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Corporate loan duration, macroeconomic environments, and COVID-19

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  • Kim, Dongwoo

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.

Suggested Citation

  • Kim, Dongwoo, 2024. "Corporate loan duration, macroeconomic environments, and COVID-19," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 1088-1103.
    • Handle: RePEc:eee:reveco:v:93:y:2024:i:pb:p:1088-1103
    DOI: 10.1016/j.iref.2024.04.033
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    More about this item

    Keywords

    Firm–bank relationship; Loan termination; Variable importance; Macroeconomic factors; Random survival forests;
    All these keywords.

    JEL classification:

    • C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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