Credit risk and the business cycle: what do we know?

Georgios Chortareas, Georgios Magkonis, Kalliopi-Maria Zekente

Research output: Contribution to journalArticlepeer-review


We perform a meta-regression analysis to characterize the relationship between ex post credit risk, measured through non-performing loans and real GDP growth. Although the prior empirical literature reveals a statistically significant inverse association, the precise effect of growth performance to credit quality diverges and remains subject to several qualifications. Using estimates from 56 studies and applying a Bayesian meta-regression analysis we explore the systematic patterns of the heterogeneity in the reported estimates. According to our evidence, the specification form as well as features related to the type of data, and the sample period are factors that systematically influence the estimated results.
Original languageEnglish
Article number101421
Number of pages10
JournalInternational Review of Financial Analysis
Early online date18 Nov 2019
Publication statusPublished - 1 Jan 2020


  • Non-performing loans
  • Credit risk
  • Macro-stress testing
  • Business cycles
  • Meta-analysis


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