期刊名称：Finante - provocarile viitorului (Finance - Challenges of the Future)
印刷版ISSN：1583-3712
出版年度：2011
卷号：1
期号：13
页码：89-95
出版社：University of Craiova, Faculty of Economics and Business Administration
摘要：The bank management must decide the proportion placed in different assets and liabilities in order to achieve the desired profitability level and to respect the liquidity, solvency and prudential requirements. Regarding these proportions, the objective of our article is to present a framework for modeling the risk-efficiency relationship for the Romanian banking system. To test the relationship between risk and performance we have performed the Granger causality test and the Vector Autoregressive representation for several risk and profitability variables of the Romanian banks. The result revealed significant causalities between risk and performance ratios in the 2007-2010 period.
关键词：bank performance; VAR models; Granger causality
