This paper is organized in two parts, the presentation of the model of inflation for Romania, and the results of different scenarios starting from the base model. The purpose of the paper is to present an efficient instrument for the simulation and research of inflation and its determinants in...

The paper intends to present synthetically the main approaches to computing core inflation, taking into consideration the importance of core inflation for conducting monetary policy. At the same time, the paper computes different measures of core inflation using methods based on excluding...

The paper focuses on the persistent and non-persistent changes in relative prices and their relation with the volatility of the aggregated price index. From the methodological perspective, the paper analyzes the implications of the hypotheses of five main methods for calculating core inflation...

Based on the 2012 Version of the Romanian Macromodel, the first section of this paper discusses the evolution of the Romanian economy in 2014. The previous simulations were revised taking into account the changes in the internal and external socio-economic conjuncture or in the available...

This study investigates the behavior of US stock price–dividend relationships over the period 1871:01 to 2012:03 using a two-regime Threshold Autoregressive (TAR) model with an autoregressive unit root developed by Caner and Hansen (2001), which allows for simultaneously testing nonlinearity...

The paper describes the version (2012) of the Romanian economic macromodel2. The model has been constructed taking into account the important consequences induced by the integration of the country into the European Union and by the world crisis. Some supplementary requests of the government...

The option price forecasting is still a big challenging problem because the option pricing is determined by many factors. Accordingly, it is difficult to predict option price accurately. To counter this problem, this paper proposes a novel hybrid model to forecast the option price. The proposed...

The study aims to extend the GARCH type volatility models to their nonlinear TAR (Tong, 1990) and STAR-based (Terasvirta, 1994) counter parts where both the conditional mean and the conditional variance processes follow TAR and STAR nonlinearity. The paper further investigates the models under...

The paper attempts to study the influences of the quarterly changes in the international oil price upon certain macroeconomic indicators and upon the GDP, using the principal components analysis. It also analyzes the indirect impact of a change in oil prices – through all the other indicators...