Estimating and Projecting Credit Portfolio Quality Using Macroeconomic Variables: A Study for Venezuela

Authors

  • Leonardo Vera Universidad Central de Venezuela, Escuela de Economía (Caracas, Venezuela)
  • Irene Costa Banco Mercantil, Gerencia de Planificación Estratégica (Caracas, Venezuela)

DOI:

https://doi.org/10.55444/2451.7321.2007.v45.n2.3839

Keywords:

credit quality, credit, provisions, banking system, Venezuela

Abstract

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.

Downloads

Download data is not yet available.

Downloads

Published

2007-12-01

How to Cite

Vera, L., & Costa, I. (2007). Estimating and Projecting Credit Portfolio Quality Using Macroeconomic Variables: A Study for Venezuela. Revista De Economía Y Estadística, 45(2), 29–52. https://doi.org/10.55444/2451.7321.2007.v45.n2.3839

Issue

Vol. 45 No. 2 (2007)

Section

ARTÍCULOS

License

Copyright (c) 2007 Leonardo Vera, Irene Costa

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Authors who have publications with this journal agree to the following terms:

Authors retain their copyright and grant the journal the right of first publication of their work, which is simultaneously subject to the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License that allows third parties to share the work provided that its author and first publication in this journal are indicated.
Authors may adopt other non-exclusive licensing arrangements for distribution of the published version of the work (e.g. depositing it in an institutional telematic archive or publishing it in a monographic volume) as long as the initial publication in this journal is indicated.
Authors are allowed and encouraged to disseminate their work via the Internet (e.g. in institutional telematic archives or on their website) before and during the submission process, which can lead to interesting exchanges and increase citations of the published work. (See The Open Access Effect)