文章基本信息

标题：Case – study Concerning the Effects of the Macroeconomic Variables on the Loan Portfolios Quality of the Romanian Banking Sector Using the VAR Model and Least Squares Method
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作者：Manta, Alina Georgiana ; Badîrcea, Roxana Maria
期刊名称：Finante - provocarile viitorului (Finance - Challenges of the Future)
印刷版ISSN：1583-3712
出版年度：2013
卷号：1
期号：15
页码：96-103
出版社：University of Craiova, Faculty of Economics and Business Administration
摘要：The purpose of this article is to analyze the effects of Romania's macroeconomic variables of the loan portfolio quality of the banking sector. Specifically, the study seeks to emphasize the interdependent macroeconomic elements that influence the evolution of credit portfolio quality for commercial banks. To achieve these correlations we use both the VAR model and the method of least squares. Monetary and structural influences are highlighted by using cumulative impulse – answer functions. The results show that monetary factors have contributed greatly to the intensity of financial crises. Beyond these results, it can be concluded that the interest rate and real exchange rate play an important role in sizing the loan portfolio quality at the banking system level.
关键词：interest rate; economic growth; exchange rate; credit risk rate