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Determinantes de la morosidad: Un estudio panel para el caso de las cajas municipales de ahorro y crédito del Perú, 2003-2010

Author

Listed:
  • Rodolfo Cermeño

    (Division of Economics, CIDE)

  • Janina León Castillo
  • Gloria Mantilla Varas

Abstract

In this paper we investigate empirically the determinants of credit default rates in the Peruvian system of Municipal Banks of Savings and Credit, using a dynamic fixed effects model with monthly data, over the period 2003-2010. We postulate that credit default rates are positively related to credit interest rates as well as the liquidity position and fund intermediation position, measured by the ratio of deposits to credits, of these credit institutions. On the other hand, credit default rates are negatively related to the growth rate of gross domestic product of the economy. We find that the aforementioned variables explain to a great extent the behavior of credit default rates.

Suggested Citation

  • Rodolfo Cermeño & Janina León Castillo & Gloria Mantilla Varas, 2011. "Determinantes de la morosidad: Un estudio panel para el caso de las cajas municipales de ahorro y crédito del Perú, 2003-2010," Working papers DTE 513, CIDE, División de Economía.
    • Handle: RePEc:emc:wpaper:dte513
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    More about this item

    Keywords

    credit default; interest rate; liquidity;
    All these keywords.

    JEL classification:

    • H81 - Public Economics - - Miscellaneous Issues - - - Governmental Loans; Loan Guarantees; Credits; Grants; Bailouts

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