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Econometric Models for Quantifying the Impact of Macroeconomic Variables on the Configuration of Banking Assets and Liabilities

Author

Listed:
  • Eleodor-Alin MIHAI

    (University of Craiova)

  • Corina-Florentina SCARLAT (MIHAI)

    (University of Craiova)

Abstract

The management of banking assets and liabilities is one of the most important processes in a banking system, and this shows that everything must be done very clearly and very efficiently, being very large amounts and underlying this process that would not must be wrong and not allowed to lead to errors, as they could translate into significant losses for banks in the system and sometimes into insolvency, which could even lead to destabilizing the banking system in a country. Thus, it is necessary for the process of managing banking assets and liabilities to be carried out efficiently, and for the back models to be rigorously constructed. Taking into account these aspects, I tried to build several econometric models that could be used to manage assets and liabilities in the Romanian banking system. Thus, for the management of banking assets or liabilities, I consider it necessary to know which are the variables that can influence their dynamics and which are the elements that must be taken into account. I mention that the analysis will be performed at the level of the entire banking system in Romania to form an overview, the built models can be used even by decision makers in commercial banks to substantiate decisions on the management of banking assets.

Suggested Citation

  • Eleodor-Alin MIHAI & Corina-Florentina SCARLAT (MIHAI), 2020. "Econometric Models for Quantifying the Impact of Macroeconomic Variables on the Configuration of Banking Assets and Liabilities," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, vol. 1(22), pages 64-80, November.
    • Handle: RePEc:aio:fpvfcf:v:1:y:2020:i:22:p:64-80
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    References listed on IDEAS

    as
    1. Brooks,Chris, 2019. "Introductory Econometrics for Finance," Cambridge Books, Cambridge University Press, number 9781108436823, September.
    2. repec:cup:cbooks:9781108422536 is not listed on IDEAS
    3. Philippe Moutot & Giovanni Vitale, 2009. "Monetary policy strategy in a global environment," Globalization Institute Working Papers 29, Federal Reserve Bank of Dallas.
    4. Vitale, Giovanni & Moutot, Philippe, 2009. "Monetary policy strategy in a global environment," Occasional Paper Series 106, European Central Bank.
    5. Philippe Moutot & Giovanni Vitale, 2009. "Monetary policy strategy in a global environment," Occasional Paper Series 106, European Central Bank.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    banking assets; banking liabilities; econometric model; macroeconomic variables.;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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