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Macroeconomic determinants of the credit risk in the banking system: The case of the GIPSI

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  • Castro, Vítor

Abstract

In this paper, we analyze the link between the macroeconomic developments and the banking credit risk in a particular group of countries – Greece, Ireland, Portugal, Spain and Italy (GIPSI) – recently affected by unfavourable economic and financial conditions.

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  • Castro, Vítor, 2013. "Macroeconomic determinants of the credit risk in the banking system: The case of the GIPSI," Economic Modelling, Elsevier, vol. 31(C), pages 672-683.
    • Handle: RePEc:eee:ecmode:v:31:y:2013:i:c:p:672-683
    DOI: 10.1016/j.econmod.2013.01.027
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    More about this item

    Keywords

    Credit risk; Macroeconomic factors; Banking system; GIPSI; Panel data;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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