ABSTRACT

This paper explores the determinants of credit risk for the Colombian economy, a small emerging economy in Latin American. Using a sample of 28 large banks over the 2009–2019 period and the dynamic data panel approach, we find that the macroeconomic environment’s deterioration affects the credit risk perception held by banks as measured through non-performing loans and loan loss provisions. On the other hand, a better political environment brought about by peace accords smoothed such an impact. Estimates indicate different reactions when distinguishing by loan type. Business credit depends heavily on unemployment, while consumer credit risk is more sensitive to the interest rate. In the case of mortgage loans, economic growth and the unemployment rate are the most critical variables to mitigate risk. These results shed light on the impact of the economic environment on credit lines with different features.

摘要

本文探讨了哥伦比亚经济信用风险的决定因素，哥伦比亚是拉丁美洲的一个小型新兴经济体。使用 2009-2019 年期间 28 家大型银行的样本和动态数据面板方法，我们发现宏观经济环境的恶化影响银行持有的信用风险感知，通过不良贷款和贷款损失准备金来衡量。另一方面，和平协议带来的更好的政治环境缓和了这种影响。当按贷款类型区分时，估计表明不同的反应。商业信贷在很大程度上取决于失业率，而消费者信贷风险对利率更为敏感。就抵押贷款而言，经济增长和失业率是降低风险的最关键变量。