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

authors

  • CORTES SANCHEZ, DAVID
  • SORIANO, PILAR

publication date

  • March 2024

volume

  • 61

International Standard Serial Number (ISSN)

  • 1544-6123

Electronic International Standard Serial Number (EISSN)

  • 1544-6131

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

subjects

  • Economics

keywords

  • non-performing loans; banking system; macroeconomic determinants; dynamic panel data