KEY DETERMINANTS OF NON-PERFORMING LOANS IN ROMANIAN BANKING SECTOR. A VAR APPROACH

KEY DETERMINANTS OF NON-PERFORMING LOANS IN ROMANIAN BANKING SECTOR. A VAR APPROACH

The aim of this paper is to analyze the macroeconomic determinants of the percentage of non-performing loans (NPL) in Romanian banking sector. The vector autoregressive (VAR) model is estimated on quarterly data for period 2003-2015. Our empirical analysis confirms that economic growth is negatively...

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Bibliographic Details
Main Authors: Ana-Maria SANDICA, Monica DUDIAN
Format: Article
Language:English
Published: Editura Univeristatii "Stefan cel Mare" din Suceava 2017-12-01
Series:USV Annals of Economics and Public Administration
Subjects:
Nonperforming loans
credit risk
VAR model
financial stability
Online Access:http://annals.seap.usv.ro/index.php/annals/article/view/1017/883
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spelling doaj-a9acaac637ba4678924929b1aefdc0562020-11-24T23:52:16ZengEditura Univeristatii "Stefan cel Mare" din SuceavaUSV Annals of Economics and Public Administration2285-33322344-38472017-12-01172(26)2834KEY DETERMINANTS OF NON-PERFORMING LOANS IN ROMANIAN BANKING SECTOR. A VAR APPROACHAna-Maria SANDICA0Monica DUDIAN1The Bucharest University of Economic Studies, RomaniaThe Bucharest University of Economic Studies, RomaniaThe aim of this paper is to analyze the macroeconomic determinants of the percentage of non-performing loans (NPL) in Romanian banking sector. The vector autoregressive (VAR) model is estimated on quarterly data for period 2003-2015. Our empirical analysis confirms that economic growth is negatively related to NPL while unemployment and credit cycle positively influenced the evolution of nonperforming loans in Romania. http://annals.seap.usv.ro/index.php/annals/article/view/1017/883Nonperforming loanscredit riskVAR modelfinancial stability
collection DOAJ
language English
format Article
sources DOAJ
author Ana-Maria SANDICA
Monica DUDIAN
spellingShingle Ana-Maria SANDICA
Monica DUDIAN
KEY DETERMINANTS OF NON-PERFORMING LOANS IN ROMANIAN BANKING SECTOR. A VAR APPROACH
USV Annals of Economics and Public Administration
Nonperforming loans
credit risk
VAR model
financial stability
author_facet Ana-Maria SANDICA
Monica DUDIAN
author_sort Ana-Maria SANDICA
title KEY DETERMINANTS OF NON-PERFORMING LOANS IN ROMANIAN BANKING SECTOR. A VAR APPROACH
title_short KEY DETERMINANTS OF NON-PERFORMING LOANS IN ROMANIAN BANKING SECTOR. A VAR APPROACH
title_full KEY DETERMINANTS OF NON-PERFORMING LOANS IN ROMANIAN BANKING SECTOR. A VAR APPROACH
title_fullStr KEY DETERMINANTS OF NON-PERFORMING LOANS IN ROMANIAN BANKING SECTOR. A VAR APPROACH
title_full_unstemmed KEY DETERMINANTS OF NON-PERFORMING LOANS IN ROMANIAN BANKING SECTOR. A VAR APPROACH
title_sort key determinants of non-performing loans in romanian banking sector. a var approach
publisher Editura Univeristatii "Stefan cel Mare" din Suceava
series USV Annals of Economics and Public Administration
issn 2285-3332
2344-3847
publishDate 2017-12-01
description The aim of this paper is to analyze the macroeconomic determinants of the percentage of non-performing loans (NPL) in Romanian banking sector. The vector autoregressive (VAR) model is estimated on quarterly data for period 2003-2015. Our empirical analysis confirms that economic growth is negatively related to NPL while unemployment and credit cycle positively influenced the evolution of nonperforming loans in Romania.
topic Nonperforming loans
credit risk
VAR model
financial stability
url http://annals.seap.usv.ro/index.php/annals/article/view/1017/883
work_keys_str_mv AT anamariasandica keydeterminantsofnonperformingloansinromanianbankingsectoravarapproach
AT monicadudian keydeterminantsofnonperformingloansinromanianbankingsectoravarapproach
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