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Macro-Financial Linkages and Heterogeneous Non-Performing Loans Projections
Francesco GrigoliMr.Mario MansillaMartín Saldías
其他書名
An Application to Ecuador
出版International Monetary Fund, 2016-12-07
主題Business & Economics / Industries / Financial ServicesBusiness & Economics / Banks & BankingBusiness & Economics / Money & Monetary Policy
ISBN14755593809781475559385
URLhttp://books.google.com.hk/books?id=4mQmDgAAQBAJ&hl=&source=gbs_api
EBookSAMPLE
註釋We propose a stress testing framework of credit risk, which analyzes macro-financial linkages, generate consistent forecasts of macro-financial variables, and projects NPL on the basis of such forecasts. Economic contractions are generally associated with increases in non-performing loans (NPL). However, despite the common assumption used in the empirical literature of homogenous 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.