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Determinants of default ratios in the segment of loans to households in Spain


  • Roberto Blanco

    () (Banco de España)

  • Ricardo Gimeno

    () (Banco de España)


In this paper we present the estimation results of a dynamic panel data model that explains the dynamic behaviour of default ratios in Spain for loans extended to the household sector. We estimate the models for two alternative definitions of default and for two different loan categories. The dataset consists of a panel of 50 provinces and covers the period 1984-2009. The results of the models show that the dynamic behaviour of the default ratios of loans extended to Spanish households can be reasonably well characterised with the lagged LHS variable, and the contemporaneous and the lagged values of credit growth, the unemployment rate and the interest debt burden. We find that the increase in the unemployment rate was the main driver of the sharp rise in default ratios between 2007 and 2009 in Spain and that the fall in interest rates since the end of 2008 contributed to moderating the upward path of default ratios in 2009. We also find that there is strong evidence of asymmetrical effects of unemployment ratios on default ratios, and differences between banks and savings banks in their sensitivity to the cycle

Suggested Citation

  • Roberto Blanco & Ricardo Gimeno, 2012. "Determinants of default ratios in the segment of loans to households in Spain," Working Papers 1210, Banco de España;Working Papers Homepage.
  • Handle: RePEc:bde:wpaper:1210

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    References listed on IDEAS

    1. Catarina Figueira & John Glen & Joseph Nellis, 2005. "A Dynamic Analysis of Mortgage Arrears in the UK Housing Market," Urban/Regional 0509006, University Library of Munich, Germany.
    2. Orla May & Merxe Tudela, 2005. "When is mortgage indebtedness a financial burden to British households? A dynamic probit approach," Bank of England working papers 277, Bank of England.
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    Cited by:

    1. International Monetary Fund, 2012. "Spain; Vulnerabilities of Private Sector Balance Sheets and Risks to the Financial Sector Technical Notes," IMF Staff Country Reports 12/140, International Monetary Fund.
    2. repec:eee:finsta:v:36:y:2018:i:c:p:39-52 is not listed on IDEAS
    3. Irina Stanga & Razvan Vlahu & Jakob de Haan, 2017. "Mortgage arrears, regulation and institutions: Cross-country evidence," DNB Working Papers 580, Netherlands Central Bank, Research Department.
    4. Gila-Gourgoura, E. & Nikolaidou, E., 2017. "Credit Risk Determinants in the Vulnerable Economies of Europe: Evidence from the Spanish Banking System," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 10(1), pages 60-71, March.

    More about this item


    Default ratios; non-performing loans; household finances; financial pressure;

    JEL classification:

    • D14 - Microeconomics - - Household Behavior - - - Household Saving; Personal Finance
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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