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Credit Risk in the Romanian Banking System: Evidence from an ARDL Model

In: Balkan and Eastern European Countries in the Midst of the Global Economic Crisis

Author

Listed:
  • Eftychia Nikolaidou

    (CITY College – International Faculty of the University of Sheffield)

  • Sofoklis D. Vogiazas

    (Research Centre of the University of Sheffield and CITY College)

Abstract

This paper provides empirical evidence on the determinants of credit risk in the Romanian banking system over the period December 2001 to November 2010 by employing the Autoregressive Distributed Lag (ARDL) approach to cointegration. This approach allows us to investigate both the long-run and the short-run determinants of credit risk and has only recently been employed in the relevant literature. Empirical findings indicate that bank specific factors (credit growth) as well as macroeconomic activity factors (money supply and unemployment) all have a significant impact on Romania’s credit risk both in the short and in the long-run. Furthermore, the findings strongly support our hypothesis that the Greek crisis has a significant impact on Romanian non-performing loans.

Suggested Citation

  • Eftychia Nikolaidou & Sofoklis D. Vogiazas, 2013. "Credit Risk in the Romanian Banking System: Evidence from an ARDL Model," Contributions to Economics, in: Anastasios Karasavvoglou & Persefoni Polychronidou (ed.), Balkan and Eastern European Countries in the Midst of the Global Economic Crisis, edition 127, pages 87-101, Springer.
    • Handle: RePEc:spr:conchp:978-3-7908-2873-3_7
    DOI: 10.1007/978-3-7908-2873-3_7
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    Citations

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    Cited by:

    1. Gila-Gourgoura, E. & Nikolaidou, E., 2017. "Credit Risk Determinants in the Vulnerable Economies of Europe: Evidence from the Spanish Banking System," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 10(1), pages 60-71, March.
    2. Eftychia Nikolaidou & Sofoklis Vogiazas, 2014. "Credit Risk Determinants for the Bulgarian Banking System," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 20(1), pages 87-102, February.
    3. Vasiliki Makri & Konstantinos Papadatos, 2014. "How accounting information and macroeconomic environment determine credit risk? Evidence from Greece," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 7(1), pages 129-143, April.
    4. Iulia Andreea Bucur & Simona Elena Dragomirescu, 2014. "The Influence Of Macroeconomic Conditions On Credit Risk: Case Of Romanian Banking System," Studies and Scientific Researches. Economics Edition, "Vasile Alecsandri" University of Bacau, Faculty of Economic Sciences, issue 19.

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