Un modelo de panel de datos aplicado al efecto de variables micro y macroeconómicas en la cartera vencidael caso de los bancos colombianos

  1. ROMARIO ADEMIR CONTO LÓPEZ 1
  2. HERNÁN DARÍO VILLADA MEDINA 1
  3. JUAN FERNANDO RENDÓN GARCÍA 1
  1. 1 Instituto Tecnológico Metropolitano
    info

    Instituto Tecnológico Metropolitano

    Medellín, Colombia

    ROR https://ror.org/03zb5p722

Revue:
Rect@: Revista Electrónica de Comunicaciones y Trabajos de ASEPUMA

ISSN: 1575-605X

Année de publication: 2019

Volumen: 20

Número: 2

Pages: 167-180

Type: Article

DOI: 10.24309/RECTA.2019.20.2.04 DIALNET GOOGLE SCHOLAR lock_openDialnet editor

D'autres publications dans: Rect@: Revista Electrónica de Comunicaciones y Trabajos de ASEPUMA

Résumé

This paper examines the determinants of Non-Performing Loans (NPLs) in the Colombian banking sector, through the implementation of a model with long-term panel data. The study is done separately for four loan categories (mortgages, business loans, consumer loans and microcredit) and its motivation is the hypothesis that both the macroeconomic behavior and the specific variables of the banks have an effect on loan quality and that these effects varies depending on the loan category. The results allow us to conclude that the NPLs in the Colombian banking system are possible to explain mainly by macroeconomic variables such as the exchange rate and the real interest rate, and by bank-specific variables such as provisions ratio and solvency. In addition, it is evident that the effects vary depending on loan categories, where mortgages are the least responsive to changes both in micro and macroeconomic variables; while the business loans are most responsive to these variables.

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Este artículo es resultado del proyecto de investigación “Aplicación de metodologías para el estudio de los fenómenos en los mercados financieros”, financiado por el Tecnológico de Antioquia I.U. (Medellín, Colombia) y el Instituto Tecnológico Metropolitano (Medellín, Colombia)

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