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In this paper we analyzed the correlation between asset and liabilities using the canonical correlation method, in the case of correlation we analyze the interdependence between two variables, by using canonical correlation analyses we study the interdependence between two groups of variables, X consisting of p variables and Y with q variables from which the best linear combination can be constructed to maximize the correlation between X and Y. While on the financial markets the relation between variables may be linear or non-linear and although canonical correlation analyses only the linear combination of variables it is a more efficient tool than then simple correlation.The asset group which we analyze is composed of different types of loans, derivatives and other earning assets, while in the group of liabilities we have deposits (short and long term), interest bearing liabilities and trading liabilities. We find that the assets and liabilities in the banking sector are directly linked. In the context of the global financial crisis (2007-2008) and the afterwards financial recession this direct correlation between assets and liabilities created a vicious cycle in which the losses from assets had a direct impact on the liabilities which also influenced the levels of assets.The behavior of different variables is important, especially in the financial markets, mainly due to the structure of financial markets. The banking sector and the systemic risk associated with it can affect the financial system and even the whole economy so the study of the correlation of assets and liabilities may give us insights on the causes of the financial crises. We use a panel of fifty-nine European banks for the 2004-2011 period and we analyses the correlation between assets and liabilities. We find that there exists a direct and strong connection between different classes of assets held by banks and the structure of liabilities. The impact of the economic crisis on the banking sector has shown that this kind of connection between the structure of assets and liabilities is not the best choice because a negative fluctuation in assets generates a negative impact on the structure of liabilities. The direct connection between assets and liabilities amplifies the systemic risk of the banking sector and can also have an impact on other markets due to their spillover effects.

Transactions on financial markets are associated with variability, risk and uncertainty, so quantification of risk has a great importance. Beside Standard Deviation and Variance, one of the most involved risk measure methods is Value-at-Risk (VaR). In this study, we use daily return for the stock index from Romania (BET) and Hungary (BUX) for the 01:2007 - 02:2013 periods in order to test the influence of structural breaks on the VaR metrics. We find out that the ARCH phenomenon is present, so we use the GARCH family models. The structural breaks in the series mean and variance are identified using the Zivot-Andrews test and PELT algorithm, the structural break dates are captured using dummy variables in the GARCH models (struc-GARCH), the selection of models is done using the informational criterion [Akaike, Schwarz, Log-likelihood]. The results of present research show a greater volatility associated with a higher risk level in case of Romanian stock index. The stock market indices return follows a negatively skewed and leptokurtic distributions forms either in two cases, so is unspecific a normal distribution. After applying above mentioned tests we can conclude that there are eight structural breaks in BET index returns variance and there are five breakpoints in case of BUX. The breakpoints in mean show very closely results in time, for BET in February 2009 and for BUX March 2009. Backtesting VaR models are done by measuring the number of times the loss is greater than the VaR forecast. The first step for unconditional coverage testing consists in comparing of fraction of VaR violation for a particular risk model. The independence testing it is very important tool in back-testing, because it is not the same that the VaR violations are differentiated in time or there are clustered in some certain period. By checking the independence test, we have the possibility to discover and reject the model with clustered hit sequence. Testing the influence of structural breaks on VaR we find that incorporating structural breaks in the GJR-GARCH models generates lower violations when comparing with the plain GJR-GARCH or RiskMetrics methodology.

ALM is the management of risk at enterprise level, the models used in ALM can be static or dynamic: single period-static models, multiple period static model, single period stochastic model, multi period stochastic model. While single period-static don't incorporate the dynamic of the economical changes the multiple period-static models are an extension of the single period-static model, the most common used are multi-period stochastic which model the evolution of financial series in time and the assets and liabilities using different types of probability distributions (Student, GED). Highly correlated with ALM is the Value at Risk which can be used as and function to be minimized in ALM models. In the Value at Risk methodology the estimation models are classified as: parametric, nonparametric, semi-parametric; we present the parametric models (GARCH models) used in Value at Risk and the connections that can be established between ALM models and Value at Risk. We present the Conditional Value-at-risk and offer and example on how to calculate CVaR .

The study uses a linear model that reviews the connection between inflation rate and a few macroeconomic indicators: Harmonized Index of Consumer Prices (HICP), Gross Domestic Product (GDP) and unemployment (Unempl). The purpose of this study is to discover the influence of these macroeconomic indicators on the inflation rate, taking into consideration a period of ten years: 2000-2010. The analysis approaches this issue from the perspective of two EU member countries: Bulgaria, Romania, and another two countries - EU candidates: Turkey and Croatia. Although the tradeoff between inflation and unemployment has been long discussed, starting with the famous idea of the Phillips curve that has evolved during time (M.Friedman, E.Phelps), economists are still studying this theme in order to find satisfactory explanation for it. In this paper we have tried to find out whether, in the analyzed countries, there is a strong tradeoff between inflation and unemployment, but we also added other variables that influence inflation: the gross domestic product and the previous values of inflation. Our paper started with a study of the economic background of each analyzed country then, we have collected quarterly data from the period of 2000-2010, that we processed using the econometric software Gretl. After building several models for each country we concluded that inflation in Romania and Croatia are influenced by the following variables: GDP and previous HICP, while the values of inflation in the other two countries are affected by more diverse range of independent variables.

Abstract: The evolution of monetary aggregates is closely related to the economic cycle, especially the evolution of GDP. The study aims to analyse the primary monetary aggregates (M1), the secondary (M2) and the tertiary (M3) in three Central and Eastern European countries: Romania, Bulgaria and Poland. The countries were chosen as follows: Romania and Bulgaria on the basis of the economic and geographical closeness and Poland as a benchmark for the first group. The data used are money supply, monetary aggregates: primary, secondary and tertiary, in Romania, Poland and Bulgaria, for the period January 2004 - March 2011, the monthly series are obtained from central bank websites, Poland's Central Bank and Bulgarian National Statistical Institute. The evolution of monetary aggregates of the three countries was compared with the Euro area and it was noticed a high degree of similarity between countries more developed economically as compared to less developed countries. From the viewpoint of optimum currency areas, it is necessary that the countries that adopt the Euro would respond symmetrically to external shocks and also have similar economic behaviour. Our study aims, in this respect, to analyse the components and the characteristics of the monetary aggregates, as well as the trends existing within them. The analysis of the correlation between monetary aggregates will show how the way in which the monetary mass and aggregates behave and which the sense of connection established between these countries is. We find that Romania and Bulgaria have a similar comportment, the correlation between these being the highest, we observe some differences between Romania and Bulgaria versus Poland.

In this paper we are analyzing the current state of the Romanian banking system which is facing different challenges due to the economic crisis. Identifying the main channels of crisis transmission, we can notice that the banking system has played a major role due to its structure, and the change of the banking behavior on the Romanian market. Analyzing the main indicators reflecting the health of the banking system, hence of the economy, generally speaking, the paper is trying to identify the measures which should have been taken and we still believe should be taken in order to obtain the economic recovery, the premise of a healthy economic growth.

The global economic and financial crisis showed the limits faced by the international financial system. International financial regulations in general, and especially the banking sector regulations, should be refined and adapted to build a stronger and stable international financial system. We analyze the main trends in international regulations: the proposed amendments on capital requirements, the introduction of a global standard for liquidity and indebtedness, the winding-up directive, as well as their impact on the Romanian financial system.

Romania as an emergent country has an less develop stock markets which is strongly connected with the markets from Western Europe and the USA, so the Romanian Stock Market was one of the first market touch by the wave of financial crises. We analize th

Even though the actual Basel II Settlement has many advantages like: more transparent and detailed bank information, the rating systems, the internal models of evaluation for risks, the three pillars which represent a whole, an equitable bank competition,

The presence of the financial intermediaries - that make the link between the economics agents, with the needs of resources and the one with surplus of resources - determinates the evolution of the banking system and the structure modification of these. What is the difference between a bank and a financial intermediary? The bank distinguish itself from the financial intermediary through its capacity of taking inside the costs and its informatic efficiency, and so the incomes are growing. Does the financial intermediaries represents a danger for the banks?

This research study aims to investigate the relationship between corporate social responsibility (CSR)-related communication on social media and brand advocacy behavior of retail banking customers in a developing country. This study also proposes a dual mediating mechanism of customer engagement and customer-company identification in the above-proposed relationship. The data were collected from retail banking customers with the help of a self-administered questionnaire (n = 356). To test the hypothesized relationships, a theoretical model was developed in this study. For hypothesis testing, we used the structural equation modeling (SEM) technique in AMOS software. The empirical analysis results confirmed our theoretical assumption that the manifestation of CSR-related communication on social media by a bank significantly influenced the advocacy behavior of retail banking customers. Our study also confirmed the mediating function of customer engagement and customer-company identification. The findings of this study offer different implications for the banking sector. For example, our study highlights the critical role of CSR-related communication on social media for meaningful customer–brand relationships by promoting the advocacy behavior of customers. [ABSTRACT FROM AUTHOR]

This study explores the causality between inflation and inflation uncertainty in Romania using monthly inflation data for the 1996:01-2012:12 period. If inflation uncertainty is defined as being the variance of unpredictable component of inflation then the use of autoregressive conditional heteroskedastic models can capture inflation uncertainty through the conditional variance of inflation. Inflation uncertainty is obtained from a GARCH model, while checking for any structural break in the series we find that there are possible structural breaks. The structural breaks in mean are captured using dummy variables in the AR-GARCH models and the best models are identified using the informational criterion. The influence between inflation uncertainty and inflation is tested using Granger causality. We find bidirectional causality between inflation and inflation uncertainty. [ABSTRACT FROM AUTHOR]

Following the financial-economic crisis the financial systems worldwide have been subjected to enormous pressure, which called into question the need for financial system stability in general and in particular the one of the banking system. We overview the most important indicators in financial stability and we analyze the evolution of the main indicators of financial health for the Romanian banking system as a whole and for two banks, respectively BRD and Transylvania Bank. We find that banks with foreign shareholders tend to be more riskier then domestic banks, also an important role in banks stability is the presence of an institutional investor. [ABSTRACT FROM AUTHOR]