Investigating the Determinants of Nonperforming Loans in the Romanian Banking System: An Empirical Study with Reference to the Greek Crisis
Table 2
Regression output of the multivariate model.
Dependent Variable: loss loan provisions/total loans (R)
Method: Least Squares
Variable
Coefficient
Std. error
t-statistic
Prob.
C
0.000523
0.000399
1.311663
0.1932
CPI
−0.000150
3.00E-05
−4.997403
0.0000
Unemployment
0.000263
7.70E-05
3.422545
0.0010
Construction
−0.003324
0.001184
−2.806879
0.0062
Gross fixed capital formation (−12)*
−0.003555
0.001441
−2.466644
0.0157
Total gross external debt/GDP (−3)
0.012220
0.002648
4.614924
0.0000
M2
−0.008042
0.002274
−3.536230
0.0007
Loss loan provisions/total loans (GR)
0.452571
0.194031
2.332466
0.0221
Spread Greek-German bond (−1)
0.001251
0.000440
2.843167
0.0056
R-squared
0.657178
Mean dependent var
0.000852
Adjusted R-squared
0.624529
S.D. dependent var
0.001507
S.E. of regression
0.000923
Akaike info criterion
−11.04576
Sum squared resid
7.16E-05
Schwarz criterion
−10.80067
Log likelihood
522.6277
F-statistic
20.12818
Durbin-Watson stat
2.261533
Prob (F-statistic)
0.000000
*Numbers in parentheses indicate the lag of the respective variable used in model estimation. All indicators (individually and jointly) included in the model are significant at the 1% confidence level.
