A Risk Correlation Model for an European Emerging Country and its Integration in a Global Macroeconometric Model

Stoenescu Cimpoeru Smaranda ()
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Stoenescu Cimpoeru Smaranda: Academy of Economic Studies, Bucharest

Ovidius University Annals, Economic Sciences Series, 2010, vol. X, issue 1, 819-824

Abstract: In this paper we construct and estimate a country-specific macroeconometric risk driver engine which is compatible to the GVAR model and framework developed by Pesaran, Schuermann and Weiner, methodology that makes use of cointegration techniques to link the cyclical or systematic components of firm credit risk with the firm’s own idiosyncratic credit risk. As the general framework in PSW, 2004 lacks a Central-Eastern European component, we propose an extension of the model in order to incorporate a Romanian element. We adapt the Romanian variables and data to the particularities of an emerging economy. The results show that the new estimated component can be use as a theoretically consistent correlation model within a Romanian specific credit portfolio management tool.

Keywords: GVAR model; emerging economy; Central-Eastern European component. (search for similar items in EconPapers)
JEL-codes: C51 O40 (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:ovi:oviste:v:10:y:2010:i:1:p:819-824

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