Publicação
Macroeconomic determinants of the credit risk in the banking system : the case of the GIPSI
| Resumo: | 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. |
|---|---|
| Autores principais: | Castro, Vítor |
| Assunto: | Credit risk Macroeconomic factors Banking system GIPSI Panel data |
| Ano: | 2012 |
| País: | Portugal |
| Tipo de documento: | working paper |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade do Minho |
| Idioma: | inglês |
| Origem: | RepositóriUM - Universidade do Minho |
| _version_ | 1867439246209449984 |
|---|---|
| author | Castro, Vítor |
| author_facet | Castro, Vítor |
| author_role | author |
| contributor_name_str_mv | RepositóriUM - Universidade do Minho |
| country_str | PT |
| creators_json_txt | [{\"Person.name\":\"Castro, Vítor\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | RepositóriUM - Universidade do Minho |
| datacite.creators.creator.creatorName.fl_str_mv | Castro, Vítor |
| datacite.date.Accepted.fl_str_mv | 2012-10-16T00:00:00Z |
| datacite.date.available.fl_str_mv | 2012-10-16T15:44:15Z |
| datacite.date.embargoed.fl_str_mv | 2012-10-16T15:44:15Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| datacite.subjects.subject.fl_str_mv | Credit risk Macroeconomic factors Banking system GIPSI Panel data |
| datacite.titles.title.fl_str_mv | Macroeconomic determinants of the credit risk in the banking system : the case of the GIPSI |
| dc.contributor.none.fl_str_mv | RepositóriUM - Universidade do Minho |
| dc.creator.none.fl_str_mv | Castro, Vítor |
| dc.date.Accepted.fl_str_mv | 2012-10-16T00:00:00Z |
| dc.date.available.fl_str_mv | 2012-10-16T15:44:15Z |
| dc.date.embargoed.fl_str_mv | 2012-10-16T15:44:15Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | https://hdl.handle.net/1822/20444 |
| dc.language.none.fl_str_mv | eng |
| dc.publisher.none.fl_str_mv | Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| dc.subject.none.fl_str_mv | Credit risk Macroeconomic factors Banking system GIPSI Panel data |
| dc.title.fl_str_mv | Macroeconomic determinants of the credit risk in the banking system : the case of the GIPSI |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_8042 |
| description | 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. |
| dirty | 0 |
| eu_rights_str_mv | openAccess |
| format | workingPaper |
| fulltext.url.fl_str_mv | https://repositorium.uminho.pt/bitstreams/0f6613bc-dbcf-461c-b6e6-b7ffa7f88ff6/download |
| id | rum_15edebd5c765933fc9fedaea4ef22c19 |
| identifier.url.fl_str_mv | https://hdl.handle.net/1822/20444 |
| instacron_str | repositorium |
| institution | Universidade do Minho |
| instname_str | Universidade do Minho |
| language | eng |
| network_acronym_str | rum |
| network_name_str | RepositóriUM - Universidade do Minho |
| oai_identifier_str | oai:repositorium.uminho.pt:1822/20444 |
| organization_str_mv | urn:organizationAcronym:repositorium |
| person_str_mv | Castro, Vítor |
| publishDate | 2012 |
| publisher.none.fl_str_mv | Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) |
| reponame_str | RepositóriUM - Universidade do Minho |
| repository_id_str | urn:repositoryAcronym:rum |
| service_str_mv | urn:repositoryAcronym:rum |
| spelling | engUniversidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)porIn 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.application/pdfporMacroeconomic determinants of the credit risk in the banking system : the case of the GIPSICastro, VítorHostingInstitutionOrganizationalRepositóriUM - Universidade do Minhoe-mailmailto:repositorium@usdb.uminho.ptrepositorium@usdb.uminho.pt2012-10-16T15:44:15Z2012-10-162012-10-16T00:00:00ZHandlehttps://hdl.handle.net/1822/20444http://purl.org/coar/access_right/c_abf2open accessCredit riskMacroeconomic factorsBanking systemGIPSIPanel data609785 bytesother research producthttp://purl.org/coar/resource_type/c_8042working paperhttp://purl.org/coar/access_right/c_abf2application/pdffulltexthttps://repositorium.uminho.pt/bitstreams/0f6613bc-dbcf-461c-b6e6-b7ffa7f88ff6/download |
| spellingShingle | Macroeconomic determinants of the credit risk in the banking system : the case of the GIPSI Castro, Vítor Credit risk Macroeconomic factors Banking system GIPSI Panel data |
| status | SINGLETON |
| subject.fl_str_mv | Credit risk Macroeconomic factors Banking system GIPSI Panel data |
| title | Macroeconomic determinants of the credit risk in the banking system : the case of the GIPSI |
| title_full | Macroeconomic determinants of the credit risk in the banking system : the case of the GIPSI |
| title_fullStr | Macroeconomic determinants of the credit risk in the banking system : the case of the GIPSI |
| title_full_unstemmed | Macroeconomic determinants of the credit risk in the banking system : the case of the GIPSI |
| title_short | Macroeconomic determinants of the credit risk in the banking system : the case of the GIPSI |
| title_sort | Macroeconomic determinants of the credit risk in the banking system : the case of the GIPSI |
| topic | Credit risk Macroeconomic factors Banking system GIPSI Panel data |
| topic_facet | Credit risk Macroeconomic factors Banking system GIPSI Panel data |
| url | https://hdl.handle.net/1822/20444 |
| visible | 1 |