Dotaciones para los deterioros de los créditos. Un estudio por ciclos económicos

Abstract

This paper studies the determinants of the provisions for impairment of loans in the Spanish credit institutions in the period 1983 to the second quarter of 2013. There are other significant factors in addition to the loan default, such as generic provisions, the interest margin, and the seasonal nature focused in the fourth quarter and in periods of crisis. As it is an extended period, how the determining factors affected each one of the four economic cycles are studied. Important similarities were found in periods of crisis and the growth, with singularities in their own cycles. The contributions of this research are: i) the different behaviour of the same explanatory variables at different periods of the economic cycle, ii) the different behaviour of the losses and defaults during periods of crisis, and iii) the seasonality detected in the fourth quarter of each year. Furthermore, how it affects the quarterly and half-year results
that financial institutions publish in the CNMV.