文章基本信息

标题：FINANCIAL STABILITY AND PRICE STABILITY: AN EMPIRICAL ANALYSIS IN EURO AREA
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作者：Cristi Spulbăr ; Adriana Spînu ; Assist. Mihai Niţoi 等
期刊名称：Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria Economie
印刷版ISSN：1844-7007
出版年度：2012
期号：4
页码：220-229
语种：English
出版社：Academica Brâncuşi
摘要：In this paper we study the relationship between price stability and financial stability.We try to determine whether asset prices are useful indicators for determining future inflation rates and we analyze the tensions in the interbank market during the last five years by means of a GARCH (1,1) model.The results show that the interest rate leads to a decrease in the inflation rate,while oil and real estate prices give a positive impulse.Before the crisis,Euribor-Eoniaswap spread had a low volatility.But the intervention of central banks by injecting liquidity into the banking system led to a considerable increase in its volatility.Another explanation for the evolution of this phenomenon is due to the loss of control by the ECB on the MBR and Eoniaswap spread.
关键词：financial stability;price stability;GARCH model;liquidity crisis;financial crisis;Taylor rule