Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/23368

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 date2013
PublisherElsevier
JournalEconomic Modelling
Abstract(s)In this paper, we analyze 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. Employing dynamic panel data approaches to thesefive 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 and housing 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. The findings of this paper indicate that all policy measures that can be implemented to promote growth, employment, productivity and competitiveness and to reduce external and public debt in these countries are fundamental to stabilize their economies.
TypeArticle
URIhttp://hdl.handle.net/1822/23368
DOI10.1016/j.econmod.2013.01.027
ISSN0264-9993
Publisher versionhttp://www.sciencedirect.com/science/article/pii/S0264999313000308#
Peer-Reviewedyes
AccessRestricted access (UMinho)
Appears in Collections:NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica

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