Economics at your fingertips  

Bank non-performing loans cyclical analysis and econometric modelling for economic activity in 1999-2013

Marlon Yong Chacón and Kerry Loaiza Marín ()

Revista de Ciencias Económicas, 2016, vol. 34, issue 1

Abstract: We looked for the effect of the fundamental macroeconomic variables (interest rates, exchange rate, production and price level) on the magnitude of bank non-performing loans in Costa Rica, for the period of January 1999 to November 2013. We did a cyclical analysis with the Hodrick-Prescott Filter and econometric modelling with Panel Data, on non-performing loans for its term and economic activity for the entire National Financial System, public and private banks, because they have the bigger proportion of credit given in the nation. The economic activities chosen were: i) agriculture, ii) commerce, iii) construction, iv) consumption, v) industry, vi) services; in the fact that this activities represent the biggest proportion of the credit given to the private sector. There was evidence of a differentiated behavior of non-performing loans depending of its term, time horizon and economic activity, even in its aggregation in the entire System, public and private banks.

Keywords: Economic and financial cycle; hodrick-prescott filter; cycle persistency and volatility; panel data; Ciclo económico y financiero; filtro hodrick-prescott; persistencia y volatilidad cíclica; datos de panel (search for similar items in EconPapers)
JEL-codes: A (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (application/pdf)

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

Revista de Ciencias Económicas is currently edited by Fabricio Marín Rodríguez

More articles in Revista de Ciencias Económicas from Instituto de Investigaciones en Ciencias Económicas, Universidad de Costa Rica Contact information at EDIRC.
Bibliographic data for series maintained by Luis J. Hall ().

Page updated 2022-11-20
Handle: RePEc:rce:rvceco:25302