The Dynamics of Non-Performing Loans during Banking Crises: A New Database with Post-COVID-19 Implications
97 Pages Posted: 6 May 2021
Date Written: May 1, 2021
We present a new dataset on the dynamics of non-performing loans (NPLs) during 92 banking crises since 1990. The data show similarities across crises during NPL build-ups but much heterogeneity in the pace of NPL resolution. We document how high and unresolved NPLs deepen post-crisis recessions and use a machine learning approach to establish pre-crisis predictors of NPL problems. These predictors—a set of weak macroeconomic, institutional, corporate, and banking sector conditions—help shed light on post-COVID-19 NPL vulnerabilities.
Keywords: non-performing loans, debt, banking crises, recessions, crisis resolution, COVID
JEL Classification: E32, E44, G21, N10, N20
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