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Quantifying the effects of the macroeconomic variables on the loan portofolio quality for the Romanian banking system using the VAR model

Author

Listed:
  • Marin OPRITESCU
  • Alina MANTA
  • Mircea PERPELEA

    (University of Craiova)

Abstract

The purpose of this paper is to evaluate the impact of the macroeconomic variables such as the Gross Domestic Product, the exchange rate and the interest rate over the quality of the loan portofolio. Therefore, the methodology of our research consists of applying the VAR model under the Eviews Statistical Software using the annual data collected from the European Central Bank Statistical Warehouse and from the National Bank of Romania for the period 2000 – 2009. Consequently, we reached to the conclusion that the good quality of a loan portofolio is due to a depreciation of the exchange rate. Instead, a high level of the interest rate raises the probability of the default risk.

Suggested Citation

  • Marin OPRITESCU & Alina MANTA & Mircea PERPELEA, 2010. "Quantifying the effects of the macroeconomic variables on the loan portofolio quality for the Romanian banking system using the VAR model," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, vol. 1(11), pages 14-20, May.
    • Handle: RePEc:aio:fpvfcf:v:1:y:2010:i:11:p:14-20
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    More about this item

    Keywords

    banking crisis; VAR model; loan portofolio quality;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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