relationship; Loan termination; Variable importance; Macroeconomic factors; Random survival forests (search for similar items in EconPapers)
JEL-codes: C34 C41 G01 G21 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:93:y:2024:i:pb:p:1088-1103

DOI: 10.1016/j.iref.2024.04.033

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