<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>1665-5346</journal-id>
<journal-title><![CDATA[Revista mexicana de economía y finanzas]]></journal-title>
<abbrev-journal-title><![CDATA[Rev. mex. econ. finanz]]></abbrev-journal-title>
<issn>1665-5346</issn>
<publisher>
<publisher-name><![CDATA[Instituto Mexicano de Ejecutivos de Finanzas A.C.]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S1665-53462015000200159</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[Analyzing the size, diffusion, and spillover of loans risk]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Herrerías]]></surname>
<given-names><![CDATA[Renata]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Moreno]]></surname>
<given-names><![CDATA[Jorge O.]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Instituto Tecnológico Autónomo de México Escuela de Negocios Departamento de Administración]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,Instituto Tecnológico Autónomo de México Escuela de Negocios Departamento de Administración]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>00</month>
<year>2015</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>00</month>
<year>2015</year>
</pub-date>
<volume>10</volume>
<numero>2</numero>
<fpage>159</fpage>
<lpage>181</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1665-53462015000200159&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1665-53462015000200159&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1665-53462015000200159&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract We analyze the diffusion and spillover effects of credit risk among banks within a banking system, using the Mexican financial system as case study. Our proxy to measure credit risk is the non-performing loans ratio (NPL). For this purpose we construct a VAR model to identify the composition of the variance of NPL's ratios dividing it into two parts: one that is explained by the VAR coefficients, and the other attributed to the contemporary "error" or "shocks" on other banks in the system. The error in the structural model represents the "news" that disturbs the stable risk in each period. Our work builds on the spillover index proposed by Diebold and Yilmaz (2009) that indicates the degree on which the overall risk in the system is explained by the spillover effects. The method allows us to measure the long-run contributions of each bank's risk on the rest of the banking system through the diffusion of risk between intermediaries. Moreover, we are able to gauge the relative importance of spillover by increasing the length of prediction periods for each bank's NPL. Our estimations for the Mexican banking system between 2002 and 2013 suggest that the overall spillover effect index accounts for 15 percent of the aggregate risk's observed variation in the short term and almost 40 percent in the long term. The spillover effect explains 32 percent of total risk in the short term and 78 percent in the long term when we control for individual bank's characteristics, even though the total size of risk originated by news in the banks decreases relative to the model without control variables.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen En este trabajo analizamos los efectos de difusión y de derrama (spillover) del riesgo crediticio entre bancos dentro de un sistema bancario, utilizando el sistema financiero mexicano como caso de estudio. Nuestra selección de medida de riesgo crediticio es la razón de crédito en situación de mora como porcentaje del total de crédito en cada banco (NPL). Para este propósito construimos un modelo VAR que identifica la composición de la varianza en las razones de NPL, y lo dividimos en dos partes: una explicada por los coeficientes del modelo VAR, y otra explicada por el "error contemporáneo" o las "innovaciones" de cada banco en el sistema. El error en el modelo estructural representa las "noticias" que distorsionan el nivel de riesgo estable cada período. Nuestra investigación se basa en el índice de derrama (spillover index) propuesto por Diebold y Yilmaz (2009) el cual indica el grado sobre el cual el riesgo agregado de un sistema es explicado por estos efectos de derrama. Este método nos permite cuantificar las contribuciones de largo plazo del riesgo de cada banco sobre el resto del sistema bancario, a través de la difusión del riesgo entre intermediarios. Además de lo anterior, el método nos permite identificar la importancia relativa del efecto de derrama incrementando gradualmente el período de predicciones para cada razón de NPL de cada banco. Nuestras estimaciones para el sistema bancario mexicano entre 2002 y 2013 sugieren que para el total de la variación en el riesgo del sistema el índice de derrama representa 15 por ciento de la variación en el corto plazo y casi 40 por ciento de la variación en el largo plazo. Por otra parte, cuando se controla por las características individuales de los bancos, el efecto de derrama representa 32 por ciento del riesgo total en el corto plazo, y 78 por ciento del riesgo en el largo plazo, sin embargo el tamaño del riesgo total originado por las noticias de los bancos (innovaciones) decrece.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[Non-Performing Loans]]></kwd>
<kwd lng="en"><![CDATA[Credit Risk]]></kwd>
<kwd lng="en"><![CDATA[Spillovers]]></kwd>
<kwd lng="en"><![CDATA[Systemic Risk]]></kwd>
</kwd-group>
</article-meta>
</front><back>
<ref-list>
<ref id="B1">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Forecasting Banking Failure: A Non-Parametric Frontier Estimation Approach]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Barr]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
<name>
<surname><![CDATA[Seiford]]></surname>
<given-names><![CDATA[L.]]></given-names>
</name>
<name>
<surname><![CDATA[Siems]]></surname>
<given-names><![CDATA[T.]]></given-names>
</name>
</person-group>
<source><![CDATA[Recherches Economiques de Louvain]]></source>
<year>1994</year>
<volume>60</volume>
<page-range>411-29</page-range></nlm-citation>
</ref>
<ref id="B2">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Problem Loans and Cost Efficiency in Commercial Banks]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Berger]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
<name>
<surname><![CDATA[DeYoung]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Banking and Finance]]></source>
<year>1997</year>
<volume>21</volume>
<page-range>849-70</page-range></nlm-citation>
</ref>
<ref id="B3">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Asset Quality and Scale Economies in Banking]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Bernstein]]></surname>
<given-names><![CDATA[D.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of economics and Business]]></source>
<year>1996</year>
<volume>48</volume>
<page-range>157-66</page-range></nlm-citation>
</ref>
<ref id="B4">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Understanding the Behavior of Bank Spreads in Latin America]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Brock]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
<name>
<surname><![CDATA[Rojas-Suarez]]></surname>
<given-names><![CDATA[L.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Development Economics]]></source>
<year>2000</year>
<volume>63</volume>
<page-range>113-34</page-range></nlm-citation>
</ref>
<ref id="B5">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[The Determinants of Banking Crises in Developing and Developed Countries]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Demirgüç-Kunt]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
<name>
<surname><![CDATA[Detriagache]]></surname>
<given-names><![CDATA[E.]]></given-names>
</name>
</person-group>
<source><![CDATA[IMF staff papers]]></source>
<year>1998</year>
<volume>45</volume>
<page-range>81-109</page-range></nlm-citation>
</ref>
<ref id="B6">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Diebold]]></surname>
<given-names><![CDATA[F.X.]]></given-names>
</name>
<name>
<surname><![CDATA[Yilmaz]]></surname>
<given-names><![CDATA[K.]]></given-names>
</name>
</person-group>
<source><![CDATA[The Economic Journal]]></source>
<year>2009</year>
<volume>119</volume>
<page-range>158-71</page-range></nlm-citation>
</ref>
<ref id="B7">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Empirical modelling of contagion: a review of methodologies]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Dungey]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Fry]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
<name>
<surname><![CDATA[González-Hermosillo]]></surname>
<given-names><![CDATA[B.]]></given-names>
</name>
<name>
<surname><![CDATA[Martin]]></surname>
<given-names><![CDATA[V.]]></given-names>
</name>
</person-group>
<source><![CDATA[Quantitative Finance]]></source>
<year>2005</year>
<volume>5</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>9-24</page-range></nlm-citation>
</ref>
<ref id="B8">
<nlm-citation citation-type="">
<article-title xml:lang=""><![CDATA[Contagious Currency Crisis]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Eichengreen]]></surname>
<given-names><![CDATA[B.]]></given-names>
</name>
<name>
<surname><![CDATA[Rose]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
<name>
<surname><![CDATA[Wyplosz]]></surname>
<given-names><![CDATA[C.]]></given-names>
</name>
</person-group>
<source><![CDATA[National Bureau of Economic Research Working Paper]]></source>
<year>1996</year>
<volume>5681</volume>
</nlm-citation>
</ref>
<ref id="B9">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Nonperforming Loans in the GCC Banking System and their Macroeconomic Effects]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Espinoza]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
<name>
<surname><![CDATA[Prasad]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
</person-group>
<source><![CDATA[IMF working paper]]></source>
<year>2010</year>
</nlm-citation>
</ref>
<ref id="B10">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[The Macroeconomic Sources of Systemic Risk in the Banking Sectors of five new EU Member States]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Festic]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Kavkler]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
<name>
<surname><![CDATA[Repina]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Banking and Finance]]></source>
<year>2011</year>
<volume>35</volume>
<page-range>310-22</page-range></nlm-citation>
</ref>
<ref id="B11">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Interbank Exposures: Quantifying the Risk of Contagion]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Furfine]]></surname>
<given-names><![CDATA[C. H.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Money Credit and Banking]]></source>
<year>2003</year>
<volume>35</volume>
<page-range>111-28</page-range></nlm-citation>
</ref>
<ref id="B12">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Goldstein]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Kaminsky]]></surname>
<given-names><![CDATA[G. L.]]></given-names>
</name>
<name>
<surname><![CDATA[Reinhart]]></surname>
<given-names><![CDATA[C.]]></given-names>
</name>
</person-group>
<source><![CDATA[Assesing Financial Vulnerability, an Early Warning System for Emerging Markets]]></source>
<year>2000</year>
<publisher-loc><![CDATA[Washington, D.C. ]]></publisher-loc>
<publisher-name><![CDATA[Institute for International Economics]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B13">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Determinants of ex-ante banking system distress: A micro-micro empirical exploration of some recent episodes]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Gonzalez Hermosillo]]></surname>
<given-names><![CDATA[B.]]></given-names>
</name>
</person-group>
<source><![CDATA[IMF working paper]]></source>
<year>1999</year>
</nlm-citation>
</ref>
<ref id="B14">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Determinants of banking system fragility: A case study of Mexico]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Gonzalez Hermosillo]]></surname>
<given-names><![CDATA[B.]]></given-names>
</name>
<name>
<surname><![CDATA[Pazarbasioglu]]></surname>
<given-names><![CDATA[C.]]></given-names>
</name>
<name>
<surname><![CDATA[Billings]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
</person-group>
<source><![CDATA[IMF Staff papers]]></source>
<year>1997</year>
<volume>44</volume>
<numero>3</numero>
<issue>3</issue>
</nlm-citation>
</ref>
<ref id="B15">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[On crisis contagion, and confusion]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Kaminsky]]></surname>
<given-names><![CDATA[G. L.]]></given-names>
</name>
<name>
<surname><![CDATA[Reinhart]]></surname>
<given-names><![CDATA[C. M.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of International Economics]]></source>
<year>2000</year>
<volume>51</volume>
<page-range>145-68</page-range></nlm-citation>
</ref>
<ref id="B16">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[A note on Non-Performing Loans as an indicator of asset quality]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Meeker]]></surname>
<given-names><![CDATA[L.G.]]></given-names>
</name>
<name>
<surname><![CDATA[Gray]]></surname>
<given-names><![CDATA[L.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Banking and Finance]]></source>
<year>1987</year>
<volume>11</volume>
<page-range>161-8</page-range></nlm-citation>
</ref>
<ref id="B17">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Reinhart]]></surname>
<given-names><![CDATA[C.]]></given-names>
</name>
<name>
<surname><![CDATA[Rogoff]]></surname>
<given-names><![CDATA[K. S.]]></given-names>
</name>
</person-group>
<source><![CDATA[This time is different]]></source>
<year>2009</year>
<publisher-loc><![CDATA[Princeton, NJ ]]></publisher-loc>
<publisher-name><![CDATA[Princeton University Press]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B18">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Understanding the behavior of bank spreads in Latin America]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Brock]]></surname>
<given-names><![CDATA[P. L.]]></given-names>
</name>
<name>
<surname><![CDATA[Rojas-Suarez]]></surname>
<given-names><![CDATA[L.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Development Economics]]></source>
<year>2000</year>
<volume>63</volume>
<page-range>113-34</page-range></nlm-citation>
</ref>
<ref id="B19">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[The effects of loan portfolio concentration on Brazilian banks' return and risk]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Tabak]]></surname>
<given-names><![CDATA[B. M.]]></given-names>
</name>
<name>
<surname><![CDATA[Fazio]]></surname>
<given-names><![CDATA[D. M.]]></given-names>
</name>
<name>
<surname><![CDATA[Cajueiro]]></surname>
<given-names><![CDATA[D. O.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Banking and Finance]]></source>
<year></year>
<volume>35</volume>
<numero>11</numero>
<issue>11</issue>
<page-range>3065-76</page-range></nlm-citation>
</ref>
</ref-list>
</back>
</article>
