Estimating and Projecting Credit Portfolio Quality Using Macroeconomic Variables: A Study for Venezuela
DOI:
https://doi.org/10.55444/2451.7321.2007.v45.n2.3839Keywords:
credit quality, credit, provisions, banking system, VenezuelaAbstract
This study presents an econometric estimation of the impact of several macroeconomic aggregates on the level of non-performing loans in the Venezuelan banking system. The data set consist of quarterly time series that go from the last quarter of year 1994 to the last quarter of year 2004. Based on relevant economic theory, the estimated model is used to predict the short-run evolution of credit quality. Though the estimation only deals with the systemic components that affects credit quality, two dynamic versions of an ADL model show good results in terms of the errors of an insample forecast, and in terms of the errors that derive from an out of sample (or ex-ante) forecast and from a conditional forecast for the four quarters of 2005.
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Copyright (c) 2007 Leonardo Vera, Irene Costa
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