Liquidity Shocks Transmission to Lending Activity in the Romanian Banking System. A VAR Approach

Horaţiu Lovin ()
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Horaţiu Lovin: National Bank of Romania

Journal for Economic Forecasting, 2015, issue 2, 48-60

Abstract: The Romanian banking system has been dominated by foreign-owned banks since 2007, when the country joined the European Union. The implications for financial stability are twofold. First, the cross-border financial groups brought strong expertise in risk management and improved access to funding. Second, the vulnerability to external shocks increases, which off-set to some extent the aforementioned benefits. The global liquidity shock triggered by the Lehman Brothers failure in September 2008 and the following global turmoil had strong impact on the Romanian banking system. This study aims to determine the influence of the external liquidity shock to domestic lending activity using a VAR model. The empirical results underline the external funding as a transmission channel for external liquidity shock to credit activity in Romania.

Keywords: bank funding; lending; contagion; financial stability; risk management (search for similar items in EconPapers)
JEL-codes: G01 G21 G32 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:rjr:romjef:v::y:2015:i:2:p:48-60

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