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  • 标题:Modeling the Causal Relationships and Measuring the Degree of Risk and Uncertainty on the Romanian Financial Market
  • 本地全文:下载
  • 作者:Bordea Cristian ; Bordea Cristian ; Stancu Stelian
  • 期刊名称:Procedia - Social and Behavioral Sciences
  • 印刷版ISSN:1877-0428
  • 出版年度:2014
  • 卷号:143
  • 页码:509-513
  • DOI:10.1016/j.sbspro.2014.07.425
  • 语种:English
  • 出版社:Elsevier
  • 摘要:AbstractThe purpose of this paper is to model the causal relationships and measure the degree of risk and uncertainty in the Romanian financial market in relation with the macroeconomic components. The results show that the Romanian financial market components are differentially affected by the degree of risk and uncertainty, while having different degrees of sensitivity to the modifications of the macroeconomic parameters. We argue that the insurance market is the most immune component of the financial market, being the most rigid in regard to macroeconomic variations. Its estimated risk and uncertainty rate is very low due to the current legislation regarding contracting insurance premiums. On the other hand, the evolutions of the currency market and of the capital market are most sensitive to risk and uncertainty.
  • 关键词:financial market;uncertainty;risk;causal relationships;artificial neural networks;GMDH Algorithm
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