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Theoretical and Applied Economics
No. 5 / 2012 (570)

Comportamentul financiar al populaţiei în timpul crizei

Bogdan CHIRIACESCU
Bucharest Academy of Economic Studies
Luminița TĂTĂRICI
Bucharest Academy of Economic Studies
Cristina VIŞAN
Bucharest Academy of Economic Studies

Abstract. This paper presents a framework for credit risk modeling of the household sector that follows a top-down approach using panel techniques. The results indicate that the determinants of default on bank loans are unemployment, exchange rate, industrial production, indebtedness and interest rate spreads. It is remarked that default events for the household sector occur with delay in case of adverse macroeconomic developments. There are two possible explanations: i) there is no personal bankruptcy law for individuals, and ii) public administration appears to adjusts slower during recessions, an important part of the work force being part of this system.

Keywords: financial stability; credit risk; panel estimation; default.

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