Abstract

http://ssrn.com/abstract=2288561
 
 

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Financial Stress and Commercial Bank Loan Delinquency


Vichet Sum


University of Maryland Eastern Shore - School of Business and Technology

Jung-Chu Lin


Takming University of Science and Technology - Department of Banking and Finance

July 2, 2013

Banks and Bank Systems, 8(3), 72-75. November, 2013.

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.

Number of Pages in PDF File: 11

Keywords: loan delinquency, commercial banks, financial stress

JEL Classification: G20, G21

Accepted Paper Series


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Date posted: July 3, 2013 ; Last revised: January 25, 2014

Suggested Citation

Sum, Vichet and Lin, Jung-Chu, Financial Stress and Commercial Bank Loan Delinquency (July 2, 2013). Banks and Bank Systems, 8(3), 72-75. November, 2013.. Available at SSRN: http://ssrn.com/abstract=2288561 or http://dx.doi.org/10.2139/ssrn.2288561

Contact Information

Vichet Sum (Contact Author)
University of Maryland Eastern Shore - School of Business and Technology ( email )
2105 Kiah Hall
Princess Anne, MD 21853
United States
410-651-6531 (Phone)
410-651-6529 (Fax)
HOME PAGE: http://www.umes.edu/bma/Sum.html
Jung-Chu Lin
Takming University of Science and Technology - Department of Banking and Finance ( email )
Taipei City, 11451
Taiwan
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