Joint effect of financial fragility and macroeconomic shocks on bank loan losses: Evidence from Europe
AbstractA reduced-form model including nonlinearities is estimated from pooled data from nine European countries during 1982-2004 to show the effects of macroeconomic shocks and financial fragility on bank loan losses. The main ingredients of the model are unanticipated-output and interest-rate shocks estimated from published macroeconomic and naïve forecasts. The model fits the data well, capturing the extremely high levels of loan losses witnessed in different financial crises.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Banking & Finance.
Volume (Year): 35 (2011)
Issue (Month): 11 (November)
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Web page: http://www.elsevier.com/locate/jbf
Financial fragility Macroeconomic shock Joint effect Loan loss;
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