Macro Variables Impact on Credit Risk and Influence in Banking Capital and Job Cuts in Romania

Abstract

The scope of the research paper is to capture the connection between the representative macro-economic variables, gross domestic product, gross salary income, exchange rate EUR/RON, active interest rate and unemployment rate, respectively the variables which quantify the credit risk, non-performing loans rate and credit risk rate. For the quantitative analysis we used the VAR econometric models, the study being completed with a qualitative analysis which observes the influence in the credit institutions capital and the available jobs in the financial-banking system.

The results obtained showed a considerable influence of the exchange rate, gross salary income and interest rate on the credit risk rate, while the non-performing loans rate was mostly influenced by the interest rate and gross salary income. The qualitative analysis exposed that at global level the losses registered in the banking sector were about 1.2 trillion USD, while the new capital raised was about 1 trillion USD and almost 390 thousand job cuts. In the Romanian banking sector, the study illustrates cumulated losses of 13.3 billion lei, compensated by an increase in capital at about 21 billion lei and restructuring of about 15 thousand jobs.

The results obtained have both practical applicability, but also in the economic policies, clearly exposing the effects of the credit risk through the deterioration of the macro-economic environment. The information presented through the empirical analysis can be used by the researches, supervision and regulatory authorities or by the credit institutions in stress testing, forecasts or resolution decisions.