Forecasting The Romanian Financial System Stability Using A Stochastic Simulation Model

Claudiu Albulescu ()

Journal for Economic Forecasting, 2010, issue 1, 81-98

Abstract: 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.

Keywords: financial stability; aggregate financial stability index; forecasting systemic stability; stochastic simulation model (search for similar items in EconPapers)
JEL-codes: C43 C51 C53 G01 G17 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (26)

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Related works:
Working Paper: Forecasting Romanian Financial System Stability using a Stochastic Simulation Model (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:rjr:romjef:v::y:2010:i:1:p:81-98

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