- Occasional Papers no.37/ 2024
The Economic Conditions Index for Romania (ECI-RO) and its signals during the recent crises
Andrei Tănase, Georgiana Pleșa, Dragoș Sîrbu, Vladimir Georgescu
Sudden changes in the economic environment increased the need to develop
high‑frequency “signal” composite indicators that can be swiftly updated. The first role
of such signals is to reflect the broad economic activity in a timely manner. The signal
allows highlighting the channels through which the economy is affected and thus
contributes to nowcasting GDP. However, the spectre of variables and the estimating
methodology can limit the signal’s predictive power. From a longer perspective,
of great importance is the second role consisting of analysing the characteristics of
recent crises as compared to previous ones, such as the financial crisis. In 2020 and
early 2021, ECI-RO (the signal estimated using the principal components analysis)
captured the sharp worsening of economic conditions in Romania (in particular, industry,
services and confidence affected by mobility restrictions), the most severe from a
historical perspective, and the swift recovery thereafter. Starting with the second half
of 2022 until the end of the sample (2023), ECI-RO was on a downward path, given the
multitude of shocks associated with the energy crisis and supply bottlenecks, intensified
by the war in Ukraine, however the magnitude of the contraction was significantly
lower as compared to the previous crisis.
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- Occasional Papers no.36/ 2022
The determinants of net interest margin in the Romanian and Central-Eastern European banking sectors
Simona Ichim, Angela Pîslaru, Claudia Voicilă
This paper analyzes the profitability structure of the Romanian banking sector, focusing on the determinants of the main driver of profitability: net interest margin. We investigate the drivers (microeconomic, banking sector specific, macroeconomic)of net interest margin (NIM), in a broader context, by including Central and Eastern European banks.
Firstly, we model the allocation of income and expenses to obtain profit margins by business lines at the specific level of the Romanian banking sector. For this purpose,we implement an innovative approach as regards the price of credit risk, quantifying it both as point in time (PiT) and through the cycle (TtC), including the impact of the economic crisis that followed the global financial crisis. Secondly, the determinants of the net interest margin in Romania are highlighted, distinctly for the most consistent loan portfolios (households` mortgage portfolio and non‑financial corporations’ loans), using Bayesian VAR estimates. Last but not least, the study extends the analysis of the main drivers of banks’ net interest margins to ten countries in the Central and Eastern European region using granular, post-global financial crisis data on banks, by implementing GMM panel estimates.
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- Occasional Papers no.35/ 2022
Real-time forecasts of economic growth
Marcel Antonio Sandu, Mădălin Viziniuc
This paper puts forward a short-term forecasting framework for quarterly GDP growth,
which efficiently incorporates the information flow resulting from the publication
calendar of monthly indicators. The methodology implies the combination of the
distribution densities generated by a wide range of econometric approaches (bridge
models, MIDAS models, as well as dynamic factor models and Bayesian VAR models,
both with mixed frequencies). This strategy is suitable for application in emerging
economies, where ongoing structural changes affecting economic activity, a relatively
restricted set of statistical indicators and the brief period they cover, weigh in on the
forecasting process and performance. The evaluation that has envisaged successive
forecasting rounds since 2013 Q1 (based on the national accounts version available
at the time) shows an enhanced ability of the framework to anticipate the GDP growth
path, while also revealing a high capacity to incorporate the trend shifts in monthly
indicators, the latter aspect proving to be essential for the GDP projection during
the downturn caused by the health crisis in 2020. At the same time, the econometric
models used feature a high level of complementarity, the exclusion of any of them
broadly leading to a deterioration of the forecast accuracy.
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- Occasional Papers no.34/ 2021
Revisiting limits and pitfalls of QE in emerging markets
Daniel Dăianu, Alexie Alupoaiei, Matei Kubinschi
The pandemic caused by COVID-19 is another huge blow to the world economy after
the financial crisis that erupted in 2008. A sanitary crisis has been interweaving with
severe economic and social strain following a necessary lockdown for several months
during 2020. Although most economies seem to have climbed out of the deep hole
caused by The Shutdown, with a current strong economic rebound underway in large
parts of the world economy, a longer term recovery is likely to be difficult as it is
surrounded by significant uncertainties and contradictory effects.
This paper relies on the line of reasoning presented in Dăianu (2020). It highlights
the forceful and coordinated policy response in advanced economies in order to
deal with the multiple shocks represented by COVID-19. Its main focus is on policy
responses in emerging economies, which have tried to replicate measures adopted in
advanced economies. The paper highlights significant differences between advanced
economies and emerging economies, that must be considered when trying to adopt
QE in the latter. The main inference is that there are limits and pitfalls for emerging
economies when it comes to practice the policy responses of advanced economies.
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- Occasional Papers no.33/ 2021
Investment: What holds Romanian firms back?
Rozalia Pal, Patricia Wruuck, Amalia Stamate, Constantin Cătălin Dumitrescu
The paper investigates the reasons behind the subdued investment activity
of firms in Romania by drawing on data from the EIB Investment Survey concerning
corporate investment in Romania and the information from the Survey on the
access to finance of the non-financial corporations in Romania. The paper shows
that companies with a weak financial situation or with equity below the regulatory
threshold cannot access external financing in order to make investments. The lack
of skilled staff and/or the unpredictable economic environment may also hinder
higher corporate investment in Romania. In addition, the distribution of dividends
can lead to a lower amount of capital being for investment. Furthermore, the paper
demonstrates that access to bank financing is directly proportional to the level of
corporate investment.
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