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Financial stress and commercial bank loan delinquency
Banks and Bank Systems (2013)
  • Vichet Sum
  • Jung-Chu Lin
Abstract

This study is set up to investigate how financial stress dynamically affects commercial bank loan delinquency (CBLD) rate. Using quarterly data from 1994Q1 to 2012Q4, the results show that CBLD rate immediately rises following financial stress shock; however, it significantly drops after 3 quarters following the shock. Financial stress Granger-causes the reaction in CBLD rate; the response feedback from CBLD rate to financial stress is absent. Financial stress forecasts only 0.08% of the CBLD rate at the two-quarter horizon, but it forecasts CBLD rate up to 8.67% at the four-quarter horizon, 10.74% at the six-quarter horizons and 20% at the eight-quarter horizon.

Keywords
  • loan delinquency,
  • commercial banks,
  • financial stress
Publication Date
September 5, 2013
Citation Information
Vichet Sum and Jung-Chu Lin. "Financial stress and commercial bank loan delinquency" Banks and Bank Systems Vol. 8 Iss. 3 (2013)
Available at: http://works.bepress.com/vichetsum/40/