TY  - BOOK
AU  - Nkusu,Mwanza
TI  - Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies
T2  - IMF Working Papers; Working Paper
SN  - 1455297747 :
SN  - 1018-5941
PY  - 2011///
CY  - Washington, D.C.
PB  - International Monetary Fund
KW  - Banking Crises
KW  - imf
KW  - Banking
KW  - Business Fluctuations
KW  - Financial Markets and the Macroeconomy
KW  - Macroeconomic Performance
KW  - Macroeconomic Variables
KW  - Greece
KW  - Iceland
KW  - Korea, Republic of
KW  - United Kingdom
KW  - United States
N2  - 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
UR  - http://elibrary.imf.org/view/IMF001/11994-9781455297740/11994-9781455297740/11994-9781455297740.xml
UR  - http://www.imfbookstore.org/IMFORG/9781455297740
ER  -