Nkusu, Mwanza.
Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies Mwanza Nkusu. [electronic resource] / Mwanza Nkusu. - Washington, D.C. : International Monetary Fund, 2011. - 1 online resource (27 p.) - IMF Working Papers; Working Paper ; No. 11/161 . - IMF Working Papers; Working Paper ; No. 11/161 .
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.
1455297747 : 18.00 USD
1018-5941
10.5089/9781455297740.001 doi
Banking Crises
Banking
Business Fluctuations
Financial Markets and the Macroeconomy
Macroeconomic Performance
Macroeconomic Variables
Greece
Iceland
Korea, Republic of
United Kingdom
United States
Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies Mwanza Nkusu. [electronic resource] / Mwanza Nkusu. - Washington, D.C. : International Monetary Fund, 2011. - 1 online resource (27 p.) - IMF Working Papers; Working Paper ; No. 11/161 . - IMF Working Papers; Working Paper ; No. 11/161 .
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.
1455297747 : 18.00 USD
1018-5941
10.5089/9781455297740.001 doi
Banking Crises
Banking
Business Fluctuations
Financial Markets and the Macroeconomy
Macroeconomic Performance
Macroeconomic Variables
Greece
Iceland
Korea, Republic of
United Kingdom
United States