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A Risk Correlation Model for an European Emerging Country and its Integration in a Global Macroeconometric Model

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  • Stoenescu Cimpoeru Smaranda

    (Academy of Economic Studies, Bucharest)

Abstract

In this paper we construct and estimate a country-specific macroeconometric risk driver engine which is compatible to the GVAR model and framework developed by Pesaran, Schuermann and Weiner, methodology that makes use of cointegration techniques to link the cyclical or systematic components of firm credit risk with the firm’s own idiosyncratic credit risk. As the general framework in PSW, 2004 lacks a Central-Eastern European component, we propose an extension of the model in order to incorporate a Romanian element. We adapt the Romanian variables and data to the particularities of an emerging economy. The results show that the new estimated component can be use as a theoretically consistent correlation model within a Romanian specific credit portfolio management tool.

Suggested Citation

  • Stoenescu Cimpoeru Smaranda, 2010. "A Risk Correlation Model for an European Emerging Country and its Integration in a Global Macroeconometric Model," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 819-824, May.
    • Handle: RePEc:ovi:oviste:v:10:y:2010:i:1:p:819-824
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    More about this item

    Keywords

    GVAR model; emerging economy; Central-Eastern European component.;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • O40 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General

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