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An Econometric model for the evolution of the Romanian Interbank Bid Rate (ROBID) in the context of the international financial crisis

Author

Listed:
  • Zapodeanu Daniela Author
  • Cociuba Mihail-Ioan

    (Faculty of Economics , University of Oradea)

Abstract

The paper presents the econometric modeling of overnight inter-banking interest rates (ROBID) in our country, the analyzed period is between 1999-2010. The international financial crises had a great impact on the level of inter-banking interest rates after 2007 and it reflects the new level of risk for the Romanian system banking. The econometric model used in modeling the interest rates is an autoregressive moving average (ARMA) model, the ARMA model is typically applied to time series data; the paper propose several ARMA models, applies econometric tests and based on them the analyzed series (the inter-banking interest rates) forecast will be made.

Suggested Citation

  • Zapodeanu Daniela Author & Cociuba Mihail-Ioan, 2010. "An Econometric model for the evolution of the Romanian Interbank Bid Rate (ROBID) in the context of the international financial crisis," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 3(38), pages 449-456, May.
    • Handle: RePEc:aio:aucsse:v:3:y:2010:7::p:449-456
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    File URL: http://feaa.ucv.ro/AUCSSE/0038v3-054.pdf
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    References listed on IDEAS

    as
    1. Lee Adkins, 2014. "Using gretl for Principles of Econometrics, 4th Edition," Economics Working Paper Series 1412, Oklahoma State University, Department of Economics and Legal Studies in Business.
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    More about this item

    Keywords

    ROBID; ARIMA model; financial crisis; forecast.;
    All these keywords.

    JEL classification:

    • I1 - Health, Education, and Welfare - - Health
    • I11 - Health, Education, and Welfare - - Health - - - Analysis of Health Care Markets
    • M00 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - General - - - General

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