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The Impact of the US and Euro Area Financial Systemic Stress to the Romanian Economy

Author

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  • Corina SAMAN

    (Institute for Economic Forecasting, Romanian Academy.)

Abstract

This paper analyzes the transmission of financial systemic stress from the US and Euro Area to Romania. We employ recently developed composite indicators of systemic stress (CISS for the Euro Area and NFCI for the US), which reflect financial conditions from different financial sectors. The results from a time-varying Bayesian vector autoregression with stochastic volatility indicate that the degree of transmission depends significantly on the time and on the level of stress. The analysis reveals that Romania responds negatively, similarly to the developed economies, to the financial systemic stress as regards the real economy, but differently as regards the monetary policy. Finally, the results emphasize that financial interconnectedness with the Euro Area is more important than that with the US.

Suggested Citation

  • Corina SAMAN, 2016. "The Impact of the US and Euro Area Financial Systemic Stress to the Romanian Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 170-183, December.
    • Handle: RePEc:rjr:romjef:v::y:2016:i:4:p:170-183
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    References listed on IDEAS

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    Cited by:

    1. Anca Mihaela COPACIU & Alexandra HOROBET, 2022. "Spillovers in the Presence of Financial Stress – An Application to Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 29-43, April.
    2. Abdurrahman Nazif ÇATIK, 2020. "A Time-varying VAR Investigation of the Relationship among Electricity, Fossil Fuel Prices and Exchange Rate in Turkey," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 60-77, September.
    3. Laurentiu Dumitru ANDREI & Petre BREZEANU & Sorin-Marius DINU & Tiberiu DIACONESCU & Constantin ANGHELACHE, 2019. "Correlations and Turbulence of the European Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 88-100, March.
    4. Nano Prawoto & Agus Tri Basuki, 2020. "Effect of Macroeconomic Indicators and CO2 Emission on Indonesian Economic Growth," International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 354-358.

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    More about this item

    Keywords

    financial stress; transmission; financial crises; Romania; Bayesian time-varying VARs;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F30 - International Economics - - International Finance - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General

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