Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/77089
Authors: 
Caporale, Guglielmo Maria
Di Colli, Stefano
Lopez, Juan Sergio
Year of Publication: 
2013
Series/Report no.: 
DIW Discussion Papers 1309
Abstract: 
This paper analyses macroeconomic and financial determinants of bad loans applying a SVAR approach to investigate whether excessive loans granted during expansionary phases can explain the more than proportional increase in non-performing loans during contractionary periods. The results indicate that the effects of a permanent shock to bad loans on the excess of credit are significant and persistent for bad loans to firms, but not for bad loans to households or in the case of Cooperative Credit Banks, who adopt more efficient lending policies.
Subjects: 
loan losses
macroeconomic determinants
Italian banking system
SVAR
JEL: 
E44
G01
G21
C22
Document Type: 
Working Paper

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