Investigating the Determinants of Nonperforming Loans in the Romanian Banking System: An Empirical Study with Reference to the Greek Crisis
Table 3
The complete dataset.
Indicators
Definition interpretation
Source
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 items
National Bank of Romania and authors’ calculations
Credit risk
Gross 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 items
National Bank of Romania
Defaulters/Debtors
Number of total loan debtors to total loan defaulters (legal and natural entities)
National Bank of Romania
Macroeconomic and cyclical indicators
CPI
Consumer price index annual rate (%)
European Central Bank
GDP
Real gross domestic product
NISR & Authors’ calculations
Current account
Current account
National Bank of Romania
Current account/GDP
Current account as % of GDP
Authors’ calculations
Construction
Construction sector expenditure contribution in GDP at constant terms
NISR
Gross fixed capital formation (investment)
Investment expenditure contribution in GDP at constant terms
NISR
Total consumption
Total consumption contribution in GDP at constant terms
NISR
Household consumption
Household consumption contribution in GDP at constant terms
NISR
FDI monthly stock
Foreign direct investment, net, monthly
National Bank of Romania
FDI annual flow
Foreign direct investment, net, accumulated
National Bank of Romania
Trade balance
Imports minus exports (constant terms)
National Bank of Romania
Unemployment
Registered unemployment rate (%)
National Bank of Romania and European Central Bank
Total gross external debt
Total gross external debt (general government, monetary authority, banks, and other sectors)
National Bank of Romania
Total gross external government debt
Total gross external debt general government (short and long term)
National Bank of Romania
Total gross external debt banks
Total gross external debt banks (short and long term)
National Bank of Romania
Total gross external debt/GDP
Total gross external debt as % of gross domestic product
Authors’ calculations
Total gross external debt banks/GDP
Total gross external debt banks as % of gross domestic product
Authors calculations
Monetary indicators
M1
Narrow money. Comprises currency in circulation plus overnight deposits. Also proxies gross domestic product
National Bank of Romania
M2
Intermediate money. Comprises M1 plus highly liquid deposits.
National Bank of Romania
M3
Broad money. Comprises M2 plus marketable instruments issued by monetary and financial institutions
National Bank of Romania
Interest rates indicators
Euribor 1 month
Historical close, average of observations (% p.a.)
Reuters
Euribor 3 month
Historical close, average of observations (% p.a.)
Reuters
Robor 3 month
Historical close, average 3-month interest rate on operations to place funds (% p.a.)
National Bank of Romania
Robor 12 months
Historical close, average 12-month interest rate on operations to place funds (% p.a.)
National Bank of Romania
Spread differential Euribor-Robor
Euribor 3M minus Robor 3M
Authors’ calculations
Romanian long term-bond
Average interest rate of long-term Romanian government bond (% p.a.)
National Bank of Romania
German 10-year bond
Secondary market yield of 10-year German government bond
European Central Bank
Spread Romanian-German bond
Spread differential between Romanian and German long-term government bond yield
Authors’ calculations
Financial markets indicators
BET
The Bucharest Exchange Trading index. Comprises the ten most liquid companies listed on the BSE regulated market
National Bank of Romania
BET-C
The Composite Index of Bucharest Stock Exchange. Represents the overall performance of all companies listed on the BSE regulated market
National Bank of Romania
RASDAQ
The index captures the over-the-counter market
National Bank of Romania
Dow Jones Euro Stoxx 50
Equity index. Indicator of economic prospects and market sentiment
Datastream
Athens Stock Exchange (general)
General Index Athens Stock Exchange ()
Bank of Greece
Athens Stock Exchange (banks)
Banking Index Athens Stock Exchange ()
Bank of Greece
Oil
Brent crude oil price fob in Euro per barrel
European Central Bank and authors’ calculations
Ron/Eur
Monthly average spot exchange rate on Forex market
European Central Bank
Ron/Usd
Monthly average spot exchange rate on Forex market
European Central Bank
Usd/Eur
Monthly average spot exchange rate on Forex market
European Central Bank
Romanian banking system indicators
Credit
Total loans granted by Romanian credit institutions
National Bank of Romania
Leverage ratio
Capital/assets. Key prudential indicator
National Bank of Romania
Liquidity ratio
Effective liquidity/required liquidity. Measures banking system liquidity. Key prudential indicator
National Bank of Romania and authors’ calculations
Interest rate on loans
Average interest rate of credit institutions charged on loans to nonfinancial corporations and households (% p.a.)
NBR
Interest rate on deposits
Average interest rate paid by credit institutions on nonfinancial corporations and households time deposits (% p.a.)
NBR
Spread loan-deposit rate
Interest 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 institutions
Bank of Greece and authors’ calculations
Credit
Total loans granted by Greek credit institutions
Bank of Greece
Leverage ratio
Capital/assets. Key prudential indicator
Bank of Greece and authors’ calculations
Loans-to-deposits ratio
Loans/deposits. Proxy for liquidity
Bank of Greece
Greek 10-year bond
Secondary market yield of the 10-year Greek government bond
European Central Bank
Spread Greek-German bond
Spread differential between Greek and German long-term government bond yield
Authors’ calculations
ECB Reliance Index I
Greek 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 crisis
Bank of Greece and authors’ calculations
ECB Reliance Index II
Greek banks’ financing by European Central Bank to total loans of the Greek banking system. Proxy for the Greek banking system “liquidity gap”
