Case – study Concerning the Effects of the Macroeconomic Variables on the Loan Portfolios Quality of the Romanian Banking Sector Using the VAR Model and Least Squares Method

Alina Georgiana Manta and Roxana Maria Badîrcea
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Alina Georgiana Manta: University of Craiova Faculty of Economics and Business Administration
Roxana Maria Badîrcea: University of Craiova Faculty of Economics and Business Administration

Finante - provocarile viitorului (Finance - Challenges of the Future), 2013, vol. 1, issue 15, 96-103

Abstract: The purpose of this article is to analyze the effects of Romania's macroeconomic variables of the loan portfolio quality of the banking sector. Specifically, the study seeks to emphasize the interdependent macroeconomic elements that influence the evolution of credit portfolio quality for commercial banks. To achieve these correlations we use both the VAR model and the method of least squares. Monetary and structural influences are highlighted by using cumulative impulse – answer functions. The results show that monetary factors have contributed greatly to the intensity of financial crises. Beyond these results, it can be concluded that the interest rate and real exchange rate play an important role in sizing the loan portfolio quality at the banking system level.

Keywords: interest rate; economic growth; exchange rate; credit risk rate (search for similar items in EconPapers)
JEL-codes: E32 G14 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:aio:fpvfcf:v:1:y:2013:i:15:p:96-103

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