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Record Nr. |
UNINA9910162943503321 |
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Autore |
Grigoli Francesco |
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Titolo |
Macro-Financial Linkages and Heterogeneous Non-Performing Loans Projections : : An Application to Ecuador / / Francesco Grigoli, Mario Mansilla, Martín Saldías |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2016 |
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ISBN |
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1-4755-5938-0 |
1-4755-6969-6 |
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Descrizione fisica |
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1 online resource (29 pages) : illustrations, tables |
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Collana |
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Altri autori (Persone) |
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MansillaMario |
SaldíasMartín |
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Disciplina |
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Soggetti |
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Bank loans |
Credit - Ecuador |
Economic forecasting - Ecuador |
Banks and Banking |
Econometrics |
Macroeconomics |
Money and Monetary Policy |
Industries: Financial Services |
Forecasting and Other Model Applications |
Financial Markets and the Macroeconomy |
Banks |
Depository Institutions |
Micro Finance Institutions |
Mortgages |
Monetary Policy, Central Banking, and the Supply of Money and Credit: General |
Energy: Demand and Supply |
Prices |
Time-Series Models |
Dynamic Quantile Regressions |
Dynamic Treatment Effect Models |
Diffusion Processes |
Financial Crises |
Finance |
Banking |
Monetary economics |
Econometrics & economic statistics |
Economic & financial crises & disasters |
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Nonperforming loans |
Credit |
Oil prices |
Vector autoregression |
Financial institutions |
Money |
Econometric analysis |
Global financial crisis of 2008-2009 |
Financial crises |
Loans |
Banks and banking |
Global Financial Crisis, 2008-2009 |
Ecuador |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Nota di bibliografia |
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Includes bibliographical references. |
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Sommario/riassunto |
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We propose a stress testing framework of credit risk, which analyzes macro-financial linkages, generates consistent forecasts of macro-financial variables, and projects non-performing loans (NPL) on the basis of such forecasts. Economic contractions are generally associated with increases in NPL. However, despite the common assumption used in the empirical literature of homogeneous impact across banks, the strength of this relationship is often bank-specific, and imposing homogeneity may lead to over or underestimating the resilience of the financial system to macroeconomic woes. Our approach accounts for banks’ heterogeneous reaction to macro-financial shocks in a dynamic context and potential cross-sectional dependence across banks caused by common shocks. An application to Ecuador suggests that substantial heterogeneity is present and that this should be taken into account when trying to anticipate inflections in the quality of portfolio. |
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