Econometric Model Regarding the Financial Stability at the Macroeconomic Level

Mirela Niculae () and Mihaela Simionescu

Knowledge Horizons - Economics, 2015, vol. 7, issue 3, 198-204

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 .

Keywords: Vector-autoregression; interest rate; consumer index of prices; financial stability (search for similar items in EconPapers)
JEL-codes: C51 E40 G28 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:khe:journl:v:7:y:2015:i:3:p:198-204

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