Household Debt Sustainability: What Explains Household Non-Performing Loans? An Empirical Analysis

By L. Rinaldi, Alicia Sanchis-Arellano. Social Science Research Network, 2006

354 citations recorded by the source corpus.

Sound household financial conditions are relevant for both financial and monetary stability. Therefore, we analyse household financial fragility in a sample of euro area countries with the aim to shed some light on the nature of the large debt increase accumulated in recent years. We focus on household arrears on payment obligations, which are one of the most direct measures of financial stress of the sector. The probability of falling into arrears is derived from a life-cycle type of model and is investigated empirically using a cross-section and time series approach. We analyse cointegration and model arrears within an errorcorrection framework. The results suggest that the financial conditions of households might become more vulnerable to adverse shocks in their income and wealth.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c6bb0344222e8c9460dca62e0bc50e145613266d

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Citations in the corpus

The Impact of Non-performing Loans on Bank Lending Behavior: Evidence from the Italian Banking Sector (2015, neutral): “This was largely thanks to the deregulation of financial markets and the development of information technologies in the banking industry (Panopoulou, 2005; Rinaldi & Sanchis-Arellano, 2006).”
Economic Determinants of Non-Performing Loans: Perception of Pakistani Bankers (2012, positive): “There is an empirical evidence of positive relationship between unemployment in the economy and non-performing loans (Nkusu, 2011, Vogiazas & Nikolaidou , 2011; Bofondi and Ropele, 2011; Berge and Boye, 2007; Rinaldi and Sanchis-Arellano, 2006; Gambera, 2000).”
Macroeconomic Determinants of Bad Loans: Evidence from Italian Banks (2011, positive): “For example, Lawrence (1995) and more recently Rinaldi and Sanchis‐Arellano (2006) present models of life‐ cycle consumption in which households’ default probability on loans depends on current income, the unemployment rate and the lending rate.”
Asset quality in a crisis period: An empirical examination of Ghanaian banks (2014, neutral): “14 Salas and Saurina (2002), Jimenez and Saurina (2006) and Keeton (1999).”
Macroeconomic and Bank-Specific Determinants of Non-Performing Loans in Greece: A Comparative Study of Mortgage, Business and Consumer Loan Portfolios (2012, neutral): “These results confirm the empirical findings of Rinaldi and Sanchis-Arellano (2006) who report non-stationarity of NPLs for household loans and real lending rates in a European cross country study.”
Macroeconomic and Institutional Determinants of Non-performing Loans (2015, positive): “Rinaldi & Sanchis-Arellano (2006) analyse household NPLs for a panel of European countries and provide empirical evidence that disposable income, unemployment, and monetary conditions have a strong impact on NPLs. Berge & Boye (2007) find that problem loans were highly sensitive to the real…”
Macroeconomic and Bank-Specific Determinants of Non-Performing Loans: Evidence from Nepalese Banking System (2018, positive): “…growth rate, the real exchange rate, and the net interest margin had a negative impact on NPLs, while the bank size had a positive effect on NPLs. Rinaldi and Sanchis-Arellano (2006) found a significant association of household NPL with the disposable income, households’ financial wealth, and…”