The foundations of Macrofinance lie in the fusion of financial and banking variables with macroeconomic variables, such as interest rates and GDP. Consequently, it is possible to assess these dimensions at three levels: the aggregate level, country level, or financial system (countries) level. At the aggregate level, time series econometrics proves effective in cases where the focus of analysis pertains to macroeconomic aspects, i.e., when the dependent variable is typically macroeconomic. However, when the analysis centers on financial variables, the use of aggregate series may not be optimal due to the inherent bias in size resulting from the aggregation of Bank Risk Variables. 

This size bias is exemplified when calculating non-performing loans (NPL), as it divides all credit outstanding for over 90 days by the total credit. While this measurement method facilitates cross-country comparisons of NPL, it can lead to disproportionately higher NPL ratios for larger banks within the same country when compared to their smaller counterparts.