https://www.um.edu.mt/library/oar/handle/123456789/28503 2026-04-04T06:17:40Z 2026-04-04T06:17:40Z Bobeica, Gabriel Bojesteanu, Elena https://www.um.edu.mt/library/oar/handle/123456789/31868 2018-07-18T01:28:29Z 2008-01-01T00:00:00Z

Title: Long memory in volatility. An investigation on the Central and Eastern European exchange rates Authors: Bobeica, Gabriel; Bojesteanu, Elena Abstract: Understanding the evolution of volatility on the financial markets is essential for the comprehension and for the analysis of risk. This paper regards the topic of persistence of volatility in the exchange rates for four Central and Eastern European countries: Czech Republic, Hungary, Poland, and Romania. Persistence in volatility shows how quickly financial markets forget large volatility shocks. The persistence of volatility is addressed as the presence of long-term memory in the second order moment of returns and in absolute returns. The main feature of a long-memory process is that its autocorrelation function decays slower than that of a short memory process, but faster than that of an integrated one. The paper also concerns the implications on risk assessment of detecting long-term memory in the volatility of the exchange rate.

2008-01-01T00:00:00Z Gherghinescu, Oana Gherghinescu, Gheorghe https://www.um.edu.mt/library/oar/handle/123456789/31855 2018-07-18T01:28:30Z 2008-01-01T00:00:00Z

Title: Considerations regarding the structure, significance and trend of monetary indicators in Romania and in the Eurosystem Authors: Gherghinescu, Oana; Gherghinescu, Gheorghe Abstract: The present paper aims at achieving a comparative analysis of the structure of monetary aggregates, according to the definitions used by the European Central Bank and the National Bank of Romania, respectively. The relevance of such a comparison is justified by the changes adopted by the monetary authority from Romania at the beginning of 2007 in what regards the structure of aggregates M1, M2 and M3. The paper expresses opinions on the effectiveness and impact of monetary strategies implemented by the two monetary authorities, namely the two-pillar strategy used by the European Central Bank and the direct inflation targeting strategy implemented by the National Bank of Romania.

2008-01-01T00:00:00Z Ciurila, Nicoleta Murarasu, Bogdan https://www.um.edu.mt/library/oar/handle/123456789/31852 2018-07-18T01:28:30Z 2008-01-01T00:00:00Z

Title: Inflation dynamics in Romania - a new Keynesian perspective Authors: Ciurila, Nicoleta; Murarasu, Bogdan Abstract: The objective of this paper is to identify the main factors which drive inflation in Romania: inflation persistence, inflation expectations and real economy variables. We estimate a reduced form hybrid New Keynesian Phillips Curve in order to determine the degree of inertia and the impact of forward looking expectations. As a proxy for real economic activity, we alternatively use the output gap, the unemployment gap, the unit labour cost, the capacity utilization rate and the economic sentiment indicator. We focus on the role of the monetary policy in controlling the various sources of inflation.

2008-01-01T00:00:00Z Handoreanu, Catalina Adriana https://www.um.edu.mt/library/oar/handle/123456789/31851 2018-07-18T01:28:41Z 2008-01-01T00:00:00Z

Title: The relationship between the EUR/RON exchange rate and the Romanian inflation Authors: Handoreanu, Catalina Adriana Abstract: Using monthly data from January 2000 to October 2007, the present working paper analyses the degree of exchange rate pass through into inflation in the case of Romania. The econometrical method used is the recursive VAR that suggested a low level of the influence of the exchange rate on inflation. Despite the historical role of the exchange rate on the macroeconomical adjustment, this finding is consistent with the inflation targeting regime adopted by National Bank of Romania.

2008-01-01T00:00:00Z