Table 3: The complete dataset.

IndicatorsDefinition interpretationSource

Credit risk for the Romanian banking system
 Loss loan provisions/total loans (R)Doubtful and loss loans provisions to total loans granted by credit institutions, excluding off-balance-sheet itemsNational Bank of Romania and authors’ calculations
 Credit riskGross exposure related to nonbank loans and interest under “doubtful” and “loss” to total loans and interest classified related to nonbank loans, excluding off-balance-sheet itemsNational Bank of Romania
 Defaulters/DebtorsNumber of total loan debtors to total loan defaulters (legal and natural entities)National Bank of Romania

Macroeconomic and cyclical indicators
 CPIConsumer price index annual rate (%)European Central Bank
 GDPReal gross domestic productNISR & Authors’ calculations
 Current accountCurrent accountNational Bank of Romania
 Current account/GDPCurrent account as % of GDPAuthors’ calculations
 ConstructionConstruction sector expenditure contribution in GDP at constant termsNISR
 Gross fixed capital formation (investment)Investment expenditure contribution in GDP at constant termsNISR
 Total consumptionTotal consumption contribution in GDP at constant termsNISR
 Household consumptionHousehold consumption contribution in GDP at constant termsNISR
 FDI monthly stockForeign direct investment, net, monthlyNational Bank of Romania
 FDI annual flowForeign direct investment, net, accumulatedNational Bank of Romania
 Trade balanceImports minus exports (constant terms)National Bank of Romania
 UnemploymentRegistered unemployment rate (%)National Bank of Romania and European Central Bank
 Total gross external debtTotal gross external debt (general government, monetary authority, banks, and other sectors)National Bank of Romania
 Total gross external government debtTotal gross external debt general government (short and long term)National Bank of Romania
 Total gross external debt banksTotal gross external debt banks (short and long term)National Bank of Romania
 Total gross external debt/GDPTotal gross external debt as % of gross domestic productAuthors’ calculations
 Total gross external debt banks/GDPTotal gross external debt banks as % of gross domestic productAuthors calculations

Monetary indicators
 M1Narrow money. Comprises currency in circulation plus overnight deposits. Also proxies gross domestic productNational Bank of Romania
 M2Intermediate money. Comprises M1 plus highly liquid deposits.National Bank of Romania
 M3Broad money. Comprises M2 plus marketable instruments issued by monetary and financial institutionsNational Bank of Romania

Interest rates indicators
 Euribor 1 monthHistorical close, average of observations (% p.a.)Reuters
 Euribor 3 monthHistorical close, average of observations (% p.a.)Reuters
 Robor 3 monthHistorical close, average 3-month interest rate on operations to place funds (% p.a.)National Bank of Romania
 Robor 12 monthsHistorical close, average 12-month interest rate on operations to place funds (% p.a.)National Bank of Romania
 Spread differential Euribor-RoborEuribor 3M minus Robor 3MAuthors’ calculations
 Romanian long term-bondAverage interest rate of long-term Romanian government bond (% p.a.)National Bank of Romania
 German 10-year bondSecondary market yield of 10-year German government bondEuropean Central Bank
 Spread Romanian-German bondSpread differential between Romanian and German long-term government bond yieldAuthors’ calculations

Financial markets indicators
 BETThe Bucharest Exchange Trading index. Comprises the ten most liquid companies listed on the BSE regulated marketNational Bank of Romania
 BET-CThe Composite Index of Bucharest Stock Exchange. Represents the overall performance of all companies listed on the BSE regulated marketNational Bank of Romania
 RASDAQThe index captures the over-the-counter marketNational Bank of Romania
 Dow Jones Euro Stoxx 50Equity index. Indicator of economic prospects and market sentimentDatastream
 Athens Stock Exchange (general)General Index Athens Stock Exchange ( )Bank of Greece
 Athens Stock Exchange (banks)Banking Index Athens Stock Exchange ( )Bank of Greece
 OilBrent crude oil price fob in Euro per barrelEuropean Central Bank and authors’ calculations
 Ron/EurMonthly average spot exchange rate on Forex marketEuropean Central Bank
 Ron/UsdMonthly average spot exchange rate on Forex marketEuropean Central Bank
 Usd/EurMonthly average spot exchange rate on Forex marketEuropean Central Bank

Romanian banking system indicators
 CreditTotal loans granted by Romanian credit institutionsNational Bank of Romania
 Leverage ratioCapital/assets. Key prudential indicatorNational Bank of Romania
 Liquidity ratioEffective liquidity/required liquidity. Measures banking system liquidity. Key prudential indicatorNational Bank of Romania
 Loans to assetsLoans granted to clients (gross value)/total assets (gross value). Key prudential indicatorNational Bank of Romania
 Loans-to-deposits ratioLoans/deposits. Proxy for liquidityNational Bank of Romania and authors’ calculations
 Interest rate on loansAverage interest rate of credit institutions charged on loans to nonfinancial corporations and households (% p.a.)NBR
 Interest rate on depositsAverage interest rate paid by credit institutions on nonfinancial corporations and households time deposits (% p.a.)NBR
 Spread loan-deposit rateInterest rate differential between loans and deposits of on nonfinancial corporations and households time deposits (% p.a.)Authors’ calculations

Greek fiscal crisis and banking system indicators
 Loss loan provisions/total loans (GR)Loss loans provisions to total loans granted by Greek credit institutionsBank of Greece and authors’ calculations
 CreditTotal loans granted by Greek credit institutionsBank of Greece
 Leverage ratioCapital/assets. Key prudential indicatorBank of Greece and authors’ calculations
 Loans-to-deposits ratioLoans/deposits. Proxy for liquidityBank of Greece
 Greek 10-year bondSecondary market yield of the 10-year Greek government bondEuropean Central Bank
 Spread Greek-German bondSpread differential between Greek and German long-term government bond yieldAuthors’ calculations
 ECB Reliance Index IGreek banks’ financing by European Central Bank to total assets of the Greek banking system. Proxy for the Greek banking system distress as a result of the fiscal crisisBank of Greece and authors’ calculations
 ECB Reliance Index IIGreek banks’ financing by European Central Bank to total loans of the Greek banking system. Proxy for the Greek banking system “liquidity gap”Bank of Greece and authors’ calculations