Forecasting The Romanian Financial System Stability Using A Stochastic Simulation Model
The 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 the 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 in the financial and economic activity.
Volume (Year): (2010)
Issue (Month): 1 (March)
|Contact details of provider:|| Postal: |
Phone: 004 021 3188148
Fax: 004 021 3188148
Web page: http://www.ipe.ro/Email:
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Mark Illing & Ying Liu, 2003. "An Index of Financial Stress for Canada," Working Papers 03-14, Bank of Canada.
- Abdelaziz Rouabah, 2007. "Mesure de la vulnérabilité du secteur bancaire luxembourgeois," BCL working papers 24, Central Bank of Luxembourg.
- Claudio Borio & Claudio Mathias Drehmann, 2009.
"Towards an operational framework for financial stability: "fuzzy" measurement and its consequences,"
BIS Working Papers
284, Bank for International Settlements.
- Claudio Borio & Mathias Drehmann, 2011. "Toward an Operational Framework for Financial Stability: “Fuzzy” Measurement and Its Consequences," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.), Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 4, pages 063-123 Central Bank of Chile.
- Claudio Borio & Mathias Drehmann, 2009. "Towards an Operational Framework for Financial Stability: "Fuzzy" Measurement and its Consequences," Working Papers Central Bank of Chile 544, Central Bank of Chile.
- Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2000.
"Aggregate Price Shocks and Financial Instability: An Historical Analysis,"
NBER Historical Working Papers
0125, National Bureau of Economic Research, Inc.
- Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2002. "Aggregate Price Shocks and Financial Instability: A Historical Analysis," Economic Inquiry, Western Economic Association International, vol. 40(4), pages 521-538, October.
- Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2001. "Aggregate price shocks and financial instability: a historical analysis," Working Papers 2000-005, Federal Reserve Bank of St. Louis.
- Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2000. "Aggregate Price Shocks and Financial Instability: An Historical Analysis," NBER Working Papers 7652, National Bureau of Economic Research, Inc.
- Philippe D Karam & Doug Hostland, 2006. "Specification of a Stochastic Simulation Model for Assessing Debt Sustainability in Emerging Market Economies," IMF Working Papers 06/268, International Monetary Fund.
- Martin CIHAK, 2007. "Systemic Loss: A Measure of Financial Stability (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(1-2), pages 5-26, March.
- Illing, Mark & Liu, Ying, 2006. "Measuring financial stress in a developed country: An application to Canada," Journal of Financial Stability, Elsevier, vol. 2(3), pages 243-265, October.
- Jan Willem van den End, 2006. "Indicator and boundaries of financial stability," DNB Working Papers 097, Netherlands Central Bank, Research Department.
- Elke Hanschel & Pierre Monnin, 2005. "Measuring and forecasting stress in the banking sector: evidence from Switzerland," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 431-49 Bank for International Settlements.
- Adam Gersl & Jaroslav Hermanek, 2007. "Financial Stability Indicators: Advantages and Disadvantages of their Use in the Assessment of Financial System Stability," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2006, chapter 0, pages 69-79 Czech National Bank, Research Department.
When requesting a correction, please mention this item's handle: RePEc:rjr:romjef:v::y:2010:i:1:p:81-98. 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: (Corina Saman)
If references are entirely missing, you can add them using this form.