An Econometric model for the evolution of the Romanian Interbank Bid Rate (ROBID) in the context of the international financial crisis

Abstract

The paper presents the econometric modeling of overnight inter-banking interest rates (ROBID) in our country, the analyzed period is between 1999-2010. The international financial crises had a great impact on the level of inter-banking interest rates after 2007 and it reflects the new level of risk for the Romanian system banking. The econometric model used in modeling the interest rates is an autoregressive moving average (ARMA) model, the ARMA model is typically applied to time series data; the paper propose several ARMA models, applies econometric tests and based on them the analyzed series (the inter-banking interest rates) forecast will be made.ROBID, ARIMA model, financial crisis, forecast.