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

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.