IDEAS home Printed from https://ideas.repec.org/a/khe/journl/v7y2015i3p198-204.html
   My bibliography  Save this article

Econometric Model Regarding the Financial Stability at the Macroeconomic Level

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: http://orizonturi.ucdc.ro/arhiva/khe-vol7-nr3-2015/Niculae_Simionescu.pdf
    Download Restriction: no
    File URL: http://orizonturi.ucdc.ro/arhiva/khe-vol7-nr3-2015/Niculae_Simionescu.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Christopher F Baum, 2001. "Residual diagnostics for cross-section time series regression models," Stata Journal, StataCorp LP, vol. 1(1), pages 101-104, November.
    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.
    Full references (including those not matched with items on IDEAS)

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:khe:journl:v:7:y:2015:i:3:p:198-204. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Adi Sava). General contact details of provider: http://edirc.repec.org/data/ffucdro.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.