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

Georgios Chortareas, Georgios Magkonis*, Kalliopi Maria Zekente

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

16 Citations (Scopus)


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
JournalInternational Review of Financial Analysis
Publication statusPublished - 1 Jan 2020


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


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