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Assessing the Sectoral Dynamics of Non-performing Loans: Signs from Financial and Real Economy

Author

Listed:
  • Bogdan MOINESCU

    (Bucharest Academy of Economic Studies)

  • Adrian CODIRLAŞU

    (Bucharest Academy of Economic Studies)

Abstract

The paper is an attempt at studying the mechanisms whereby the economic activity dynamics and money market conditions affect the developments in nonperforming loan ratio across the main activity sectors, namely agriculture, industry, commerce and constructions. The default rates are modeled both on the basis of a linear approach and via a logistic function, starting from the methodological solution of the reputed conditional risk model referred to as Credit Portfolio View. The robustness of the analytical framework is ensured by applying SUR estimation method for simultaneous systems of equations in combination with that of autoregressive vectors. The empirical analysis is based on unique set of quarterly data, which allows for assessing the quality of non-financial companies loan repayment. The relevant explanatory variables were used in various configurations and lags for constructing several macroeconomic credit risk models.

Suggested Citation

  • Bogdan MOINESCU & Adrian CODIRLAŞU, 2012. "Assessing the Sectoral Dynamics of Non-performing Loans: Signs from Financial and Real Economy," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(2(567)), pages 69-80, February.
    • Handle: RePEc:agr:journl:v:2(567):y:2012:i:2(567):p:69-80
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    Citations

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    Cited by:

    1. Petr Jakubík & Thomas Reininger, 2013. "Determinants of Nonperforming Loans in Central, Eastern and Southeastern Europe," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 48-66.
    2. Vuslat Us, 2016. "Determinants of Non-Performing Loans in the Turkish Banking Sector : What Has Changed After the Global Crisis?," CBT Research Notes in Economics 1627, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    3. Ruja, Catalin, 2014. "Macro Stress-Testing Credit Risk in Romanian Banking System," MPRA Paper 58244, University Library of Munich, Germany.

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