IDEAS home Printed from https://ideas.repec.org/a/aio/fpvfcf/v1y2020i22p64-80.html
   My bibliography  Save this article

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
    as

    Download full text from publisher

    File URL: http://www.financejournal.ro/fisiere/revista/130651680607_MihaiE2_en.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

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

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Richard Schmalensee & Robert N. Stavins, 2019. "Policy Evolution under the Clean Air Act," Journal of Economic Perspectives, American Economic Association, vol. 33(4), pages 27-50, Fall.
    2. Holm-Hadulla, Fédéric & Kamath, Kishore & Lamo, Ana & Pérez, Javier J. & Schuknecht, Ludger, 2010. "Public wages in the euro area - towards securing stability and competitiveness," Occasional Paper Series 112, European Central Bank.
    3. Trabandt, Mathias & Attinasi, Maria Grazia & Stark, Jürgen & Lalouette, Laure & Nickel, Christiane & Valenta, Vilém & van Riet, Ad & Leiner-Killinger, Nadine & Afonso, António & Warmedinger, Thomas & , 2010. "Euro area fiscal policies and the crisis," Occasional Paper Series 109, European Central Bank.
    4. Hubrich, Kirstin & Karlsson, Tohmas, 2010. "Trade consistency in the context of the Eurosystem projection exercises - an overview," Occasional Paper Series 108, European Central Bank.
    5. Matthieu Bussière & Emilia Pérez‐Barreiro & Roland Straub & Daria Taglioni, 2011. "Protectionist Responses to the Crisis: Global Trends and Implications," The World Economy, Wiley Blackwell, vol. 34, pages 826-852, May.
    6. Martin, Reiner & Gardó, Sándor, 2010. "The impact of the global economic and financial crisis on central, eastern and south-eastern Europe: A stock-taking exercise," Occasional Paper Series 114, European Central Bank.
    7. Stolz, Stéphanie Marie & Wedow, Michael, 2010. "Extraordinary measures in extraordinary times: Public measures in support of the financial sector in the EU and the United States," Discussion Paper Series 1: Economic Studies 2010,13, Deutsche Bundesbank.
    8. Jean‐Claude Trichet, 2010. "State of the Union: The Financial Crisis and the ECB's Response between 2007 and 2009," Journal of Common Market Studies, Wiley Blackwell, vol. 48(s1), pages 7-19, September.
    9. Bracke, Thierry & Polgár, Éva Katalin & Buysse, Kristel & Rusinova, Desislava & Francart, Alexandre & Christensen, Jakob Eckholdt & Knobloch, Corinna & Stavrianou, Nikolaos & Diev, Pavel & Cocozza, Em, 2010. "Financial stability challenges in EU candidate countries - Financial systems in the aftermath of the global crisis," Occasional Paper Series 115, European Central Bank.
    10. di Mauro, Filippo & Forster, Katrin & Lima, Ana, 2010. "The global downturn and its impact on euro area exports and competitiveness," Occasional Paper Series 119, European Central Bank.
    11. Hess, Patrick, 2010. "Securities clearing and settlement in China: markets, infrastructures and policy-making," Occasional Paper Series 116, European Central Bank.
    12. Sturm, Michael & Sauter, Nicolas, 2010. "The impact of the global financial turmoil and recession on Mediterranean countries' economies," Occasional Paper Series 118, European Central Bank.
    13. Beirne, John & Tapking, Jens & Sahel, Benjamin & Sušec, Matjaž & Monar, Fernando & Manganelli, Simone & Grothe, Magdalena & Ejsing, Jacob & Dalitz, Lars & Vong, Tana, 2011. "The impact of the Eurosystem's covered bond purchase programme on the primary and secondary markets," Occasional Paper Series 122, European Central Bank.
    14. Bodea, Cristina & Huemer, Stefan, 2010. "Dancing together at arm's length? - the interaction of central banks with governments in the G7," Occasional Paper Series 120, European Central Bank.
    15. Francis, Bill B. & Hunter, Delroy M. & Kelly, Patrick J., 2020. "Do foreign investors insulate firms from local shocks? Evidence from the response of investable firms to monetary policy," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 386-411.
    16. Simeng Li & Gang Chen, 2020. "Contemporary strategies for enhancing nitrogen retention and mitigating nitrous oxide emission in agricultural soils: present and future," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 22(4), pages 2703-2741, April.
    17. Donoval, Milan & Gautier, Erwan & Nuño, Galo & Nakov, Anton & Jiménez, Noelia & de los Llanos Matea, María & Estrada, Ángel & Zioutou, Pinelopi & Bragoudakis, Zacharias & Weymes, Laura & O'Brien, Derr, 2010. "Energy markets and the euro area macroeconomy," Occasional Paper Series 113, European Central Bank.
    18. Cheun, Samuel & von Köppen-Mertes, Isabel & Weller, Benedict, 2009. "The collateral frameworks of the Eurosystem, the Federal Reserve System and the Bank of England and the financial market turmoil," Occasional Paper Series 107, European Central Bank.
    19. Renata Karkowska, 2012. "The economic costs of economic risk in the financial market (Koszty ekonomiczne ryzyka systemowego na rynku finansowym)," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 10(39), pages 33-53.
    20. Jeroen Hessel & Jolanda Peeters, 2011. "Housing bubbles, the leverage cycle and the role of central banking," DNB Occasional Studies 905, Netherlands Central Bank, Research Department.

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aio:fpvfcf:v:1:y:2020:i:22:p:64-80. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Alina Manta (email available below). General contact details of provider: https://edirc.repec.org/data/fecraro.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.