Analiza indicatorilor crizei financiare în România utilizând modelele de tip arch
The analysis of the financial crisis indicators in Romania using arch models

Summary/Abstract: The vast majority of the models define the financial crises as situations in which unexpected speculative attacks determine the sudden devaluation of the national currency in a fix course regime (peg) or the abrupt depreciation registered by this one in a floating course regime. The methods, that only try to anticipate the successful attacks upon the currency, define the crisis as being indicated by a big enough nominal or real variation of the exchange rate in a short period of time. For example, Frankel and Rose (1996) catalogued as crisis the situation in which the nominal depreciation of the national currency exceeds 25 per cent in only a year, being situated, at the same time, with at least 10 percentual points above the precedent year’s level. The deficiency of this approach consists in the fact that it doesn’t consider the rate of inflation when it comes to defining the financial crisis.

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