Nonperforming loans and macrofinancial vulnerabilities in advanced economies /

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Bibliographic Details
Author / Creator:	Nkusu, Mwanza, author.
Imprint:	[Washington, D.C.] : International Monetary Fund, ©2011.
Description:	1 online resource (28 pages)
Language:	English
Series:	IMF working paper ; WP/11/161 IMF working paper ; WP/11/161.
Subject:	Bank loans -- Econometric models. Business cycles -- Econometric models. Bank loans -- Econometric models. Business cycles -- Econometric models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12499389

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Other authors / contributors:	International Monetary Fund. Strategy, Policy, and Review Department, issuing body.
ISBN:	128356792X 9781283567923 9781455297740 1455297747
Notes:	Includes bibliographical references.
Summary:	We analyze the link between nonperforming loans (NPL) and macroeconomic performance using two complementary approaches. First, we investigate the macroeconomic determinants of NPL in panel regressions and confirm that adverse macroeconomic developments are associated with rising NPL. Second, we investigate the feedback between NPL and its macroeconomic determinants in a panel vector autoregressive (PVAR) model. The impulse response functions (IRFs) attribute to NPL a central role in the linkages between credit market frictions and macrofinancial vulnerability. They suggest that a sharp increase in NPL triggers long-lived tailwinds that cripple macroeconomic performance from several fronts.

Table of Contents:

Cover; Contents; I. Introduction; II. Literature; III. Empirical Analysis; A. Specification; B. Data; Tables; 1. Panel Unit Root Tests; C. Stylized Facts; Figures; 1. Advanced Economies' Nonperforming Loans; 2. Nonperforming Loans and Key Macroeconomic Variables; 2. Determinants of Nonperforming Loans; 3. Panel VAR-Johansen Cointegration Test; 3. Impulse Response of NPL; 4. Impulse Response of Credit-to-GDP; 5. Impulse Response of GDP Growth; IV. Conclusion and Policy Implication; Appendix; Appendix Tables; A1. Variables' Description and Data Sources; A2. Summary Statistics.
A3. Cross-correlations Between VariablesA4. Vector Autoregression, Lag Length Selection; A5. Impulse Responses-Accumulated responses to Generalized One Standard Deviation; References.

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