La dynamique de la stabilité du système financier roumain : une analyse en terme d’indice agrégé de stabilité
[Romanian financial system dynamics: an aggregate stability index analysis]
The financial stability represents on of the major central banks and surveillance authorities preoccupations. Identifying the quantitative methods for assessing financial stability is a new challenge for the economists. The aim of this paper is to develop an aggregate stability index for the Romanian financial system. The index which is meant to enhance the set of analysis used by the central bank to assess the financial stability accurately reflects the financial stability dynamics and the periods with financial turbulences during 1997-2007 in Romania. By the application of a technique which enables the measurement of the components’ contribution to the aggregate index volatility, we show that some individual stability indicators require a close monitoring by the authorities in order to detect the instability periods. The outcome of the study shows an improvement of the Romanian financial stability during the analysed period. The aggregate index volatility also decreased starting with 1999. The financial vulnerability and financial soundness indicators have a significant contribution to the volatility of the aggregate index in the periods foregoing the crisis appearance. However, despite the positive trend unregistered lately, the Romanian financial system seems to be unprepared for the Eurozone accession.
|Date of creation:||03 Jun 2008|
|Date of revision:||30 Jul 2008|
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- Jan Willem van den End & Mostafa Tabbae, 2005. "Measuring Financial Stability: Applying the MfRisk Model to the Netherlands," DNB Working Papers 030, Netherlands Central Bank, Research Department.
- 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.
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