Determinants of Households’ Overdue Loans in Romania

Abstract

The paper’s target is to identify macroeconomic and financial variables that are relevant for the evolution and forecassting of the household’s overdue loans in Romania. By employing vector autoregression and systems of ecuations using the SUR methodology, the authors are trying to respond to the following questions: (1) Which are the lags and the individual intensities of the macroeconomic relevant indicators when affecting the household overdue loans rate?; (2) What are the characteristics of the loans reimbursement behavior in case of shocks on the labor, monetary, goods and services markets? The empirical analysis is based on monthly data which allows for assessing the quality of household loan repayment, both in terms of number of overdue loans and in terms of overdue loan volumes. The relevant explanatory variables were used in various configurations and lags for constructing several macroeconomic credit risk models.

Keywords

• Overdue Loans
• Money
• FX Markets
• Labor
• Goods
• Services
• Financial Stability