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.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
