Loan loss provisions. A study by economic cycles

Authors

  • Salvador Climent Serrano Departamento de Economía Financiera y Actuarial, Facultad de Economía, Universitat de València, España

Keywords:

Provisions for impairment of loans, Loan default, Crisis, Spanish credit institutions

Abstract

This paper studies the determinants of the provisions for impairment of loans in the Spanish credit institutions in the period 1983 to the second quarter of 2013. There are other significant factors in addition to the loan default, such as generic provisions, the interest margin, and the seasonal nature focused in the fourth quarter and in periods of crisis. As it is an extended period, how the determining factors affected each one of the four economic cycles are studied. Important similarities were found in periods of crisis and the growth, with singularities in their own cycles. The contributions of this research are: i) the different behaviour of the same explanatory variables at different periods of the economic cycle, ii) the different behaviour of the losses and defaults during periods of crisis, and iii) the seasonality detected inthe fourth quarter of each year. Furthermore, how it affects the quarterly and half-year resultsthat financial institutions publish in the CNMV.

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Published

2017-01-01

Issue

Vol. 40 No. 112 (2017): Pages 1-82 (January-April 2017)

Section

Articles

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