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A VAR Analysis of the Effects of Macroeconomic Shocks on banking sector loan quality in Romania
The USV Annals of Economics and Public Administration
View Archive Info| Field | Value | |
| Title |
A VAR Analysis of the Effects of Macroeconomic Shocks on banking sector loan quality in Romania
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| Creator |
Ana-Maria Sandica; The Bucharest University of Economic Studies
Monica Dudian; The Bucharest University of Economic Studies |
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| Description |
Credit risk assessment represents an important component of macro prudential analysis, with the aggregate nonperforming loan (NPL) ratio being considered as a proxy for the economy-wide probability of default of the banking sector’s overall loan exposure. The aim of this paper is to analyze the macroeconomic factors and their impact on the percentage of non-performing loans in commercial banks of Romania. The vector autoregressive model was estimated on quarterly data from period 2003-2015. Our empirical analysis confirms that, economic growth is negatively related to non-performing loans. On the other hand, unemployment and credit cycle positive influence the evolution of nonperforming loans in Romania.
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| Publisher |
Editura Universitatii Ştefan cel Mare din Suceava
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| Contributor |
This work has been done through the Partnerships Program in Priority Areas - PNII, developed with the support of MEN-UEFISCDI, project no. 334/2014, project code PN-II-PT-PCCA-2013-4-0873, project title „A New Model for Corporate Risk Assessment: A Scient
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| Date |
2018-02-26
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| Type |
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| Format |
application/pdf
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| Identifier |
http://www.seap.usv.ro/annals/ojs/index.php/annals/article/view/1017
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| Source |
The USV Annals of Economics and Public Administration; Vol 17, No 2(26) (2017); 28-34
The USV Annals of Economics and Public Administration; Vol 17, No 2(26) (2017); 28-34 |
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| Language |
en
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