Macroeconomic and financial determinants of mortgage delinquency in Mexico

Abstract

This paper analyses the impact of a set of macroeconomic and financial variables on the delinquency behavior in mortgage lending granted by Mexico’s six most important banks. Based on times series analysis tools and a quantile regression model, the probability distributions of the delinquency rates of each of these banks are analyzed. The evidence shows that inflation, interest rate, exchange rate, volume of international reserves, stock market index, and the number of private sector workers benefiting from social security, influence the behavior of delinquency. There are some differences in the effects of these variables on the delinquency of the six banks covered in this study, most likely due to differences in portfolio composition and strategies for the origin of credit. Knowing the importance of these variables in relation to the delinquency of mortgage portfolios can be useful to improve decisions regarding the generation and management of mortgage credits, as well as for the design and implementation of macroeconomic, financial, and fiscal policies that enhance resilience of the banking sector.