VAR Methodology in Assessment of the Financial Stability.

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  • Additional Information
    • Author-Supplied Keywords:
      Aggregate capital
      Aggregate index
      CDS
      Financial stability
      VAR models
      Yield bonds
    • Abstract:
      Projecting a new operational framework designed to ensure the implementation of macroprudential policy in order to ensure financial stability, it should start from developing the capacity of identifying and measuring the systemic risk, and ultimately, the level of financial instability being reached, early enough, to provide the due time for the macroprudential supervisory authorities to take the corresponding actions. This study investigates the possibility of constructing a composite index that serves to measure the evolution of financial stability and to explore this complex phenomenon in terms of identifying the causes that lead in this situation and the consolidation actions as well as to identify some macroeconomic variables which can be used in predicting the phenomenon. To measure the evolution of financial stability in Romania we used an aggregate index that consists of the fifteen variables which are able to capture the tensions between the different components of the financial system and between it and the real economy. Using the VAR methodology I marked out the influence of a good capitalization of the banking system on financial stability at the aggregate level, identifying and also quantifying the impact of some variables as the yield bonds or CDS quotes on financial stability and the possibility of their use in predicting the phenomenon. [ABSTRACT FROM AUTHOR]
    • Abstract:
      Copyright of Annals of the University Dunarea de Jos of Galati: Fascicle: XVII, Medicine is the property of Dunarea de Jos University of Galati and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
    • Author Affiliations:
      1Bucharest University of Economic Studies, Romania
    • ISSN:
      1583-2074
    • Accession Number:
      109235682
  • Citations
    • ABNT:
      ISAC, B. VAR Methodology in Assessment of the Financial Stability. Annals of the University Dunarea de Jos of Galati: Fascicle: XVII, Medicine, [s. l.], v. 21, n. 1, p. 93–100, 2015. Disponível em: http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=asn&AN=109235682&custid=s8280428. Acesso em: 26 jan. 2020.
    • AMA:
      ISAC B. VAR Methodology in Assessment of the Financial Stability. Annals of the University Dunarea de Jos of Galati: Fascicle: XVII, Medicine. 2015;21(1):93-100. http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=asn&AN=109235682&custid=s8280428. Accessed January 26, 2020.
    • APA:
      ISAC, B. (2015). VAR Methodology in Assessment of the Financial Stability. Annals of the University Dunarea de Jos of Galati: Fascicle: XVII, Medicine, 21(1), 93–100. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=asn&AN=109235682&custid=s8280428
    • Chicago/Turabian: Author-Date:
      ISAC, Bors. 2015. “VAR Methodology in Assessment of the Financial Stability.” Annals of the University Dunarea de Jos of Galati: Fascicle: XVII, Medicine 21 (1): 93–100. http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=asn&AN=109235682&custid=s8280428.
    • Harvard:
      ISAC, B. (2015) ‘VAR Methodology in Assessment of the Financial Stability’, Annals of the University Dunarea de Jos of Galati: Fascicle: XVII, Medicine, 21(1), pp. 93–100. Available at: http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=asn&AN=109235682&custid=s8280428 (Accessed: 26 January 2020).
    • Harvard: Australian:
      ISAC, B 2015, ‘VAR Methodology in Assessment of the Financial Stability’, Annals of the University Dunarea de Jos of Galati: Fascicle: XVII, Medicine, vol. 21, no. 1, pp. 93–100, viewed 26 January 2020, .
    • MLA:
      ISAC, Bors. “VAR Methodology in Assessment of the Financial Stability.” Annals of the University Dunarea de Jos of Galati: Fascicle: XVII, Medicine, vol. 21, no. 1, May 2015, pp. 93–100. EBSCOhost, search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=asn&AN=109235682&custid=s8280428.
    • Chicago/Turabian: Humanities:
      ISAC, Bors. “VAR Methodology in Assessment of the Financial Stability.” Annals of the University Dunarea de Jos of Galati: Fascicle: XVII, Medicine 21, no. 1 (May 2015): 93–100. http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=asn&AN=109235682&custid=s8280428.
    • Vancouver/ICMJE:
      ISAC B. VAR Methodology in Assessment of the Financial Stability. Annals of the University Dunarea de Jos of Galati: Fascicle: XVII, Medicine [Internet]. 2015 May [cited 2020 Jan 26];21(1):93–100. Available from: http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=asn&AN=109235682&custid=s8280428