LEADER 05480oam 22013454 450 001 9910162943503321 005 20230808201442.0 010 $a1-4755-5938-0 010 $a1-4755-6969-6 035 $a(CKB)3710000001045039 035 $a(MiAaPQ)EBC4800303 035 $a(IMF)WPIEA2016236 035 $a(EXLCZ)993710000001045039 100 $a20020129d2016 uf 0 101 0 $aeng 135 $aurcnu|||||||| 181 $2rdacontent 182 $2rdamedia 183 $2rdacarrier 200 10$aMacro-Financial Linkages and Heterogeneous Non-Performing Loans Projections : $eAn Application to Ecuador /$fFrancesco Grigoli, Mario Mansilla, Martín Saldías 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2016. 215 $a1 online resource (29 pages) $cillustrations, tables 225 1 $aIMF Working Papers 311 $a1-4755-5934-8 320 $aIncludes bibliographical references. 330 3 $aWe propose a stress testing framework of credit risk, which analyzes macro-financial linkages, generates consistent forecasts of macro-financial variables, and projects non-performing loans (NPL) on the basis of such forecasts. Economic contractions are generally associated with increases in NPL. However, despite the common assumption used in the empirical literature of homogeneous impact across banks, the strength of this relationship is often bank-specific, and imposing homogeneity may lead to over or underestimating the resilience of the financial system to macroeconomic woes. Our approach accounts for banks? heterogeneous reaction to macro-financial shocks in a dynamic context and potential cross-sectional dependence across banks caused by common shocks. An application to Ecuador suggests that substantial heterogeneity is present and that this should be taken into account when trying to anticipate inflections in the quality of portfolio. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2016/236 606 $aBank loans 606 $aCredit$zEcuador 606 $aEconomic forecasting$zEcuador 606 $aBanks and Banking$2imf 606 $aEconometrics$2imf 606 $aMacroeconomics$2imf 606 $aMoney and Monetary Policy$2imf 606 $aIndustries: Financial Services$2imf 606 $aForecasting and Other Model Applications$2imf 606 $aFinancial Markets and the Macroeconomy$2imf 606 $aBanks$2imf 606 $aDepository Institutions$2imf 606 $aMicro Finance Institutions$2imf 606 $aMortgages$2imf 606 $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf 606 $aEnergy: Demand and Supply$2imf 606 $aPrices$2imf 606 $aTime-Series Models$2imf 606 $aDynamic Quantile Regressions$2imf 606 $aDynamic Treatment Effect Models$2imf 606 $aDiffusion Processes$2imf 606 $aFinancial Crises$2imf 606 $aFinance$2imf 606 $aBanking$2imf 606 $aMonetary economics$2imf 606 $aEconometrics & economic statistics$2imf 606 $aEconomic & financial crises & disasters$2imf 606 $aNonperforming loans$2imf 606 $aCredit$2imf 606 $aOil prices$2imf 606 $aVector autoregression$2imf 606 $aFinancial institutions$2imf 606 $aMoney$2imf 606 $aEconometric analysis$2imf 606 $aGlobal financial crisis of 2008-2009$2imf 606 $aFinancial crises$2imf 606 $aLoans$2imf 606 $aBanks and banking$2imf 606 $aGlobal Financial Crisis, 2008-2009$2imf 607 $aEcuador$2imf 615 0$aBank loans. 615 0$aCredit 615 0$aEconomic forecasting 615 7$aBanks and Banking 615 7$aEconometrics 615 7$aMacroeconomics 615 7$aMoney and Monetary Policy 615 7$aIndustries: Financial Services 615 7$aForecasting and Other Model Applications 615 7$aFinancial Markets and the Macroeconomy 615 7$aBanks 615 7$aDepository Institutions 615 7$aMicro Finance Institutions 615 7$aMortgages 615 7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General 615 7$aEnergy: Demand and Supply 615 7$aPrices 615 7$aTime-Series Models 615 7$aDynamic Quantile Regressions 615 7$aDynamic Treatment Effect Models 615 7$aDiffusion Processes 615 7$aFinancial Crises 615 7$aFinance 615 7$aBanking 615 7$aMonetary economics 615 7$aEconometrics & economic statistics 615 7$aEconomic & financial crises & disasters 615 7$aNonperforming loans 615 7$aCredit 615 7$aOil prices 615 7$aVector autoregression 615 7$aFinancial institutions 615 7$aMoney 615 7$aEconometric analysis 615 7$aGlobal financial crisis of 2008-2009 615 7$aFinancial crises 615 7$aLoans 615 7$aBanks and banking 615 7$aGlobal Financial Crisis, 2008-2009 676 $a332.1753 700 $aGrigoli$b Francesco$01127643 701 $aMansilla$b Mario$01117599 701 $aSaldías$b Martín$01450952 801 0$bDcWaIMF 906 $aBOOK 912 $a9910162943503321 996 $aMacro-Financial Linkages and Heterogeneous Non-Performing Loans Projections$93650695 997 $aUNINA