About this Journal Submit a Manuscript Table of Contents
Economics Research International
Volume 2011 (2011), Article ID 214689, 13 pages
http://dx.doi.org/10.1155/2011/214689
Research Article

Investigating the Determinants of Nonperforming Loans in the Romanian Banking System: An Empirical Study with Reference to the Greek Crisis

1South East European Research Centre, CITY College and Research Centre of the University of Sheffield, 24 Proxenou Koromila Street, 546 22 Thessaloniki, Greece
2Business Administration and Economics, CITY College—International Faculty of Sheffield University, Leontos Sofou Street, 546 22 Thessaloniki, Greece

Received 21 June 2011; Revised 24 August 2011; Accepted 24 August 2011

Academic Editor: Ali M. Kutan

Copyright © 2011 Sofoklis D. Vogiazas and Eftychia Nikolaidou. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Linked References

  1. R. Merton, “On the pricing of corporate debt: the risk structure of interest rates,” Journal of Finance, vol. 29, pp. 449–470, 1974.
  2. C. Reinhart and K. Rogoff, This Time is Different. Eight centuries of Financial Folly, Princeton University Press, Princeton, NJ, USA, 2009.
  3. S. Barisitz, “The transformation of the Romanian financial and banking sector,” OeNB Financial Stability Report 7, 2005.
  4. J. Bonin, I. Hasan, and P. Wachtel, “Banking in transition countries,” BOFIT Discussion Papers, no. 12, 2008.
  5. IMF, “Romania: financial sector stability assessment,” Country Report 10/47, 2010.
  6. M. Gavin and R. Hausmann, “The roots of banking crises: the macroeconomic context,” Inter-American Bank Working Paper, no. 318, pp. 1–20, 1996.
  7. D. W. Diamond and R. G. Rajan, “Liquidity shortages and banking crises,” Journal of Finance, vol. 60, no. 2, pp. 615–647, 2005. View at Publisher · View at Google Scholar
  8. A. Demirgüç-Kunt and E. Detragiache, “The determinants of banking crises in developing and developed countries,” IMF Staff Papers, vol. 45, no. 1, pp. 81–109, 1998.
  9. D. Hardy and C. Pazarbasioglu, “Leading indicators of banking crisis: was Asia different?” IMF Working Paper, no. 91, pp. 1–32, 1998.
  10. T. Wilson, “Portfolio credit risk (I),” Risk, vol. 10, no. 9, 1997.
  11. T. Wilson, “Portfolio credit risk (II),” Risk, vol. 10, no. 10, 1997.
  12. J. Pesola, “The role of macroeconomic shocks in banking crises,” Bank of Finland Discussion Paper, no. 6, 2001.
  13. H. Kalirai and M. Scheicher, “Macroeconomic stress testing: preliminary evidence for Austria,” OeNB, Financial Stability Report 3, pp. 58–74, 2002.
  14. J. Delgado and J. Saurina, “Credit risk and loan loss provisions. An analysis with macroeconomic variables,” Banco de Espana Working Paper, no. 12, 2004.
  15. C. Sims, “Macroeconomics and reality,” Econometrica, no. 48, 1980.
  16. W. Blaschke, M. Jones, G. Majnoni, and S. M. Peria, “Stress testing of financial systems: an overview of issues, methodologies, and FSAP experiences,” IMF Working Paper, vol. 188, pp. 2–56, 2001.
  17. G. Hoggarth, A. Logan, and L. Zicchino, “Macro stress tests of UK banks,” BIS Papers, no. 22, pp. 392–408, 2005.
  18. M. Gambera, “Simple forecasts of bank loan in the business cycle,” Emerging Issues Series, vol. 3, pp. 1–27, 2000.
  19. I. Baboucek and M. Jancar, “Effects of macroeconomic shock to the quality of the aggregate loan portfolio,” Czech National Bank, Working Paper, vol. 1, pp. 1–62, 2005.
  20. A. Foglia, “Stress testing credit risk: a survey of authorities' approaches,” Bank of Italy Working Paper, no. 37, 2008.
  21. M. Boss, “A macroeconomic credit risk model for stress testing the Austrian credit portfolio,” OeNB, Financial Stability Report 4, 2002.
  22. I. Trenca and A. Benyovszki, “Credit risk, a macroeconomic model application for Romania,” Finance and Challenges of the Future, vol. 7, pp. 118–126, 2008.
  23. K. Virolainen, “Macro stress testing with a macroeconomic credit risk model for finland,” Bank of Finland Discussion Papers, no. 18, 2004.
  24. F. Kalfaoglou, “Stress testing of the Greek banking system,” Bank of Greece Economic Bulletin, vol. 27, pp. 43–62, 2006.
  25. NBR, “Financial stability report 2010,” Tech. Rep., 2011.
  26. R. de Haas and I. van Lelyveld, “Foreign banks and credit stability in Central and Eastern Europe. A panel data analysis,” Journal of Banking and Finance, vol. 30, no. 7, pp. 1927–1952, 2006. View at Publisher · View at Google Scholar
  27. D. Louzis, A. Vouldis, and V. Metaxas, “Macroeconomic and bank-specific determinants of non-performing loans in Greece: a comparative study of mortgage, business and consumer loan portfolios,” Bank of Greece Working Paper, no. 110, pp. 1–41, 2010.
  28. O. Anastasakis, J. Bastian, and M. Watson, From Crisis to Recovery. Sustainable Growth in South East Europe, South East European Studies at Oxford, University of Oxford, Oxford, UK, 2011.