Proceedings of The 2nd International Conference on Advanced Research in Business, Management and Economics
Impact of macroeconomic shocks on banking sector loan portfolio. An European approach
Bank solvency is liable to credit risk shocks, as a effect of poor loan portfolio quality. Given the importance of the banking sector in ensuring financial stability, I capture the impact of macroeconomic indicators shocks, which proved to be early warning factors for a loan portfolio quality, using a VAR model. At European level, it has proven to be vulnerable to changes in the dynamics of its own evolution, due to the harmful effects caused by the global financial crisis. The potential political implications concerned the importance of cleaning up the portfolio of non-performing loans, ensuring the recovery of financial intermediation and, economic development.
Keywords: macroprudentiality; NPL; shocks; solvency; VAR.