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A Disequilibrium Model For Lei-Denominated Non-Governmental Credit In Romania

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  • Cristian-Florin Dănănău

    (The National Bank of Romania and the University of Economic Studies, Bucharest)

Abstract

We empirically investigate through an econometric approach the Romanian credit market, namely the lei-denominated part of it, and the factors that interact with it. The main goal is to assess whether a credit crunch ocurred in Romania during the economic crisis. To this end we employ the disequilibrium model framework, set up in economic literature some 40 years ago. Our investigation takes into consideration the main macroeconomic determinants of this market, that interact with demand and supply. Our approach has in view the macroeconomic variables such as output, interest rates and foreign currency credit. The demand and supply function are estimated through the maximization of a certain maximum likelihood function. The final conclusion is that, based on the estimated model, one cannot detect a credit crunch in the after-crisis period. This paper’s results show that empirically-constructed disequilibrium models can be used to properly describe the behavior of the lei-denominated credit market, by taking necessary precautions.

Suggested Citation

  • Cristian-Florin Dănănău, 2015. "A Disequilibrium Model For Lei-Denominated Non-Governmental Credit In Romania," SEA - Practical Application of Science, Romanian Foundation for Business Intelligence, Editorial Department, issue 7, pages 207-214, April.
    • Handle: RePEc:cmj:seapas:y:2015:i:7:p:207-214
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    References listed on IDEAS

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    1. Maddala, G S & Nelson, Forrest D, 1974. "Maximum Likelihood Methods for Models of Markets in Disequilibrium," Econometrica, Econometric Society, vol. 42(6), pages 1013-1030, November.
    2. Mr. Atish R. Ghosh & Swart R. Ghosh, 1999. "East Asia in the Aftermath: Was there a Crunch?," IMF Working Papers 1999/038, International Monetary Fund.
    3. Nikolay Nenovsky & E. Peev & T. Yalamov, 2003. "Banks-Firms Nexus under the Currency Board: Empirical Evidence from Bulgaria," Post-Print halshs-00259830, HAL.
    4. Anca Pruteanu, 2004. "Was There Evidence of Credit Rationing in the Czech Republic?," Eastern European Economics, Taylor & Francis Journals, vol. 42(5), pages 58-72, September.
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    More about this item

    Keywords

    Non-governmental credit; Disequilibrium models; Maximum likelihood; Co-integration; Credit crunch;
    All these keywords.

    JEL classification:

    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers

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