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Publications (45)
Identifying financial cycle dynamics is an important endeavor for researchers and policymakers alike, due to the new architecture of the macroprudential framework in which mitigating excessive credit growth, through countercyclical capital buffers, plays a central role in limiting the likelihood of future crises. The present paper focuses on measur...
Several new stylized facts were observed in the aftermath of the recent financial crisis from the view-point of economic thinking. Here we address some of these caveats by considering the relationship between volatility of the main variables in a closed economy and the different stances related to the strength of the interlinkages between real and...
This paper provides empirical evidence of export-productivity link, using a comprehensive set of data on Romanian firms activating in ten business sectors. By using the semi-parametric estimation technique developed by Levinsohn and Petrin (2003) to estimate Total Factor Productivity (TFP)we find that exporters display a productivity advantage comp...
This paper investigates the effects of international shocks on three Eastern European emerging countries: Romania, Hungary and Poland, over the period 1998Q2-2011Q2 using a GVAR model. Evidence based on the GVAR model showed the importance of second and higher order effects, in the international transmission mechanism of shocks from the U.S. to Eas...
We estimate a GVAR model of the European Union (EU) sovereign bond spreads and Credit Default Swap (CDS) differentials with respect to their German counterparts, based on monthly observations from November 2009 to March 2015. We capture time-varying interdependence among variables by computing annual weight matrices based on "macro distances" betwe...
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 VAR is constructed for the analysis of spillover effects...
The purpose of this chapter consists in exploring the mechanism by which fiscal policy affect long-term growth within the framework of endogenous growth models. We calibrate a growth model to data for five Eastern Europe economies (Bulgaria, Czech Republic, Hungary, Poland and Romania) and simulate the path of the main macroeconomic variables, unde...
The recent crisis demonstrated how rapidly financial distress can be transmitted to the domestic economy and across borders. Credit has played a key role in the transmission of financial distress to the broader economy, consistent with evidence from the literature. Indeed, studies by Gilchrist et al (2009), Marcucci and Quagliariello (2008), Jacobs...
The recent financial crisis has revealed the intertwined nature of modern financial systems. At the same time, the crisis pointed at the necessity for the central banks to assure price stability, as well as the stability of the financial system.
The necessity of ensuring financial stability, as well as the necessity of formulating the Principles...
In the context of Romania’s accession, in 2007, to the EU, achieving real convergence, as soon as possible, with the developed member states, became one of the main goals of the macroeconomic policy of the Romanian government. This goal implies finding the most effective ways for accelerating economic growth and raising competitiveness. Since the p...
The paper provides potential output and output gap estimates for the Romanian economy in the period 1998-2008. Our approach consists in combining the production function structural method with several statistical de-trending methods. The contribution of our analysis to the scarce literature dealing with the estimation of the cyclical position of th...
This paper provides estimates for the structural fiscal balance for the Romanian economy over the period 1998-2008. The calculation of the structural fiscal balance is useful, since it provides a clear picture of the fiscal stance of the economy and it is essential in the context of a medium term fiscal framework. In order to ensure the robustness...
In a former paper, [3], we proposed and analyzed a model of the evolution of the Romanian economy, which, using human capital as the engine of growth, aimed at reaching European standards with respect to the quality of life, to the structure of labour force and to external deficit. One of the assumptions of that model was the constancy of total lab...
Equilibrium real exchange rate provides useful information on the harmonisation of convergence criteria with exchange rate stability criteria; a requirement for accession to the European Monetary Union. This study applies econometric procedures for identifying the equilibrium real exchange rate in Romania and its tendency. * Study within the CEEX P...
The paper presents some results revealing the existence of the Balassa-Samuelson effect in Romania as well as some estimates of its impact on inflation, appreciation of the real exchange rate and rising competitiveness of the Romanian economy. * Study within the CEEX Programme – Project No. 220/2006 “Economic Convergence and Role of Knowledge in Re...
We propose a model of the evolution of the Romanian economy, which, using human capital as the engine of growth, aims at reaching European standards with respect to the quality of life, to the structure of labour force and to external deficit. We perform simulations with the model, using Romanian data. These simulations can highlight the convergenc...
The paper presents some results revealing the existence of the Balassa-Samuelson effect in Romania as well as some estimates of its impact on inflation, appreciation of the real exchange rate and rising competitiveness of the Romanian economy. * Study published in PAIS III; Studiul nr. 2/2005; Instiutul European din Romania .
Equilibrium real exchange rate provides useful information on the harmonisation of convergence criteria with exchange rate stability criteria; a requirement for accession to the European Monetary Union. This study applies econometric procedures for identifying the equilibrium real exchange rate in Romania and its tendency. * Study published in PAIS...
We analyze the stability of a discrete-time dynamic model with an IS-LM structure. We assume that the Aggregate Supply function is of Lucas type, and the monetary policy rule is of Friedman type. The mechanism of expectations formation is assumed to be of adaptive type (Friedman-Cagan). In its final form, the model contains two state variables, nam...
The problem of pricing derivative financial products is central to the theory of capital markets. An option is a financial contract conveying its owner the right of buying or selling a financial asset (underlying asset) at a preset strike price K, at a fixed expiration date T (maturity). Unlike European options, which can be exercised only at matur...
We simulate possible growth paths assuming that the Romanian economy behaves according to the hypothesis of the Uzawa-Lucas model. By calibrating the model to the Romanian economy, we are able to forecast the evolution of the Romanian GDP and the proportion of human capital which will be used in the production of goods and services. Although the po...
Taking into consideration the importance of the sustainability of public finance, in the present study we calibrate and simulate a three-sector Greiner, Semmler and Gong (2004) model for the Romanian economy. The simulations were performed considering three fiscal regimes, defined according to the way the government expenditures were financed. By c...
The paper deals with the problem of pricing derivative financial products. The most frequently used option pricing method is that given by the well-known Black-Scholes model (1973). This model starts from the assumption that the market uncertainty can be modeled by a white noise (Wiener process). The Black-Scholes option price results as a solution...
The paper analyses the way in which monetary and fiscal policy influences the performances of economic growth and social welfare. The analysis is made on the basis of a dynamic model with discrete variables. The model is with a representative private agent and a government sector consisting of a consolidated fiscal authority and central bank. House...
In this paper we analyze the influence of several types of fiscal policies on the process of economic growth, namely on the rate of growth of consumption.We formulate and analyze two types of economic growth models. The first refers to the way in which a consumer-producer agent takes decisions when the elements concerning fiscal policy are exogenou...
The effect of public investment on economic growth is a crucial public policy issue. Empirical research into this question was stimulated by Aschauer (1989), who suggested that public capital has a powerful impact on the productivity of private capital.Aschauer's results were controversial and have generated substantial empirical research directed...
The paper analyses the way in which monetary and fiscal policy influences the performances of economic growth. The analysis is made on the basis of a dynamic model with discrete variables of the Sidrauski- Brock type, with infinite-lived households and money in the utility function. The model is with a representative private agent and a government...
The optimal behaviour of a stochastic macroeconomic growth model is examined. The model has two state variables: k, capital per unit of labour and z, desired consumption per unit of labour. The stochastic element is the average efficiency of capital, e, whose values over time are supposed to be the realizations of a stochastic process {et}N having...
The optimal behaviour of a stochastic macroeconomic growth model is examined. The model has two state variables: k, capital per unit of labour and z, desired consumption per unit of labour. Hie stochastic element is the average efficiency of capital, e, whose values over time are supposed to be the realizations of a stochastic process having a tran...
The national wealth is a large economic category. It defines the general material framework of social activity and the economic resources of society. The national wealth - living standards connection expresses the correlation between production outputs and social needs. The national wealth includes the human resource, natural resources, accumulated...
The paper justifies the necessity of including within economic growth models elements describing the dynamics of economic needs. Further on, there is suggested a dynamic model of economic growth in which the dynamics of social needs is also taken into consideration. The optimum conditions are slated for the proposed model and certain qualitative pr...
The paper presents a model for optimizing the development plan for an industrial sector by considering as a basic element the project variants concerning the new objectives as well as those referring to development, modernization and reorientation of old units. The model developed is a dynamic linear model with discrete variables with more objectiv...
The mathematical models of many economic problems reduce to control systems with discrete variables in which time lags appear in the state variables and/or in the control variables. The Maximum Principle is applied to control systems with discrete variables in which time lags appear in the state variables as well as in the control variables is base...
A general one-sector economic growth model with discrete variables and finite time horizon is discussed. In order to infer the optimality conditions, the Maximum Principle for discrete systems is used. Some qualitative properties of the optimal trajectories are obtained, as well as an algorithm for calculating these trajectories.
A procedure for planning and decision making is outlined that interconnects the central with territorial levels. A mathematical model is given.
The variant of a dynamic model of interbranch connections proposed for the Romanian economy is presented. The aim of the model is to allow the simulation of the various trajectories of development of the branches of the national economy with respect to various hypotheses made on the various components of the net final consumption. Data areas necess...
Based on mathematical models, a ten-year trend in scientific research is profiled. The technique demonstrates the advantages of combining economic cybernetic methods and computation techniques for long-range planning.
The possible formulation of the problem of national economy structure optimization is suggested in this paper, as well as the simulation of the model of interbranch balance on an analog computer.