Economic time series are, in their vast majority, integrated series so, their modelling procedure stumbles upon the problem of spurious regression. When existent, cointegration is the simplest way of eliminating the illogical correlation established between time series due to the presence of...

The structure of the macromodel used for simulations is presented in Introduction and in the Appendix. For the period 2005-2008, a Main Scenario was elaborated. It embodies performances envisaged in “Romania’s Medium-Term Economic Strategy” (2000) and in the 2001-2004 versions of the...

This paper evaluates the output gap and the effects of the inflationist shocks to the Romanian economy. We use an extension of the Blanchard-Quah decomposition with three variables: the real output, the unemployment rate and the inflation. Three types of shocks are evaluated: the productivity...

There is a relationship between predictability and complexity. The problem of evaluating the complexity of the macroeconomic phenomenon can be reduced to decomposition into its principal components (which may have, in their turn, a certain degree of complexity) and to identify its common sources...

We continue with the problem of the relation between predictability and complexity in the Romanian economy, analyzing other two components of GDP: domestic consumption and public consumption. The basic idea of this work is that the unpredictability of a system gives a measure of its complexity,...

The tail events represent a phenomenon long studied in the literature of stock market returns. The dynamical properties of conditional distributions are currently analyzed by means of the first four moments via Gram-Charlier likelihood functions. We propose an analysis of changes in the values...

This paper dwells upon the contingent claims analysis (CCA) framework in order to quantify the risk of financial distress at the level of the sectors of economy (banking, sovereign and corporate sector). After the CCA risk indicators have been obtained for the three analyzed sectors, a global...

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...

Corporate credit ratings have become more important after the 2008 financial crisis. To explore the mystery, we employ the ordered probit regression models to examine the relationship between the credit rating and financial ratios in electric utilities, chemicals and communications equipment...

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...