05480oam 22013454 450 991016294350332120230808201442.01-4755-5938-01-4755-6969-6(CKB)3710000001045039(MiAaPQ)EBC4800303(IMF)WPIEA2016236(EXLCZ)99371000000104503920020129d2016 uf 0engurcnu||||||||rdacontentrdamediardacarrierMacro-Financial Linkages and Heterogeneous Non-Performing Loans Projections : An Application to Ecuador /Francesco Grigoli, Mario Mansilla, Martín SaldíasWashington, D.C. :International Monetary Fund,2016.1 online resource (29 pages) illustrations, tablesIMF Working Papers1-4755-5934-8 Includes bibliographical references.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.IMF Working Papers; Working Paper ;No. 2016/236Bank loansCreditEcuadorEconomic forecastingEcuadorBanks and BankingimfEconometricsimfMacroeconomicsimfMoney and Monetary PolicyimfIndustries: Financial ServicesimfForecasting and Other Model ApplicationsimfFinancial Markets and the MacroeconomyimfBanksimfDepository InstitutionsimfMicro Finance InstitutionsimfMortgagesimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfEnergy: Demand and SupplyimfPricesimfTime-Series ModelsimfDynamic Quantile RegressionsimfDynamic Treatment Effect ModelsimfDiffusion ProcessesimfFinancial CrisesimfFinanceimfBankingimfMonetary economicsimfEconometrics & economic statisticsimfEconomic & financial crises & disastersimfNonperforming loansimfCreditimfOil pricesimfVector autoregressionimfFinancial institutionsimfMoneyimfEconometric analysisimfGlobal financial crisis of 2008-2009imfFinancial crisesimfLoansimfBanks and bankingimfGlobal Financial Crisis, 2008-2009imfEcuadorimfBank loans.CreditEconomic forecastingBanks and BankingEconometricsMacroeconomicsMoney and Monetary PolicyIndustries: Financial ServicesForecasting and Other Model ApplicationsFinancial Markets and the MacroeconomyBanksDepository InstitutionsMicro Finance InstitutionsMortgagesMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralEnergy: Demand and SupplyPricesTime-Series ModelsDynamic Quantile RegressionsDynamic Treatment Effect ModelsDiffusion ProcessesFinancial CrisesFinanceBankingMonetary economicsEconometrics & economic statisticsEconomic & financial crises & disastersNonperforming loansCreditOil pricesVector autoregressionFinancial institutionsMoneyEconometric analysisGlobal financial crisis of 2008-2009Financial crisesLoansBanks and bankingGlobal Financial Crisis, 2008-2009332.1753Grigoli Francesco1127643Mansilla Mario1117599Saldías Martín1450952DcWaIMFBOOK9910162943503321Macro-Financial Linkages and Heterogeneous Non-Performing Loans Projections3650695UNINA