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Forecasting credit growth rate in Romania: from credit boom to credit crunch?


  • Albulescu, Claudiu Tiberiu


The specialists paid a special attention to credit growth in the transitions countries due to its sharp increase during the last years. However, once the financial crisis started in 2008, the credit activity evolution reversed. Consequently, forecasting the credit trend has become a subject of interest in the context of the present financial and economic conditions, because the credit market blockage has a negative impact on economic activity revival and leads to the amplification of the uncertainty on financial markets. The main objective of this paper is to highlight the recent credit developments in Romania and to predict their future evolution. Based on the credit growth rate endogenous factors and using a stochastic simulation econometric model, we demonstrate that this economy experiences a passage from a credit boom to a severe credit crunch. The forecasting exercise results show a credit activity contraction up to the end of 2009, demolishing the expectations related to a near economic recovery in Romania.

Suggested Citation

  • Albulescu, Claudiu Tiberiu, 2009. "Forecasting credit growth rate in Romania: from credit boom to credit crunch?," MPRA Paper 16740, University Library of Munich, Germany, revised 10 Aug 2009.
  • Handle: RePEc:pra:mprapa:16740

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    References listed on IDEAS

    1. Aleksandra Zdzienicka, 2009. "Vulnerabilities in Central and Eastern Europe : Credit Growth," Working Papers 0912, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
    2. Boris Hofmann, 2001. "The determinants of private sector credit in industrialised countries: do property prices matter?," BIS Working Papers 108, Bank for International Settlements.
    3. Sangkyun Park, 1993. "The determinants of consumer installment credit," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 23-38.
    4. Calza, Alessandro & Sousa, João & Manrique, Marta, 2003. "Aggregate loans to the euro area private sector," Working Paper Series 202, European Central Bank.
    5. de Haas, Ralph & van Lelyveld, Iman, 2006. "Foreign banks and credit stability in Central and Eastern Europe. A panel data analysis," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 1927-1952, July.
    6. Philippe D Karam & Douglas Hostland, 2006. "Specification of a Stochastic Simulation Model for Assessing Debt Sustainability in Emerging Market Economies," IMF Working Papers 06/268, International Monetary Fund.
    7. Peter Backé & Balázs Égert & Zoltan Walko, 2007. "Credit Growth in Central and Eastern Europe Revisited," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 69-77.
    8. Abdelaziz Rouabah, 2007. "Mesure de la vulnérabilité du secteur bancaire luxembourgeois," BCL working papers 24, Central Bank of Luxembourg.
    9. Lensink, Robert & Hermes, Niels, 2004. "The short-term effects of foreign bank entry on domestic bank behaviour: Does economic development matter?," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 553-568, March.
    10. Clarke, George & Cull, Robert & Martinez Peria, Maria Soledad & Sanchez, Susana M., 2001. "Foreign bank entry - experience, implications for developing countries, and agenda for further research," Policy Research Working Paper Series 2698, The World Bank.
    11. Burcu Aydin, 2008. "Banking Structure and Credit Growth in Central and Eastern European Countries," IMF Working Papers 08/215, International Monetary Fund.
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    Cited by:

    1. Shijaku, Gerti & Kalluci, Irini, 2013. "Determinants of bank credit to the private sector: The case of Albania," MPRA Paper 79092, University Library of Munich, Germany.
    2. Nasreen, Samia & Anwar, Sofia & Ozturk, Ilhan, 2017. "Financial stability, energy consumption and environmental quality: Evidence from South Asian economies," Renewable and Sustainable Energy Reviews, Elsevier, vol. 67(C), pages 1105-1122.
    3. Shijaku, Gerti, 2016. "Foreign currency lending in Albania," MPRA Paper 79087, University Library of Munich, Germany.

    More about this item


    credit growth rate; forecasts; stochastic simulation; credit crunch;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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