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Effects of economic variables on NPLs depending on the economic cycle

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  • Salvador Climent-Serrano

    (University of Valencia)

Abstract

Late payments are a major problem for Spanish banks. This paper studies as determinants of loan delinquency: unemployment, interest rates, inflation, housing prices, leverage, bad debt coverage and solvency, which were the main problems facing the Spanish economy between 2004 and 2015, and also examines these determinants in periods of growth and recession. The results show that the price of housing, bad debt coverage, interest rates and solvency are the variables with the greatest impact on NPLs. Furthermore, differences exist in the behaviour of variables during periods of growth compared with periods of recession. Inertia of the dependent variable has also been detected.

Suggested Citation

  • Salvador Climent-Serrano, 2019. "Effects of economic variables on NPLs depending on the economic cycle," Empirical Economics, Springer, vol. 56(1), pages 325-340, January.
    • Handle: RePEc:spr:empeco:v:56:y:2019:i:1:d:10.1007_s00181-017-1362-y
    DOI: 10.1007/s00181-017-1362-y
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    Cited by:

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    4. Mariagrazia Fallanca & Antonio Fabio Forgione & Edoardo Otranto, 2021. "Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach," JRFM, MDPI, vol. 14(1), pages 1-15, January.

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    More about this item

    Keywords

    Loan default; Banks; Unemployment; Leverage; Housing prices;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting

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