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Financial (in)stability in Romania: the implications of Basel III

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  • Sima, Adrian

Abstract

In this paper I propose a medium scale Dynamic Stochastic General Equilibrium model for emphasizing the effects of the new Basel III Agreement for Romania’s financial stability. This model has similar structures as those developed by Walque et al. (2010) and Roger and Vlček (2011) but, combining their features, it results a more comprehensive framework. First of all, I calibrated this model in order to obtain the deep parameters. After calibration, I used several shocks to conduct simulations for analyze if the model can capture the behavior of the economy. In the end of this study, I estimate the model using Bayesian techniques to match the data of the Romanian economy.

Suggested Citation

  • Sima, Adrian, 2012. "Financial (in)stability in Romania: the implications of Basel III," MPRA Paper 44434, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:44434
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    References listed on IDEAS

    as
    1. Gregory deWalque & Olivier Pierrard & Abdelaziz Rouabah, 2010. "Financial (In)Stability, Supervision and Liquidity Injections: A Dynamic General Equilibrium Approach," Economic Journal, Royal Economic Society, vol. 120(549), pages 1234-1261, December.
    2. Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 2005. "Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy," Journal of Political Economy, University of Chicago Press, vol. 113(1), pages 1-45, February.
    3. Andrea Gerali & Stefano Neri & Luca Sessa & Federico M. Signoretti, 2010. "Credit and Banking in a DSGE Model of the Euro Area," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(s1), pages 107-141, September.
    4. Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 383-398, September.
    5. Adrian Blundell-Wignall & Paul Atkinson, 2010. "Thinking beyond Basel III: Necessary Solutions for Capital and Liquidity," OECD Journal: Financial Market Trends, OECD Publishing, vol. 2010(1), pages 9-33.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Basel III; DSGE; macroeconomy; financial stability; risk; Metropolis-Hastings; Dynare;
    All these keywords.

    JEL classification:

    • E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • G2 - Financial Economics - - Financial Institutions and Services

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