Industry Specific Shocks and Non-Performing Loans in Barbados
Despite the vast body of literature on the relationship between the macroeconomic environment and non-performing loans (NPLs), an area which has been neglected thus far, is a comparative study of the response of NPLs to industry-specific income shocks. Using panel VAR methods, this study investigates the sensitivity of NPLs to shocks to six industries in Barbados. The results suggest that there is some degree of heterogeneity in the response of NPL to these shocks. For instance, there is no evidence to suggest that shocks to the agriculture and manufacturing sectors — the two smallest sectors — affect NPLs. In contrast, our results suggest that positive shocks to the output of the distribution, professional and tourism industries lead to an overall reduction in the level of stress in the financial system — though the timing of responses differs across each industry.
Volume (Year): 04 (2012)
Issue (Month): 2 (December)
|Contact details of provider:|| Postal: |
Web page: http://www.fin.ase.ro/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003.
"Testing for unit roots in heterogeneous panels,"
Journal of Econometrics,
Elsevier, vol. 115(1), pages 53-74, July.
- Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
- Tom Doan, . "IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test," Statistical Software Components RTS00098, Boston College Department of Economics.
- Asli DemirgÃ¼Ã§-Kunt & Enrica Detragiache, 1998. "The Determinants of Banking Crises in Developing and Developed Countries," IMF Staff Papers, Palgrave Macmillan, vol. 45(1), pages 81-109, March.
- Khemraj, Tarron & Pasha, Sukrishnalall, 2009. "The determinants of non-performing loans: an econometric case study of Guyana," MPRA Paper 53128, University Library of Munich, Germany.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990.
"Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?,"
8905, Michigan State - Econometrics and Economic Theory.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- Jacob A. Bikker & Paul A.J. Metzemakers, 2003.
"Bank Provisioning Behaviour and Procyclicality,"
DNB Staff Reports (discontinued)
111, Netherlands Central Bank.
- Bikker, J.A. & Metzemakers, P.A.J., 2005. "Bank provisioning behaviour and procyclicality," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(2), pages 141-157, April.
- William R. Keeton & Charles S. Morris, 1987. "Why do banks' loan losses differ?," Economic Review, Federal Reserve Bank of Kansas City, issue May, pages 3-21.
- Laeven, Luc & Majnoni, Giovanni, 2001.
"Loan loss provisioning and economic slowdowns : too much, too late?,"
Policy Research Working Paper Series
2749, The World Bank.
- Laeven, Luc & Majnoni, Giovanni, 2003. "Loan loss provisioning and economic slowdowns: too much, too late?," Journal of Financial Intermediation, Elsevier, vol. 12(2), pages 178-197, April.
- Luc Laeven & Giovanni Majnoni, 2002. "Loan loss provisioning and economic slowdowns: too much too late?," Conference Series ; [Proceedings], Federal Reserve Bank of Boston.
- Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
- Dimitrios P. Louzis & Aggelos T. Vouldis & Vasilios L. Metaxas, 2010.
"Macroeconomic and bank-specific determinants of non-performing loans in Greece: a comparative study of mortgage, business and consumer loan portfolios,"
118, Bank of Greece.
- Louzis, Dimitrios P. & Vouldis, Angelos T. & Metaxas, Vasilios L., 2012. "Macroeconomic and bank-specific determinants of non-performing loans in Greece: A comparative study of mortgage, business and consumer loan portfolios," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1012-1027.
- Jirí Podpiera & Laurent Weill, 2008.
"Bad luck or bad management? emerging banking market experience,"
ULB Institutional Repository
2013/14305, ULB -- Universite Libre de Bruxelles.
- Podpiera, Jiri & Weill, Laurent, 2008. "Bad luck or bad management? Emerging banking market experience," Journal of Financial Stability, Elsevier, vol. 4(2), pages 135-148, June.
- Jiri Podpiera & Laurent Weill, 2007. "Bad Luck or Bad Management? Emerging Banking Market Experience," Working Papers 2007/5, Czech National Bank, Research Department.
- Kaddour Hadri, 1999.
"Testing For Stationarity In Heterogeneous Panel Data,"
1999_04, University of Liverpool Management School.
- Kaddour Hadri, 2000. "Testing for stationarity in heterogeneous panel data," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 148-161.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
- Richard S. BARR & Lawrence M. SEIFORD & Thomas F. SIEMS, 1994. "Forecasting Bank Failure : A Non-Parametric Frontier Estimation Approach," Discussion Papers (REL - Recherches Economiques de Louvain) 1994041, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Pesaran, H. Hashem & Shin, Yongcheol, 1998.
"Generalized impulse response analysis in linear multivariate models,"
Elsevier, vol. 58(1), pages 17-29, January.
- Pesaran, M. H. & Shin, Y., 1997. "Generalised Impulse Response Analysis in Linear Multivariate Models," Cambridge Working Papers in Economics 9710, Faculty of Economics, University of Cambridge.
- Vicente Salas & Jesús Saurina, 2002. "Credit Risk in Two Institutional Regimes: Spanish Commercial and Savings Banks," Journal of Financial Services Research, Springer, vol. 22(3), pages 203-224, December.
- Mario Quagliariello, 2007. "Banks' riskiness over the business cycle: a panel analysis on Italian intermediaries," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 119-138.
- Blejer, Mario I. & Feldman, Ernesto V. & Feltenstein, Andrew, 2002. "Exogenous shocks, contagion, and bank soundness: a macroeconomic framework," Journal of International Money and Finance, Elsevier, vol. 21(1), pages 33-52, February.
- Michael Gavin & Ricardo Hausmann, 1996.
"The Roots of Banking Crises: The Macroeconomic Context,"
IDB Publications (Working Papers)
5819, Inter-American Development Bank.
- Michael Gavin & Ricardo Hausmann, 1996. "The Roots of Banking Crises: The Macroeconomic Context," Research Department Publications 4026, Inter-American Development Bank, Research Department.
- Raphael A. Espinoza & Ananthakrishnan Prasad, 2010. "Nonperforming Loans in the GCC Banking System and their Macroeconomic Effects," IMF Working Papers 10/224, International Monetary Fund.
When requesting a correction, please mention this item's handle: RePEc:rfb:journl:v:04:y:2012:i:2:p:123-133. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tatu Lucian)
If references are entirely missing, you can add them using this form.