The paper presents some results revealing the existence of the Balassa-Samuelson effect in Romania as well as some estimates of its impact on inflation, appreciation of the real exchange rate and rising competitiveness of the Romanian economy. * Study published in PAIS III; Studiul nr. 2/2005;...

Equilibrium real exchange rate provides useful information on the harmonisation of convergence criteria with exchange rate stability criteria; a requirement for accession to the European Monetary Union. This study applies econometric procedures for identifying the equilibrium real exchange rate...

The paper provides potential output and output gap estimates for the Romanian economy in the period 1998 - 2008. Our approach consists in combining the structural method of the production function with several non-structural statistical detrending methods: Hodrick-Prescott, Kalman, band-pass,...

The paper presents some results revealing the existence of the Balassa-Samuelson effect in Romania as well as some estimates of its impact on inflation, appreciation of the real exchange rate and rising competitiveness of the Romanian economy. * Study within the CEEX Programme – Project No....

The purpose of the paper consists in developing a formula for quantifying the premium a bank is expected to pay for a fund that provides recapitalization in order to allow orderly failure if the bank is in financial distress. The main finding is that such a premium can be computed as the...

In the present study we assess the dependency structure between stock indexes by econometrically estimating the empirical copula function and the parameters of various parametric copula functions. The main finding is that the t-copula and the Gumbel-Clayton mixture copula are the most...

The paper provides potential output and output gap estimates for the Romanian economy in the period 1998-2008. Our approach consists in combining the production function structural method with several statistical de-trending methods. The contribution of our analysis to the scarce literature...

The aim of this paper is to develop a framework for evaluating derivatives if the underlying of the derivative contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5. For this purpose we first prove some results regarding the quasi-conditional...

The aim of this paper is to develop a framework for asset pricing in a continuous time general equilibrium model for a two country Lucas type economy. The model assumes that the output in the two countries follows a jump-diffusion stochastic process characterized by constant growth rates and...