Table 4: Unit root tests of significant variables.

ADF test statistic
(constant)
P valueADF test statistic
(constant and trend)
P valueTransformation

Credit risk
 Loss loan provisions/total loans (R)−2.898*0.049−3.775 0.021First differences
Macroeconomic and cyclical indicators
 Construction−7.4710.000−7.9520.000First differences logs
 Gross fixed capital formation−7.5730.000−8.0790.000First differences logs
 Total gross external debt/GDP−3.026*0.035−3.228**0.084First differences
 Unemployment−6.0240.000−4.6000.001None
 Total consumption−7.8550.000−8.2470.000First differences logs
 CPI−5.7670.000−3.320**0.068None
 Trade balance−11.4000.000−11.3980.000First differences
Monetary indicators
 M1−2.6480.008−12.9190.000First differences logs
 M2−12.3930.000−12.5900.000First differences logs
Interest rates indicators
 Euribor 3 month−4.1900.001−4.1800.006First differences
Romanian banking system indicators
 Credit−4.2460.000−4.4800.002First differences logs
Greek fiscal crisis and banking indicators
 Loss loan provisions/total loans−5.0930.000−5.2370.000Second differences
 Spread Greek-German 10-year bond−3.7420.004−4.4610.002First differences
 Greek 10-year bond−2.673**0.082−3.387*0.058First differences
 ECB Reliance Index I−8.8850.000−9.3970.000First differences

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