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.
Author Biographies
Ana-Maria Sandica, The Bucharest University of Economic Studies
Researcher, PhD
Monica Dudian, The Bucharest University of Economic Studies
Professor, Department of Economics and Economic Policies
