Occasional papers



  • 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.
    application/pdf 650 KB, Download
  • 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.
    application/pdf 700 KB, Download
  • 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.
    application/pdf 1 MB, Download
  • 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.
    application/pdf 616 KB, Download
  • 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.
    application/pdf 667 KB, Download