Assessing the Sectoral Dynamics of Non-performing Loans: Signs from Financial and Real Economy
The paper is an attempt at studying the mechanisms whereby the economic activity dynamics and money market conditions affect the developments in nonperforming loan ratio across the main activity sectors, namely agriculture, industry, commerce and constructions. The default rates are modeled both on...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2012-02-01
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| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: |
http://store.ectap.ro/articole/690.pdf
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| Summary: | The paper is an attempt at studying the mechanisms
whereby the economic activity dynamics and money market conditions
affect the developments in nonperforming loan ratio across the main
activity sectors, namely agriculture, industry, commerce and
constructions. The default rates are modeled both on the basis of a linear
approach and via a logistic function, starting from the methodological
solution of the reputed conditional risk model referred to as Credit
Portfolio View. The robustness of the analytical framework is ensured by
applying SUR estimation method for simultaneous systems of equations in
combination with that of autoregressive vectors. The empirical analysis is
based on unique set of quarterly data, which allows for assessing the
quality of non-financial companies loan repayment. The relevant
explanatory variables were used in various configurations and lags for
constructing several macroeconomic credit risk models. |
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| ISSN: | 1841-8678 1844-0029 |