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Do the determinants of non-performing loans have a different effect over time?: a conditional correlation approach
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| Veröffentlicht in: | Journal of risk and financial management 14(2021), 1/21 vom: Jan., Seite 1-15 |
|---|---|
| Personen und Körperschaften: | , , |
| Titel: | Do the determinants of non-performing loans have a different effect over time?: a conditional correlation approach/ Mariagrazia Fallanca, Antonio Fabio Forgione and Edoardo Otranto |
| Format: | E-Book-Kapitel |
| Sprache: | Englisch |
| veröffentlicht: |
2021
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| Gesamtaufnahme: |
: Journal of risk and financial management, 14(2021), 1/21 vom: Jan., Seite 1-15
, volume:14 |
| Schlagwörter: | |
| Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
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| 520 | |a Several studies have explored the linkage between non-performing loans and major macroeconomic indicators, using a wide variety of methodologies, sometimes with different results. This occurs, we argue, because these relationships are generally derived in terms of correlation coefficients evaluated in certain time spans, which represent a sort of average level of correlations. However, such correlations are necessarily time-varying, because the relationships between bank loan indicators and macroeconomic variables could be stronger during particular periods or in correspondence with important economic events. We propose an empirical exercise using dynamic conditional correlation models, with constant and time-varying parameters. Applying these models to quarterly delinquency rates and an array of macroeconomic variables for the US, for the period 1985-2019, we find that the correlation is often negligible in this period except during periods of economic crises, in particular the early 1990 crisis and the subprime mortgage crisis. | ||
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| contents | Several studies have explored the linkage between non-performing loans and major macroeconomic indicators, using a wide variety of methodologies, sometimes with different results. This occurs, we argue, because these relationships are generally derived in terms of correlation coefficients evaluated in certain time spans, which represent a sort of average level of correlations. However, such correlations are necessarily time-varying, because the relationships between bank loan indicators and macroeconomic variables could be stronger during particular periods or in correspondence with important economic events. We propose an empirical exercise using dynamic conditional correlation models, with constant and time-varying parameters. Applying these models to quarterly delinquency rates and an array of macroeconomic variables for the US, for the period 1985-2019, we find that the correlation is often negligible in this period except during periods of economic crises, in particular the early 1990 crisis and the subprime mortgage crisis. |
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| spelling | Fallanca, Mariagrazia VerfasserIn aut, Do the determinants of non-performing loans have a different effect over time? a conditional correlation approach Mariagrazia Fallanca, Antonio Fabio Forgione and Edoardo Otranto, 2021, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2, Several studies have explored the linkage between non-performing loans and major macroeconomic indicators, using a wide variety of methodologies, sometimes with different results. This occurs, we argue, because these relationships are generally derived in terms of correlation coefficients evaluated in certain time spans, which represent a sort of average level of correlations. However, such correlations are necessarily time-varying, because the relationships between bank loan indicators and macroeconomic variables could be stronger during particular periods or in correspondence with important economic events. We propose an empirical exercise using dynamic conditional correlation models, with constant and time-varying parameters. Applying these models to quarterly delinquency rates and an array of macroeconomic variables for the US, for the period 1985-2019, we find that the correlation is often negligible in this period except during periods of economic crises, in particular the early 1990 crisis and the subprime mortgage crisis., DE-206 Namensnennung 4.0 International CC BY 4.0 cc https://creativecommons.org/licenses/by/4.0/, delinquency rates, macroeconomic factors, Dynamic Conditional Correlation, non-linear autoregressive models, Aufsatz in Zeitschrift DE-206, Forgione, Antonio Fabio VerfasserIn aut, Otranto, Edoardo VerfasserIn aut, Enthalten in Journal of risk and financial management Basel : MDPI, 2008 14(2021), 1/21 vom: Jan., Seite 1-15 Online-Ressource (DE-627)770970427 (DE-600)2739117-6 (DE-576)395129494 1911-8074 nnns, volume:14 year:2021 number:1/21 month:01 pages:1-15, https://www.mdpi.com/1911-8074/14/1/21/pdf Verlag kostenfrei, https://doi.org/10.3390/jrfm14010021 Resolving-System kostenfrei, http://hdl.handle.net/10419/239438 Resolving-System kostenfrei, https://doi.org/10.3390/jrfm14010021 LFER, https://www.mdpi.com/1911-8074/14/1/21/pdf LFER, LFER 2021-02-09T15:10:09Z |
| spellingShingle | Fallanca, Mariagrazia, Forgione, Antonio Fabio, Otranto, Edoardo, Do the determinants of non-performing loans have a different effect over time?: a conditional correlation approach, Several studies have explored the linkage between non-performing loans and major macroeconomic indicators, using a wide variety of methodologies, sometimes with different results. This occurs, we argue, because these relationships are generally derived in terms of correlation coefficients evaluated in certain time spans, which represent a sort of average level of correlations. However, such correlations are necessarily time-varying, because the relationships between bank loan indicators and macroeconomic variables could be stronger during particular periods or in correspondence with important economic events. We propose an empirical exercise using dynamic conditional correlation models, with constant and time-varying parameters. Applying these models to quarterly delinquency rates and an array of macroeconomic variables for the US, for the period 1985-2019, we find that the correlation is often negligible in this period except during periods of economic crises, in particular the early 1990 crisis and the subprime mortgage crisis., delinquency rates, macroeconomic factors, Dynamic Conditional Correlation, non-linear autoregressive models, Aufsatz in Zeitschrift |
| title | Do the determinants of non-performing loans have a different effect over time?: a conditional correlation approach |
| title_auth | Do the determinants of non-performing loans have a different effect over time? a conditional correlation approach |
| title_full | Do the determinants of non-performing loans have a different effect over time? a conditional correlation approach Mariagrazia Fallanca, Antonio Fabio Forgione and Edoardo Otranto |
| title_fullStr | Do the determinants of non-performing loans have a different effect over time? a conditional correlation approach Mariagrazia Fallanca, Antonio Fabio Forgione and Edoardo Otranto |
| title_full_unstemmed | Do the determinants of non-performing loans have a different effect over time? a conditional correlation approach Mariagrazia Fallanca, Antonio Fabio Forgione and Edoardo Otranto |
| title_in_hierarchy | Do the determinants of non-performing loans have a different effect over time?: a conditional correlation approach / Mariagrazia Fallanca, Antonio Fabio Forgione and Edoardo Otranto, |
| title_short | Do the determinants of non-performing loans have a different effect over time? |
| title_sort | do the determinants of non performing loans have a different effect over time a conditional correlation approach |
| title_sub | a conditional correlation approach |
| topic | delinquency rates, macroeconomic factors, Dynamic Conditional Correlation, non-linear autoregressive models, Aufsatz in Zeitschrift |
| topic_facet | delinquency rates, macroeconomic factors, Dynamic Conditional Correlation, non-linear autoregressive models, Aufsatz in Zeitschrift |
| url | https://www.mdpi.com/1911-8074/14/1/21/pdf, https://doi.org/10.3390/jrfm14010021, http://hdl.handle.net/10419/239438 |