Forecasting Romanian Financial System Stability using a Stochastic Simulation Model
AbstractThe aim of this paper is to develop an aggregate stability index for the Romanian financial system, which is meant to enhance the set of analysis used by authorities to assess the financial system stability. The index takes into consideration indicators related to financial system development, vulnerability, soundness and also indicators which characterise the international economic climate. Another purpose of our study is to forecast the financial stability level, using a stochastic simulation model. The outcome of the study shows an improvement of the Romanian financial system stability during the period 1999-2007. The constructed aggregate index captures the financial turbulences periods like 1998-1999 Romanian banking crisis and 2007 subprime crisis. The forecasted values of the index show a deterioration of financial stability in 2009, influenced by the estimated decline of the financial and economic activity.
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Bibliographic InfoPaper provided by International Network for Economic Research - INFER in its series Working Papers with number 2009.4.
Length: 22 pages
Date of creation: 2009
Date of revision:
financial stability; aggregate financial stability index; forecasting systemic stability; stochastic simulation model;
Find related papers by JEL classification:
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G01 - Financial Economics - - General - - - Financial Crises
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-01-30 (All new papers)
- NEP-BAN-2010-01-30 (Banking)
- NEP-CMP-2010-01-30 (Computational Economics)
- NEP-FOR-2010-01-30 (Forecasting)
- NEP-RMG-2010-01-30 (Risk Management)
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