The USV Annals of Economics and Public Administration, Vol 17, No 2(26) (2017)

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A VAR Analysis of the Effects of Macroeconomic Shocks on banking sector loan quality in Romania

Ana-Maria Sandica, Monica Dudian


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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                     Ştefan cel Mare University of Suceava                   Faculty of Economics and Public Administration


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