Determinants Of Mortgage Delinquency

Brent, William; Kelly, Lynne; Lindsey-Taliefero, Debby; Price, Russell M.

doi:10.19030/jber.v9i2.1815

Cited by 7 publications

(7 citation statements)

References 9 publications

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“…En cuanto a los estudios internacionales, Demyanyk y van Hemert (2011) sostienen que la alta tasa de crecimiento de los precios inmobiliarios enmascara la morosidad de las hipotecas de alto riesgo en un estudio centrado en el periodo 2003-2005. Brent et al (2011 encuentran que los ingresos del acreedor hipotecario y el ciclo económico fueron los factores determinantes en el periodo de 2004-2009.…”

Section: Antecededentesunclassified

Dotaciones para los deterioros de los créditos. Un estudio por ciclos económicos

Serrano

2017

Cuadernos de Economía

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Deterioro de créditos; Morosidad; Crisis; Entidades de créditos españolas Resumen Este trabajo estudia los determinantes de las dotaciones para provisiones del deterioro de los créditos en las entidades de crédito españolas desde 1983 al segundo trimestre de 2013. Resultan significativos, además de la morosidad, las provisiones genéricas, el margen de interés, la estacionalidad centrada en el cuarto trimestre y los periodos de crisis. Al ser un periodo extenso se estudian cómo actúan los determinantes en cada uno de los 4 ciclos económicos que se han dado. Se encuentran similitudes importantes en los periodos de crisis y en los periodos de crecimiento, junto a las singularidades de los propios ciclos. Las aportaciones de esta investigación son: i) el diferente comportamiento de las mismas variables explicativas en diferentes periodos del ciclo económico, ii) el diferente comportamiento de los deterioros y la morosidad en los periodos de crisis y iii) la estacionalidad detectada en el cuarto trimestre de cada año. Lo que afecta a los resultados trimestrales y semestrales que publican las entidades financieras en la CNMV.

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Section: Antecededentesunclassified

Dotaciones para los deterioros de los créditos. Un estudio por ciclos económicos

Serrano

2017

Cuadernos de Economía

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“…The unemployment rate as a determinant of NPLs is studied by Magri & Pico (2011) Ramcharan & Crowe (2013) and Brent et al (2011). All these authors agree that there is a positive correlation between unemployment rate and NPLs, although in the work of the last two authors cited the variable is not statistically significant.…”

Section: Published By Sciedu Pressmentioning

confidence: 99%

“…Festić et al (2011) At the international level Berger & DeYoung (1997) employ Granger causality techniques to test whether cost efficiency in banks pre-dates loan quality, whether loan quality pre-dates cost efficiency, or both, using pooled cross section-time series data on MPLs, operating cost efficiency, equity capital ratios, and other variables for US commercial banks between 1985 and 1994. Brent et al (2011) use panel data with a fixed effects model to examine data on mortgage late payment rates in the USA for 2004 to 2009. Demyanyk & Van Hemert (2011) use loan-level panel data for the USA to analyse the quality of subprime mortgage loans by adjusting their performance for differences in borrower characteristics, loan characteristics, and macroeconomic conditions.…”

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confidence: 99%

Differential Effect on the Determinants of the Late Payments According to the Economic Cycle

Serrano¹,

Contell²,

Serer³

2018

JBAR

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From 2004 to 2007, the Spanish financial system grew at a very rapid rate. However, from 2008 to 2012 impairment losses amounted equivalent to 25% of Spanish GDP.The objective of this paper is investigate how have affected the main problems that have suffered the Spanish economy on the late payments on Spanish credit institutions. And to check whether the effect of these problems is different on stages of growth with respect to the stages of crisis.The main results, according the test Chow, confirmed that there is a structural break in the model in 2007. Also the increase in unemployment increases the late payments and this increase is greater in the stages of growth compared to the stages of recession. The decrease in the price of housing increases the late payments. The increase in equity decreases the late payments, in these two variables decrease is greater in the recession stages compared to the growth stages.

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“…To this end, they use data from cross-sectional series of data on non-performing loans, profitability, capital ratios and other variables for commercial banks in the United States between 1985 and 1994. More recently,Brent et al (2011) use panel data with a fixed effects model to examine data on mortgage late payment rates in the USA for 2004 to 2009.Another study on the US market, that of Demyanyk and Van Hemert (2011), uses loan level panel data to analyse the quality of subprime mortgage loans, examining the characteristics of the loan and macroeconomic conditions. They find that the quality of loans deteriorated for six consecutive years before the crisis, providing evidence that the rise and fall of the subprime mortgage market follows a classic lending boom-bust scenario in which unsustainable growth leads to the collapse of the market.…”

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confidence: 99%