Investigating the Determinants of Nonperforming Loans in the Romanian Banking System: An Empirical Study with Reference to the Greek Crisis
Table 1
Results of the univariate regressions.
Regression on current factor
Regression on lagged factor
Expected sign
Coefficient
t-stat
P value
R 2
Coefficient
t-stat
P value
R 2
lag(s)
Macroeconomic and cyclical indicators
Construction
−
−0.005
3.15
0.002
0.09
−0.004
2.58
0.011
0.06
12
Gross fixed capital formation
−
−0.005
3.13
0.002
0.09
−0.003
2.33
0.004
0.04
12
Total gross external debt/GDP
−
−0.002
4.59
0.000
0.17
0.02
3.90
0.000
0.13
3
Unemployment
+
−0.001
1.98
0.049
0.04
−0.001
3.75
0.000
0.13
12
Total consumption
−
−0.005
2.66
0.009
0.06
−0.004
2.26
0.026
0.05
1
CPI
−
−0.001
5.67
0.000
0.23
−0.001
4.86
0.000
0.19
3
Trade balance
−
−0.001
2.64
0.01
0.06
−0.001
3.06
0.003
0.09
12
Monetary indicators
M1
−
−0.006
2.99
0.003
0.08
−0.005
2.68
0.008
0.07
3
M2
−
−0.013
2.96
0.004
0.08
−0.01
2.50
0.014
0.06
3
Interest rates
Euribor 3 month
+
−0.003
3.51
0.000
0.10
−0.003
3.46
0.000
0.11
3
Romanian banking system indicators
Credit
+/−
−0.03
5.16
0.000
0.2
−0.02
4.10
0.000
0.14
3
Greek fiscal crisis and banking indicators
Loss Loan Provisions/total loans
+
0.46
2.66
0.009
0.06
0.40
2.10
0.040
0.04
3
Spread Greek-German bond
+
0.01
3.24
0.000
0.09
0.01
3.00
0.000
0.08
3
Greek 10-year bond
+
0.01
2.45
0.021
0.05
0.01
3.50
0.000
0.10
1
ECB Reliance Index I
+/−
0.04
1.71
0.090
0.03
0.07
3.87
0.000
0.13
3
Only the significant indicators are presented on the table due to space limitations. The indicator spread Greek-German bond is also significant at lag 1.
