Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies

We analyze the link between nonperforming loans (NPL) and macroeconomic performance using two complementary approaches. First, we investigate the macroeconomic determinants of NPL in panel regressions and confirm that adverse macroeconomic developments are associated with rising NPL. Second, we inve...

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Bibliographic Details
Main Author: Nkusu, Mwanza
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2011
Series:IMF Working Papers
Subjects:
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
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100 1 |a Nkusu, Mwanza 
245 0 0 |a Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies  |c Mwanza Nkusu 
260 |a Washington, D.C.  |b International Monetary Fund  |c 2011 
300 |a 27 pages 
651 4 |a United States 
653 |a Money and Monetary Policy 
653 |a Accounting 
653 |a Loans 
653 |a Finance, Public 
653 |a Money Supply 
653 |a Monetary economics 
653 |a Cycles 
653 |a Real Estate 
653 |a Prices 
653 |a Financial institutions 
653 |a Nonperforming loans 
653 |a Mortgages 
653 |a Money 
653 |a Business Fluctuations 
653 |a Financial reporting, financial statements 
653 |a Property & real estate 
653 |a Financial statements 
653 |a Financial Markets and the Macroeconomy 
653 |a Public Administration 
653 |a Housing 
653 |a Micro Finance Institutions 
653 |a Money Multipliers 
653 |a Finance 
653 |a Depository Institutions 
653 |a Credit 
653 |a Housing Supply and Markets 
653 |a Housing prices 
653 |a Industries: Financial Services 
653 |a Banks 
653 |a Public financial management (PFM) 
653 |a Public Sector Accounting and Audits 
653 |a Monetary Policy, Central Banking, and the Supply of Money and Credit: General 
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989 |b IMF  |a International Monetary Fund 
490 0 |a IMF Working Papers 
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082 0 |a 330 
520 |a We analyze the link between nonperforming loans (NPL) and macroeconomic performance using two complementary approaches. First, we investigate the macroeconomic determinants of NPL in panel regressions and confirm that adverse macroeconomic developments are associated with rising NPL. Second, we investigate the feedback between NPL and its macroeconomic determinants in a panel vector autoregressive (PVAR) model. The impulse response functions (IRFs) attribute to NPL a central role in the linkages between credit market frictions and macrofinancial vulnerability. They suggest that a sharp increase in NPL triggers long-lived tailwinds that cripple macroeconomic performance from several fronts