Factores del mercado laboral determinantes de la morosidad del crédito al consumo. Caso de España 1999-2018

Abstract

We examine the effect of three labor market macroeconomic variables, specifically, the unemployment rate, the change in unemployment rate, and unemployment flows rates on non-performing pre-pandemic consumer loans ratios in Spain for the period 1999-2018. We hypothesize that unemployment flows such as the job destruction rate, or other complex unemployment flows like current or lagged, explain the variances on these non-performing loans ratios. Different studies conducted at household level pointed to the job-loss as one of the main reasons for delinquency. This study shows that the job-loss at household level is better represented, at macro level, by the job destruction rate, rather than the unemployment rate, or the change in unemployment rate. In addition, we highlight the advantages of using the bank's credit risk analysis methodology of roll rates and flow rates in econometric analysis for explaining and forecasting non-performing loans ratios, especially when the independent variables are the job destruction rate, or other similar complex unemployment flows.