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, Institutul National de Cercetari Economice (INCE).
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Katsushi S. Imai & Raghav Gaiha & Ganesh Thapa & Samuel Kobina Annim, 2013. "Financial Crisis In Asia: Its Genesis, Severity And Impact On Poverty And Hunger," Journal of International Development, John Wiley & Sons, Ltd., vol. 25(8), pages 1105-1116, November.
    2. Hany Eldemerdash & Hugh Metcalf & Sara Maioli, 2014. "Twin deficits: new evidence from a developing (oil vs. non-oil) countries’ perspective," Empirical Economics, Springer, vol. 47(3), pages 825-851, November.
    3. Farla, Kristine, 2012. "Institutions and credit," MERIT Working Papers 2012-038, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    4. Oasis Kodila-Tedika & Simplice Asongu, 2015. "The Effect of Intelligence on Financial Development: A Cross-Country Comparison," Working Papers of the African Governance and Development Institute. 15/002, African Governance and Development Institute..
    5. Maryam Almasifard & Sasan Torabzadeh Khorasani, 2017. "Relationship Between Domestic Production in Agricultural and Industrial Sectors and Purchasing Power by Controlling for International Trade Variables (Iran)," International Journal of Economics and Financial Issues, Econjournals, vol. 7(4), pages 244-253.
    6. Abayomi Toyin Onanuga Olaronke Toyin Onanuga, 2016. "Do Financial and Trade Openness Lead to Financial Sector Development in Nigeria?," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 19(2), pages 57-68, November.
    7. James B. Ang & Jakob B. Madsen, 2012. "Risk capital, private credit, and innovative production," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 45(4), pages 1608-1639, November.
    8. Kroes, James R. & Manikas, Andrew S. & Gattiker, Thomas F., 2018. "Operational leanness and retail firm performance since 1980," International Journal of Production Economics, Elsevier, vol. 197(C), pages 262-274.
    9. Matthias Hartmann & Helmut Herwartz & Yabibal M. Walle, 2012. "Where enterprise leads, finance follows. In-sample and out-of-sample evidence on the causal relation between finance and growth," Economics Bulletin, AccessEcon, vol. 32(1), pages 871-882.
    10. Olivia D'Aoust & Olivier Sterck, 2016. "Who Benefits from Customary Justice? Rent-seeking, Bribery and Criminality in sub-Saharan Africa," Journal of African Economies, Centre for the Study of African Economies (CSAE), vol. 25(3), pages 439-467.
    11. Sin-Yu Ho & N.M. Odhiambo, 2018. "Analysing the macroeconomic drivers of stock market development in the Philippines," Cogent Economics & Finance, Taylor & Francis Journals, vol. 6(1), pages 1451265-145, January.
    12. Gries, Thomas & Kraft, Manfred & Meierrieks, Daniel, 2009. "Linkages Between Financial Deepening, Trade Openness, and Economic Development: Causality Evidence from Sub-Saharan Africa," World Development, Elsevier, vol. 37(12), pages 1849-1860, December.
    13. Muhammad Shahbaz & Hrushikesh Mallick & Mantu Kumar Mahalik & Shawkat Hammoudeh, 2018. "Is globalization detrimental to financial development? Further evidence from a very large emerging economy with significant orientation towards policies," Applied Economics, Taylor & Francis Journals, vol. 50(6), pages 574-595, February.
    14. Samuel Fosu & Albert Danso & Henry Agyei-Boapeah & Collins G. Ntim & Emmanuel Adegbite, 2020. "Credit information sharing and loan default in developing countries: the moderating effect of banking market concentration and national governance quality," Review of Quantitative Finance and Accounting, Springer, vol. 55(1), pages 55-103, July.
    15. Nazima Ellahi & Adiqa Kausar Kiani & Muhammad Awais & Hina Affandi & Rabia Saghir & Sarah Qaim, 2021. "Investigating the Institutional Determinants of Financial Development: Empirical Evidence From SAARC Countries," SAGE Open, , vol. 11(2), pages 21582440211, April.
    16. Olufemi Adewale Aluko & Oladapo Fapetu & Julius Oyebanji Ibitoye, 2021. "Do Openness and Democracy Deepen Banking Sector in Sub-Saharan Africa?," Global Business Review, International Management Institute, vol. 22(2), pages 279-289, April.
    17. Anastasia Petraki & Anna Zalewska, 2013. "With whom and in what is it better to save? Personal pensions in the UK," The Centre for Market and Public Organisation 13/304, The Centre for Market and Public Organisation, University of Bristol, UK.
    18. Xu, T.T., 2012. "The role of credit in international business cycles," Cambridge Working Papers in Economics 1202, Faculty of Economics, University of Cambridge.
    19. Yongfu Huang, 2011. "Private investment and financial development in a globalized world," Empirical Economics, Springer, vol. 41(1), pages 43-56, August.
    20. Khoutem Ben Jedidia, 2015. "Trade openness-financial development nexus: Bounds testing approach and causality tests for Tunisia," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 18(58), pages 27-50, December.

    More about this item

    Keywords

    Vector-autoregression; interest rate; consumer index of prices; financial stability;
    All these keywords.

    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: . General contact details of provider: https://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 bibliographic 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.

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

    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.