Influence of the macroeconomic variables on the credit risk rate and impact on the available capitals and jobs Cover Image

INFLUENȚA VARIABILELOR MACRO-ECONOMICE ASUPRA RATEI RISCULUI DE CREDIT ȘI IMPACTUL ASUPRA CAPITALURILOR ȘI LOCURILOR DE MUNCĂ DISPONIBILE
Influence of the macroeconomic variables on the credit risk rate and impact on the available capitals and jobs

Author(s): Florin Andrei
Subject(s): Financial Markets, Public Finances
Published by: Editura Mustang
Keywords: credit; risk; VAR model; capital; jobs; interest

Summary/Abstract: Given the macro-economic evolution of the past 6-7 years and their impact in the credit portfolios of the financial institutions, an increased interest is shown regarding risk management and early warning systems. The risk management represents an important item in the organization of the credit institutions and an increased supervision is made overthe quality of the credit portfolios.The research paper offers a perspective for the quantification of credit risk over the Romanian banking system illustrated by the VAR model analysis and review. By analysing the results of the VAR model it was observed that the most powerful influence is made by the exchange rate, but also an influence was detected from the interest rate and GDP. The model presented has the scope to define the interactions between the quality of the credit portfolios and the macroeconomic environment from Romania. Having in view the complexity of the data aggregation and their availability, it were used 62 quarterly observations, the sample period being January 2001 - June 2016.The influence of the credit risk in the banking capital and into the available jobs was quantified through a qualitative analysis performed at global level but also on the Romanian banking system.

  • Issue Year: 2/2017
  • Issue No: 2
  • Page Range: 56-69
  • Page Count: 14
  • Language: English, Romanian