Abstract
Late payments are a major problem for Spanish banks. This paper studies as determinants of loan delinquency: unemployment, interest rates, inflation, housing prices, leverage, bad debt coverage and solvency, which were the main problems facing the Spanish economy between 2004 and 2015, and also examines these determinants in periods of growth and recession. The results show that the price of housing, bad debt coverage, interest rates and solvency are the variables with the greatest impact on NPLs. Furthermore, differences exist in the behaviour of variables during periods of growth compared with periods of recession. Inertia of the dependent variable has also been detected.
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Notes
Labour Force Survey.
The National Statistics Institute.
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The author acknowledges the valuable comments and suggestions made by the anonymous referees of the review. The author wishes to thank the support of the Cátedra de Finanzas Internacionales-Banco Santander.
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Climent-Serrano, S. Effects of economic variables on NPLs depending on the economic cycle. Empir Econ 56, 325–340 (2019). https://doi.org/10.1007/s00181-017-1362-y
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DOI: https://doi.org/10.1007/s00181-017-1362-y