Determinants of non-performing loans before and after the beginning of the international financial crisis

Radu Muntean
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Radu Muntean: Bucharest University of Economic Studies, Romania

Theoretical and Applied Economics, 2014, vol. XXI, issue Special, 322-332

Abstract: In this paper the determinants of non-performing loans (NPL) were studied at global level in a period centered on the outbreak of the international financial crisis. The econometric models developed show that the main factors impacting the NPL ratio are economic growth, unemployment rate, exchange rate and lending interest rate. The analysis particularly indicates the importance of lagged explanatory variables. After the beginning of the financial crisis, NPL ratios have become autocorrelated and more reactive. As the determinants of this indicator change in time, it is necessary to identify existing short-term relationships between NPL ratios and the macroeconomic environment.

Keywords: non-performing loans; credit risk; financial crisis. (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:xxi:y:2014:i:special:p:322-332

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