Financial (in)stability in Romania: the implications of Basel III

Sima, Adrian (2012): Financial (in)stability in Romania: the implications of Basel III.

Abstract

In this paper I propose a medium scale Dynamic Stochastic General Equilibrium model for emphasizing the effects of the new Basel III Agreement for Romania’s financial stability. This model has similar structures as those developed by Walque et al. (2010) and Roger and Vlček (2011) but, combining their features, it results a more comprehensive framework. First of all, I calibrated this model in order to obtain the deep parameters. After calibration, I used several shocks to conduct simulations for analyze if the model can capture the behavior of the economy. In the end of this study, I estimate the model using Bayesian techniques to match the data of the Romanian economy.

• Item Type: MPRA Paper
• Language: English
• Keywords: Basel III, DSGE, macroeconomy, financial stability, risk, Metropolis-Hastings, Dynare
• Subjects: E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit; G - Financial Economics > G2 - Financial Institutions and Services

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