Occasional papers

Occasional Papers no.7/ 2007
Early Warning System of CAAMPL Rating Downgrade Events
Bogdan Moinescu
This study aims to synthetically describe the opportunity of adding to the NBR's microprudential analysis framework a dynamic component, formalised through an early warning instrument of credit institutions whose performances are deteriorating as well as the manner in which the implementation of Basel II Accord requirements might facilitate the refinement of off-site analysis techniques. This project combines elements of heuristic analysis with elements of quantitative assessment, having as main component the development of an econometric model which quantifies the downgrade probability for the CAAMPL bank rating. The explanatory variables identified for the phenomenon of rating downgrade are the current rating, the market share on credit segment, the weight of nonperforming loans in total assets and the square of the deviation of the general risk rate from its natural level. Running this early warning system on the available data as for 31 December 2006 shows that the Romanian banking system will perform during 2007 at least as well as it did in 2006, except for three credit institutions, with an aggregated market share of 2 percent on total assets, for which it is likely that the CAAMPL rating will deteriorate from level 2 in December 2006 to level 3 by December 2007.
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Occasional Papers no.6/ 2007
Potential GDP Estimation for Romania
Anca Adriana Gălăţescu, Bogdan Rădulescu, Mihai Copaciu
The paper's objective is to estimate the growth rates of potential GDP for Romania. To this end, is present and implement several univariate and multivariate methods for the measurement of potential GDP growth: production function, filters with unobservable components, structural vector autoregressions. The results are robust to changing approaches and specifications, pointing to an acceleration in the annual growth rate of potential GDP from an average of 3-4 percent between 2000-2002 to values around 6 percent in the recent period.
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Occasional Papers no.5/ 2006
Early Warning Systems on Currency Crises
Irina Racaru, Mihai Copaciu, Ion Lapteacru
The paper estimates a model for early warning system on currency crises, based on a sample of emerging countries, including Romania. This analysis is justified by the current context of the Romanian market characterised by gradual capital account liberalisation and focus of the Central Bank on financial and price stability. The factors we have identified with an important impact on the probability of currency crises are: M2/reserves, currency overvaluation. For Romania, the probability of a currency crisis for the next 12 months, estimated for June 2005, is quite low, of 4%, but higher than the value calculated for December 2004, of 1.7%.
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Occasional Papers no.4/ 2006
Non-government credit in Romania: perspectives and implications
Florian Neagu, Angela Mărgărit, Mihai Copaciu, Irina Racaru, Romulus Mircea, Arpad Andrassy
This paper has been drafted aiming at clarifying some of the above mentioned concerns, putting more emphasis on the financial stability analysis point of view. In the first part of the paper, is analyze the macroeconomic and financial environment where the increase in credit has been manifested, focusing also on the spreads, as indicators of the efficiency of financial resources allocation. In the second part is investigate the dynamics and the trends of credit to companies and households, while in the third chapter is analyze the main micro and macroeconomic problems and challenges caused by the non-government loan dynamics. The last part presents concluding remarks.
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Occasional Papers no.3/ 2003
Monetary Policy Transmission in Romania
Dr. Dorina Antohi, Ioana Udrea, Horia Braun
The goal of the present paper is to identify the main features of the monetary transmission mechanism in Romania. The methods employed for the analysis of the two segments of the monetary transmission mechanism are distinct. In the case of the transmission on monetary policy impulses to the financial variables, we employed an empirical analysis based on Vector Error Correction regressions. The reliability of these results is, however, impaired by the shortness of our data sample.For the analysis of the connection between the financial sector and the real economy - the second segment of the transmission mechanism - the incipiency of the National Bank of Romania's (NBR) monetary transmission mechanism has constrained us to use theoretical intuition alone.
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Occasional Papers no.2/ 2002
Measurement and Assessment of Soft Budget Constraints in Romania
Lucian Croitoru, Mark Edwin Schaffer
The objective of this study is to present a comprehensive analysis of soft budget constraints (SBCs) in Romania. We start with a detailed discussion of the emergence of financial indiscipline in Romania and the various responses from Romanian policy-makers: debt clearing schemes, financial isolation and restructuring programmes, and so forth. These schemes were generally ineffective and sometimes made the problem even worse, i.e., the schemes themselves soften budget constraints even further.
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Occasional Papers no.1/ 2002
Direct Inflation Targeting: A New Monetary Policy Strategy for Romania
Ph.D. Cristian Popa, Surica Rosentuler, Elena Iorga, Wilhelm Salater, Daniela Ruxandra Sasu, Adrian Ionuţ Codirlaşu
The present paper aims at assessing the general macroeconomic framework adequate for adopting the inflation targeting strategy and the stage Romania currently finds itself from this perspective. Section 1 presents the criteria that the institutional and economic structures of a country must fulfil in order for this strategy to be successfully implemented and the reasons behind their setting. Section 2 analyses whether changing Romania?s monetary policy strategy is appropriate or not by considering five elements characteristic to a certain stage of economic and political development of a country. Section 3 assesses, based on the institutional and economic criteria presented in Section 1, the extent to which Romania is ready to adopt direct inflation targeting. In Section 4 the relevance of the statistical links between different inflation measures (CPI, core inflation) and real, monetary and fiscal variables is tested in order to determine whether building an econometric model for forecasting inflation is feasible.
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