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

Table 4

Unit root tests of significant variables.

	ADF test statistic; (constant)	P value	ADF test statistic; (constant and trend)	P value	Transformation
Credit risk
Loss loan provisions/total loans (R)	−2.898*	0.049	−3.775	0.021	First differences
Macroeconomic and cyclical indicators
Construction	−7.471	0.000	−7.952	0.000	First differences logs
Gross fixed capital formation	−7.573	0.000	−8.079	0.000	First differences logs
Total gross external debt/GDP	−3.026*	0.035	−3.228**	0.084	First differences
Unemployment	−6.024	0.000	−4.600	0.001	None
Total consumption	−7.855	0.000	−8.247	0.000	First differences logs
CPI	−5.767	0.000	−3.320**	0.068	None
Trade balance	−11.400	0.000	−11.398	0.000	First differences
Monetary indicators
M1	−2.648	0.008	−12.919	0.000	First differences logs
M2	−12.393	0.000	−12.590	0.000	First differences logs
Interest rates indicators
Euribor 3 month	−4.190	0.001	−4.180	0.006	First differences
Romanian banking system indicators
Credit	−4.246	0.000	−4.480	0.002	First differences logs
Greek fiscal crisis and banking indicators
Loss loan provisions/total loans	−5.093	0.000	−5.237	0.000	Second differences
Spread Greek-German 10-year bond	−3.742	0.004	−4.461	0.002	First differences
Greek 10-year bond	−2.673**	0.082	−3.387*	0.058	First differences
ECB Reliance Index I	−8.885	0.000	−9.397	0.000	First differences

*5% significance level, **10% significance level.