Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/20444
Título: | Macroeconomic determinants of the credit risk in the banking system : the case of the GIPSI |
Autor(es): | Castro, Vítor |
Palavras-chave: | Credit risk Macroeconomic factors Banking system GIPSI Panel data |
Data: | 16-Out-2012 |
Editora: | Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) |
Resumo(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. |
Tipo: | Documento de trabalho |
URI: | https://hdl.handle.net/1822/20444 |
Versão da editora: | http://www3.eeg.uminho.pt/ |
Arbitragem científica: | no |
Acesso: | Acesso aberto |
Aparece nas coleções: | NIPE - Documentos de Trabalho |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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NIPE_WP_11_2012.pdf | Macroeconomic determinants of the credit risk in the banking system: The case of the GIPSI | 595,49 kB | Adobe PDF | Ver/Abrir |