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Determinantes de la morosidad bancaria en una economía dolarizada. El caso uruguayo

Author

Listed:
  • Martín Vallcorba

    () (Banco Central del Uruguay)

  • Javier Delgado

    () (Banco de España)

Abstract

This paper examines the determinants of the non-performing loans ratio of Uruguayan banks and studies the existence of cointegration relationships between this ratio and a set of macroeconomic variables. Authors find evidence of the existence of a relationship between non-performing loans ratio, variation of wages measured in dollars and interest rates. The paper concludes that lower wages and higher rates lead to a higher default ratio in the long term. This conclusion emphasizes the importance of the exchange-rate risk over the credit risk in such economies with dollarized banking systems. The estimated model is then used to simulate the effects of several hypothetical stress scenarios on defaulted loans ratio. As a result of this exercise, the paper concludes that the Uruguayan banking system presents nowadays a more solid position than during the period before the 2002 crisis.

Suggested Citation

  • Martín Vallcorba & Javier Delgado, 2007. "Determinantes de la morosidad bancaria en una economía dolarizada. El caso uruguayo," Working Papers 0722, Banco de España;Working Papers Homepage.
  • Handle: RePEc:bde:wpaper:0722
    as

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    File Function: First spanish version, July 2007
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    morosidad; dolarización; cointegración; Uruguay;

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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