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Contagious loan default

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  • Goedecke, Jann

Abstract

Applying survival analysis to a large loan-level dataset for regulatory purposes on group loans provided by Mexican banks, I find that ex-post credit risk is subject to substantial geographic spillover effects. Potential underlying mechanisms include contagious defaulting behavior, which bears the risk of proliferating into a repayment crisis in the event of an economic or political shock, as experiences from similar markets suggest.

Suggested Citation

  • Goedecke, Jann, 2018. "Contagious loan default," Economics Letters, Elsevier, vol. 170(C), pages 14-18.
    • Handle: RePEc:eee:ecolet:v:170:y:2018:i:c:p:14-18
    DOI: 10.1016/j.econlet.2018.05.028
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    Cited by:

    1. Anaïs Périlleux & Ariane Szafarz, 2022. "Women in the boardroom: a bottom–up approach to the trickle-down effect," Small Business Economics, Springer, vol. 58(4), pages 1783-1800, April.
    2. Bátiz-Zuk Enrique & González-Holden Alexa, 2023. "Identifying Gender Disparities on the Time to Repay Microfinance Group Loans: Evidence from Mexico," Working Papers 2023-07, Banco de México.

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    More about this item

    Keywords

    Credit risk; Repayment crisis; Geographic spillovers; Survival analysis; Microfinance; Mexico;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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