Resumo

UQUILLAS, Adriana  e  GONZALEZ, Carlos. Macro and microeconomic determinants of credit risk stress testing: Comparative case based on nonperforming loans between Ecuador and Colombia. Ens. polit. econ. [online]. 2017, vol.35, n.84, pp.245-259. ISSN 0120-4483.  https://doi.org/10.1016/j.espe.2017.11.002.

The impact of nonperforming loans determinants of Ecuador and Colombia is obtained in order to apply them to stress tests. Estimated ARIMAX models suggest that in Ecuador shocks are rapidly transmitted. The delinquency of both countries is negatively sensitive to liquidity (the most important factor) and the intermediation rate, but their impacts and the speed of transmission are different.

In Ecuador, the price of oil, volume of credit and economic activity are important determinants. In Colombia, the stock market shock is negative and immediate; import shocks are the most important and it are transmitted in the short and medium term. The impacts of manufacturing production occur later.

This is the first empirical research that compares, between both countries, the impact of each factor on nonperforming loans. The models contribute to propose economic and management policies that produce impacts on the performance of nonperforming loans.

JEL classification: G28, G21, C50, C22, E37.

Palavras-chave : Stress testing; Financial crisis; Time-series; Transfer function; Credit risk; Risk control.

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