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

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 r...

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Autores principales: Vera, Leonardo, Costa, Irene
Formato: Artículo revista
Lenguaje:Español
Publicado: Instituto de Economía y Finanzas. Facultad de Ciencias Económicas. Universidada Nacional de Córdoba. 2007
Materias:
calidad de cartera
crédito
provisiones
sistema bancario
Venezuela
G21
G28
credit quality
credit
provisions
banking system
Acceso en línea:https://revistas.unc.edu.ar/index.php/REyE/article/view/3839
Aporte de:
Revista de Economía y Estadística de Universidad Nacional de Córdoba
id I10-R326-article-3839
record_format ojs
spelling I10-R326-article-38392022-05-18T21:36:24Z Estimating and Projecting Credit Portfolio Quality Using Macroeconomic Variables: A Study for Venezuela Estimación y Proyección de la Calidad de la Cartera de Crédito utilizando Variables Macroeconómicas: Un estudio para Venezuela Vera, Leonardo Costa, Irene calidad de cartera crédito provisiones sistema bancario Venezuela G21 G28 credit quality credit provisions banking system Venezuela G21 G28 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. Este estudio se propone estimar econométricamente el impacto de los componentes sistémicos de ciertos agregados macroeconómicos sobre el grado de morosidad de la cartera de crédito del sistema bancario en Venezuela. Con sustentación en la teoría, las estimaciones usan series trimestrales que van desde el cuarto trimestre de 1992 hasta el cuarto trimestre de 2004, y el modelo estimado ulteriormente se usa para predecir la evolución de corto plazo de calidad de la cartera. Dos versiones dinámicas usando un modelo ADL muestran buenos resultados en términos de los errores de proyección de la variable ajustada dentro de la muestra (insample), de los errores que derivan de una proyección ex-post y de la proyección condicionada para los cuatro trimestres de 2005.   Instituto de Economía y Finanzas. Facultad de Ciencias Económicas. Universidada Nacional de Córdoba. 2007-12-01 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion application/pdf https://revistas.unc.edu.ar/index.php/REyE/article/view/3839 10.55444/2451.7321.2007.v45.n2.3839 Revista de Economía y Estadística; Vol. 45 No. 2 (2007); 29-52 Revista de Economía y Estadística; Vol. 45 Núm. 2 (2007); 29-52 2451-7321 0034-8066 10.55444/2451.7321.2007.v45.n2 spa https://revistas.unc.edu.ar/index.php/REyE/article/view/3839/6781 Derechos de autor 2007 Leonardo Vera, Irene Costa http://creativecommons.org/licenses/by-nc-nd/4.0
institution Universidad Nacional de Córdoba
institution_str I-10
repository_str R-326
container_title_str Revista de Economía y Estadística
language Español
format Artículo revista
topic calidad de cartera
crédito
provisiones
sistema bancario
Venezuela
G21
G28
credit quality
credit
provisions
banking system
Venezuela
G21
G28
spellingShingle calidad de cartera
crédito
provisiones
sistema bancario
Venezuela
G21
G28
credit quality
credit
provisions
banking system
Venezuela
G21
G28
Vera, Leonardo
Costa, Irene
Estimating and Projecting Credit Portfolio Quality Using Macroeconomic Variables: A Study for Venezuela
topic_facet calidad de cartera
crédito
provisiones
sistema bancario
Venezuela
G21
G28
credit quality
credit
provisions
banking system
Venezuela
G21
G28
author Vera, Leonardo
Costa, Irene
author_facet Vera, Leonardo
Costa, Irene
author_sort Vera, Leonardo
title Estimating and Projecting Credit Portfolio Quality Using Macroeconomic Variables: A Study for Venezuela
title_short Estimating and Projecting Credit Portfolio Quality Using Macroeconomic Variables: A Study for Venezuela
title_full Estimating and Projecting Credit Portfolio Quality Using Macroeconomic Variables: A Study for Venezuela
title_fullStr Estimating and Projecting Credit Portfolio Quality Using Macroeconomic Variables: A Study for Venezuela
title_full_unstemmed Estimating and Projecting Credit Portfolio Quality Using Macroeconomic Variables: A Study for Venezuela
title_sort estimating and projecting credit portfolio quality using macroeconomic variables: a study for venezuela
description 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.
publisher Instituto de Economía y Finanzas. Facultad de Ciencias Económicas. Universidada Nacional de Córdoba.
publishDate 2007
url https://revistas.unc.edu.ar/index.php/REyE/article/view/3839
work_keys_str_mv AT veraleonardo estimatingandprojectingcreditportfolioqualityusingmacroeconomicvariablesastudyforvenezuela
AT costairene estimatingandprojectingcreditportfolioqualityusingmacroeconomicvariablesastudyforvenezuela
AT veraleonardo estimacionyproyecciondelacalidaddelacarteradecreditoutilizandovariablesmacroeconomicasunestudioparavenezuela
AT costairene estimacionyproyecciondelacalidaddelacarteradecreditoutilizandovariablesmacroeconomicasunestudioparavenezuela
first_indexed 2024-09-03T20:54:46Z
last_indexed 2024-09-03T20:54:46Z
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