Examinando por Materia "FINANZAS - COLOMBIA"

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    Relación entre el índice de cartera vencida (ICV) de consumo y variables macroeconómicas e internas en bancos colombianos : un análisis pre y post de la pandemia de la Covid-19
    (Universidad EAFIT, 2026-05-21) Mazorra Castillo, Wilson; Arboleda Daza, Leo Alejandro; Rojas Hormaza, Brayan
    This research examines the relationship between the non-performing loan ratio (NPL ratio) of consumer loans and its macroeconomic and institutional determinants in the Colombian banking system. A balanced panel of 23 financial institutions with monthly data from January 2016 to October 2025 was used to compare the dynamics of credit risk before and after the COVID-19 pandemic. The methodology combines a fixed-effects model, selected using the Hausman test, and a vector autoregressive (VAR) model for panel data. The former controls for unobserved heterogeneity among institutions, while the latter assesses the system's response to different shocks and the temporal persistence of their effects. The results indicate that the NPL ratio responds significantly to the unemployment rate and the economic tracking index (EEI), with greater sensitivity in the post-pandemic period, and that return on assets (ROA) and liquidity influence the stability of consumer loans. Taken together, the evidence suggests that the pandemic altered the sensitivity of credit risk and increased the persistence of shocks on the Colombian banking system, with implications for risk management and macro-prudential supervision.