The purpose of this article is to analyze the effects of Romania's macroeconomic variables of the loan portfolio quality of the banking sector. Specifically, the study seeks to emphasize the interdependent macroeconomic elements that influence the evolution of credit portfolio quality for commercial banks. To achieve these correlations we use both the VAR model and the method of least squares. Monetary and structural influences are highlighted by using cumulative impulse – answer functions. The results show that monetary factors have contributed greatly to the intensity of financial crises. Beyond these results, it can be concluded that the interest rate and real exchange rate play an important role in sizing the loan portfolio quality at the banking system level.