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Integration Of Macroeconomic Variables In The Analysis Of Credit Risk And The Impact On The Rate Of Return Of Companies And The Degree Of Corporate Indebtedness

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  • Luminita Gabriela ISTRATE

Abstract

The credit risk management is an important component of the activity of credit institutions, and an increased supervision is mainly done through credit portfolios. The research offers a perspective on the quantification of non-performing loan rate within the Romanian banking system. The results obtained showed that the strongest impact is that of the EUR/RON exchange rate, however, neither the influence of the impaired receivable rate in the total assets of credit institutions nor the monetary policy interest rate are to be neglected. The presented model aims to define the relationship between the quality of credit portfolios and the macroeconomic environment in Romania. In this respect, 25 annual observations were analysed, the reviewed period of time being 2015 - 2019.

Suggested Citation

  • Luminita Gabriela ISTRATE, 2020. "Integration Of Macroeconomic Variables In The Analysis Of Credit Risk And The Impact On The Rate Of Return Of Companies And The Degree Of Corporate Indebtedness," Proceedings of the INTERNATIONAL MANAGEMENT CONFERENCE, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 14(1), pages 173-181, November.
    • Handle: RePEc:rom:mancon:v:14:y:2020:i:1:p:173-181
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    References listed on IDEAS

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    1. Castro, Vítor, 2013. "Macroeconomic determinants of the credit risk in the banking system: The case of the GIPSI," Economic Modelling, Elsevier, vol. 31(C), pages 672-683.
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    3. Philip Arestis & Maggie Mo Jia, 2019. "Credit risk and macroeconomic stress tests in China," Journal of Banking Regulation, Palgrave Macmillan, vol. 20(3), pages 211-225, September.
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    5. Matteo Alessi & Stefano Di Colli & Juan Sergio Lopez, 2014. "Loan Loss Provisioning and Relationship Banking in Italy: Practices and Empirical Evidence," Journal of Entrepreneurial and Organizational Diversity, European Research Institute on Cooperative and Social Enterprises, vol. 3(1), pages 111-129, June.
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