عوامل تعیین کننده کلان اقتصادی ریسک اعتباری در سیستم بانکداری: مورد GIPSI

In this paper, we analyze the link between the macroeconomic developments and the banking credit risk in a particular group of countries – Greece, Ireland, Portugal, Spain and Italy (GIPSI) – recently affected by unfavourable economic and financial conditions. Employing dynamic panel data approaches to these five countries over the period 1997q1–2011q3, we conclude that the banking credit risk is significantly affected by the macroeconomic environment: the credit risk increases when GDP growth and the share and housing price indices decrease and rises when the unemployment rate, interest rate, and credit growth increase; it is also positively affected by an appreciation of the real exchange rate; moreover, we observe a substantial increase in the credit risk during the recent financial crisis period. Several robustness tests with different estimators have also confirmed these results. The findings of this paper indicate that all policy measures that can be implemented to promote growth, employment, productivity and competitiveness and to reduce external and public debt in these countries are fundamental to stabilize their economies.

The recent financial crisis has called the attention to the consequences that banking crises can have on the economy (Agnello and Sousa, 2011 and Agnello et al., 2011). At the same time, it has also stimulated some economists to look again at the factors that may trigger a banking crisis (De Grauwe, 2008, Laeven and Valencia, 2008 and Laeven and Valencia, 2010). Macroeconomic factors are considered to play an important role on this matter (Demirguç-Kunt and Detragiache, 1998 and Llewellyn, 2002). More specifically, adverse economic conditions, where growth is low or negative, with high levels of unemployment, high interest rates and high inflation, are favourable to banking crises (Demirguç-Kunt and Detragiache, 1998). Llewellyn (2002) also notices that in any banking crisis there is an interaction between economic, financial and structural weaknesses. Moreover, most of the banking crisis is preceded by changes in the economic environment that move the economy from a growth cycle to a recession. A banking crisis may also arise because, in first place, banks can be struggling with liquidity and/or insolvency problems caused by the increase of bad or nonperforming loans in their balance sheets. This also means that before looking at the causes of banking crisis, we must give attention to the conditionings of the banking credit risk. Several studies have focussed their attention on this matter and have concluded that the macroeconomic environment is the most important factor in the determination of the credit risk.1 In this paper, we intend to understand this link between the macroeconomic developments and the credit risk in a particular group of countries (Greece, Ireland, Portugal, Spain and Italy — henceforth, GIPSI) recently affected by unfavourable economic and financial conditions and to which the literature has not given a particular attention yet on this matter. The unfavourable conditions that they are facing (recession and unemployment), the high levels of public deficits and debts that they present and the difficulties that they have felt in borrowing money to finance their economies were critical in our decision of choosing them for this analysis. This deterioration of the economic environment may increase the risk of credit default in these countries. Therefore, it becomes pertinent to study how macroeconomic variables are affecting the credit risk in this more vulnerable group of countries and the respective policy implications. As the risk of default is highly influenced by the way families and companies are affected by the economic environment, we believe that some macroeconomic factors will take a substantial part in the explanation of the credit risk. Employing a proper dynamic panel data approach, that relies on the Arellano–Bond estimator, over this particular group of countries spanning the period from the first quarter of 1997 to the third quarter of 2011, we conclude that the credit risk in these five countries is significantly affected by the macroeconomic environment. In particular, the credit risk increases when GDP growth, the share price indices and the housing prices decrease, and rises when the unemployment rate, interest rate, and credit growth increase. It is also positively affected with an appreciation of the real exchange rate. Moreover, we observe a substantial increase in the credit risk during the recent financial crisis period. Several robustness tests with different estimators have also confirmed these results. In terms of policy implications, this means that structural measures and programmes that can be implemented to promote external competitiveness, to increase productivity, to reduce external and public debt and to support growth and employment in these countries are fundamental to stabilize their economies. This article is organized as follows. Section 2 reviews the existing literature on the determinants of the credit risk. Section 3 describes the data and the hypotheses to test. The econometric model is explained in Section 4. The empirical results are presented and discussed in Section 5. Section 6 concludes emphasizing the main findings of this article.

The recent financial crisis has revived the interest on the analysis of the problems that banking crises can have over the economy and on the factors that may trigger a banking crisis. However, before looking at the causes of banking crisis, we should give some attention to the conditionings of the banking credit risk. In reality, before a banking crisis arises, banks can be struggling with liquidity and/or insolvency problems caused by the increase of bad or nonperforming loans in their balance sheets. Thus, to understand the origin of banking crises it is necessary starting by considering the factors that affect baking credit risk in first place. Several studies have focussed their attention on this matter and have concluded that the macroeconomic environment has a strong influence on banking credit risk. In this paper, we analyze deeply the link between the macroeconomics and banking credit risk in the GIPSI. Employing dynamic panel data approaches to these group countries over the period 1997q1–2011q3, we conclude that the banking credit risk is significantly affected by the macroeconomic environment: the credit risk increases when GDP growth, the share price indices and the housing prices decrease and rises when the unemployment rate, interest rate, and credit growth increase; it is also positively affected by an appreciation of the real exchange rate; moreover, we observe a substantial increase in the credit risk during the recent financial crisis period. Several robustness tests with different estimators have also confirmed these results. In terms of policy implications, this means that structural measures and programmes that can be implemented to promote external competitiveness, to increase productivity, to reduce external and public debt and to support growth and employment in these countries are fundamental to stabilize their economies. From this analysis we may think of some interesting avenues for future research. First, it would be interesting to extend it to other EU countries. The problem is that comparable aggregate data for credit risk is not always available. Thus, a possible alternative would be to look at the disaggregated banking level, provided that reliable (and comparable) time series for nonperforming loans are available for the most relevant credit institutions. In this case, in particular, the group of regressors could be extended with the inclusion of some unsystematic or microeconomics factors, which will provide a deeper understanding of banking credit risk as well as additional insights on the link between the recent financial crisis and the risk taken by some financial and banking institutions. Finally, as the output effects of credit market frictions could be nonlinear, it may also be worth exploring possible threshold effects.