Estimation of Conditional Time-Homogeneous Credit Quality Transition Matrices for Commercial Banks in Colombia


Series: 
Working Papers
Number: 
560
April
2009
Author(s) / Editor(s): 
José Eduardo Gómez G.
Inés Paola Orozco Hinojosa
Publishing House: 
Banco de la República
JEL Classification: 

This paper presents an estimation of credit quality transition matrices for commercial banks in Colombia, using a duration hazard function model, and following the methodology proposed by Gómez-González et al (2009). Using a test developed by Weißbach et al (2005), we test for the time-homogeneity of transition matrices estimated this way, after conditioning on firm-specific and macroeconomic variables. We found that 70% of the time we could not reject the null hypothesis of time homogeneity. We also found that obtaining matrices for different subsamples was not necessary, given the similarities of the survival function.

The series Borradores de Economía is published by the Economic Studies Department at the Banco de la República (Central Bank of Colombia). The works published are provisional, and their authors are fully responsible for the opinions expressed in them, as well as for possible mistakes. The opinions expressed herein are those of the authors and do not necessarily reflect the views of Banco de la República or its Board of Directors.

Category / Classification: 
Documentos en elaboración

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