Research Article
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.
|