Determinantes macroeconómicos de la morosidad bancaria en Perú

Abstract

Macroeconomic Determinants of Nonperforming Loans of Peruvian Banks

The objective is to evaluate the response of nonperforming loans by type of credit to shocks of the main macroeconomic variables in Peru from the first quarter of 2012 to the first quarter of 2023. In line with this, the series were subjected to correlation tests, ordinary least squares models and vector autoregressive (VAR). The nonperforming loans of the consumer segment responds significantly to the portfolio balance, while the mortgage segment responds significantly to the occupied PEA and the TAMEX. On the other hand, the non-retail segment's nonperforming loan responds significantly to the portfolio balance, TAMEX, exchange rate and country risk, while the retail segment responds significantly to the occupied PEA and gold prices. This indicates the importance of carrying out an analysis by segments. A limitation of the study is the non-inclusion of specific variables of each banking entity. This study represents the first effort to identify the macroeconomic determinants of nonperforming loans by type of portfolio in Peru through impulse-response analysis.