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Analysis of macroeconomic determinants of non-performance in consumer and mortgage loans

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  • Cortés, David
  • Soriano, Pilar

Abstract

We investigate the macroeconomic determinants of non-performing loans (NPLs) in two dynamic unbalanced panels: consumer loans and mortgages, utilizing quarterly data for eight countries from 1992 to 2019. The article assesses which variables are key determinant factors, both in and out-of-sample, and whether they have the same impact in both portfolios. These variables are the lagged ratio of NPLs, credit level, real GDP, short-term real interest rates, real house price indices, and stock indices. We compare different econometric techniques applied to intermediate-sized panels and evaluate forecasting abilities. Results support pooled estimations, and mortgages exhibit higher sensitivities and better forecasting performance.

Suggested Citation

  • Cortés, David & Soriano, Pilar, 2024. "Analysis of macroeconomic determinants of non-performance in consumer and mortgage loans," Finance Research Letters, Elsevier, vol. 61(C).
    • Handle: RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323013119
    DOI: 10.1016/j.frl.2023.104939
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    More about this item

    Keywords

    Non-performing loans; Banking system; Macroeconomic determinants; Dynamic panel data;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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