Credit Risk in the Romanian Banking System: Evidence from an ARDL Model

Part of the Contributions to Economics book series (CE)


This paper provides empirical evidence on the determinants of credit risk in the Romanian banking system over the period December 2001 to November 2010 by employing the Autoregressive Distributed Lag (ARDL) approach to cointegration. This approach allows us to investigate both the long-run and the short-run determinants of credit risk and has only recently been employed in the relevant literature. Empirical findings indicate that bank specific factors (credit growth) as well as macroeconomic activity factors (money supply and unemployment) all have a significant impact on Romania’s credit risk both in the short and in the long-run. Furthermore, the findings strongly support our hypothesis that the Greek crisis has a significant impact on Romanian non-performing loans.


Credit Risk Banking Sector Macroeconomic Variable Credit Expansion Credit Growth 
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© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  1. 1.Business Administration and EconomicsCITY College – International Faculty of the University of SheffieldThessalonikiGreece
  2. 2.South East European Research CentreResearch Centre of the University of Sheffield and CITY CollegeThessalonikiGreece

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