Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/20444

TitleMacroeconomic determinants of the credit risk in the banking system : the case of the GIPSI
Author(s)Castro, Vítor
KeywordsCredit risk
Macroeconomic factors
Banking system
GIPSI
Panel data
Issue date16-Oct-2012
PublisherUniversidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
Abstract(s)In this paper, we analyse the link between the macroeconomic developments and the banking credit risk in a particular group of countries – Greece, Ireland, Portugal, Spain and Italy (GIPSI) – recently affected by unfavourable economic and financial conditions and to which, on this matter, the literature has not given a particular attention yet. Employing dynamic panel data approaches to these five countries over the period 1997q1-2011q3, we conclude that the banking credit risk is significantly affected by the macroeconomic environment: the credit risk increases when GDP growth and the share price indices decrease and rises when the unemployment rate, interest rate, and credit growth increase; it is also positively affected by an appreciation of the real exchange rate; moreover, we observe a substantial increase in the credit risk during the recent financial crisis period. Several robustness tests with different estimators have also confirmed these results.
TypeWorking paper
URIhttp://hdl.handle.net/1822/20444
Publisher versionhttp://www3.eeg.uminho.pt/
Peer-Reviewedno
AccessOpen access
Appears in Collections:NIPE - Documentos de Trabalho

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