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Forecasting Romanian Financial System Stability using a Stochastic Simulation Model

Claudiu Albulescu

No 2009.4, Working Papers from International Network for Economic Research - INFER

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 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 of the financial and economic activity.

Keywords: financial stability; aggregate financial stability index; forecasting systemic stability; stochastic simulation model (search for similar items in EconPapers)
Pages: 22 pages
Date: 2009
New Economics Papers: this item is included in nep-ban, nep-cmp, nep-for and nep-rmg
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Citations: View citations in EconPapers (4) Track citations by RSS feed

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Journal Article: Forecasting The Romanian Financial System Stability Using A Stochastic Simulation Model (2010) Downloads
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