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Econometric Model Regarding the Financial Stability at the Macroeconomic Level

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  • Mirela Niculae

    ()

  • Mihaela Simionescu

    ()

Abstract

In this study, a vector-autoregression of order 2 was proposed to explain the evolution of monetary policy interest rate and consumer index of prices, which is better correlated with the interest rate than the GDP during 2000:Q1-2013:Q4. According to Granger causality test for the stationary data, at 1% level of significance the inflation rate is a cause for the interest rate.The variation of the logarithm from interest rate in the first period is due only to the changes in this variable. In the second period, 0.63% of the variation in log_ir is due to the changes in log_CPI. The impact of the inflation increases in time, the contribution of log_cpi arriving till 5.33% in the 10th period. 41.32% of the variation in log_cpi is due to the changes in log_ir, the influence of this variable decreasing over time, till 20.64% in the 10th period. The stability of interest rate can be better ensured by controlling the inflation rate and mentioning it to a stable value .

Suggested Citation

  • Mirela Niculae & Mihaela Simionescu, 2015. "Econometric Model Regarding the Financial Stability at the Macroeconomic Level," Knowledge Horizons - Economics, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 7(3), pages 198-204, September.
    • Handle: RePEc:khe:journl:v:7:y:2015:i:3:p:198-204
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    References listed on IDEAS

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    1. Baum, Christopher F., 2001. "Residual diagnostics for cross-section time series regression models," Stata Journal, StataCorp LP, vol. 1(1), pages 1-4.
    2. Baltagi, Badi H. & Demetriades, Panicos O. & Law, Siong Hook, 2009. "Financial development and openness: Evidence from panel data," Journal of Development Economics, Elsevier, vol. 89(2), pages 285-296, July.
    3. Triandafil, Cristina Maria, 2012. "Politica Macro-Prudentiala Si Procesul De Convergenta La Nivelul Uniunii Europene," Studii Economice 121122, National Institute of Economic Research.
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    More about this item

    Keywords

    Vector-autoregression; interest rate; consumer index of prices; financial stability;

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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