The Dynamics of Non-Performing Loans During Banking Crises: A New Database

41 Pages Posted: 22 Jan 2020

See all articles by Anil Ari

Anil Ari

International Monetary Fund

Sophia Chen

International Monetary Fund (IMF) - Research Department

Lev Ratnovski

International Monetary Fund; European Central Bank, Financial Research Division

Multiple version iconThere are 2 versions of this paper

Date Written: December 2019

Abstract

This paper presents a new dataset on the dynamics of non-performing loans (NPLs) during 88 banking crises since 1990. The data show similarities across crises during NPL build-ups but less so during NPL resolutions. We find a close relationship between NPL problems-elevated and unresolved NPLs-and the severity of post-crisis recessions. A machine learning approach identifies a set of pre-crisis predictors of NPL problems related to weak macroeconomic, institutional, corporate, and banking sector conditions. Our findings suggest that reducing pre-crisis vulnerabilities and promptly addressing NPL problems during a crisis are important for post-crisis output recovery.

Keywords: Financial crises, Financial soundness indicators, Exchange rate policy, Banking crisis, Balance of payments, non-performing loans, debt, banking crises, recessions, crisis resolution, WP, NPL, post-crisis, pre-crisis, bank crisis, GFC

JEL Classification: E32, E44, G21, N10, N20, O24, E01, E52, E62

Suggested Citation

Ari, Anil and Chen, Sophia and Ratnovski, Lev, The Dynamics of Non-Performing Loans During Banking Crises: A New Database (December 2019). IMF Working Paper No. 19/272, Available at SSRN: https://ssrn.com/abstract=3523145

Anil Ari (Contact Author)

International Monetary Fund ( email )

700 19th Street NW
Washington, DC 20431
United States

HOME PAGE: http://https://sites.google.com/site/anlari/

Sophia Chen

International Monetary Fund (IMF) - Research Department ( email )

700 19th Street NW
Washington, DC 20431
United States

Lev Ratnovski

International Monetary Fund ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

HOME PAGE: http://ratnovski.googlepages.com

European Central Bank, Financial Research Division

Germany

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