Browsing by Author "Vintu, Denis"

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    Heterogeneous effects of fiscal rules under the maastricht fiscal criterion: budget fiscal deficit and debt sustainability analysis
    (INCE, ASEM, 2024) Vintu, Denis
    We contend that ambivalence or uncertainty regarding the error terms may be the root cause of many methodological misunderstandings in timeseries econometrics. Macroeconomic time series have imprecise relationships, and early econometricians invariably discovered that any estimated relationship would only fit with errors. Second part is designed to quarterly estimated structural macro econometric model for the Republic of Moldova, denoted A Classical Macroeconometric Data Model for the Republic of Moldova (MDM) in context of Neo-Classical Approach of the Economy. We have interpreted the term error from the perspective of 7 macroeconomic indicators, namely Gross Domestic Product (error, pension), Inflation Rate (error, wage and salary,) Interest Rate (error, unemployment) Unemployment Rate (error inflation rate), Budget Fiscal Deficit (error, ra-gap vat gap estimation), Public Debt (ra-gap vat gap estimation) and Exchange Rate (error, gross domestic product). As research methods, we examines the interpretation of equation errors in time series econometrics. We contrast the view of errors as what is omitted from the statistical model with the view that the errors represent the shocks that are the important driving forces of model dynamics. The history of econometrics may be seen as oscillating between these interpretations of errors, with some econometricians attempting to maintain both simultaneously. As results, in 2020 due to COVID-19 we decomposes the dynamics of the modeled variable into three parts: short-run shocks, disequilibrium shocks, and innovative residuals, with only the first two of these sustaining an economic interpretation.
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    Model of interest rate with government ponzi games and debt dynamics under uncertainty within fiscal federalism
    (INCE, ASEM, 2024) Vintu, Denis; Balaban, Georgiana
    This paper presents two objectives: in the first part, we make a presentation of interest rate equations in a historical overview, from Irwing Fisher to John Maynard Keynes. Second part is designed to quarterly estimated structural macro econometric model for the Republic of Moldova, denoted A Classical Macroeconometric Data Model for the Republic of Moldova (MDM) in context of Neo-Classical Approach of the Economy. This model has been developed with four uses in mind: the assessment of economic conditions in the Republic of Moldova, macroeconomic forecasting, policy analysis and deepening understanding of the functioning of market economy. As research methods, the paper comprises elements of stochastic long run simulations. The relationship between: interest rate and economic growth is insignificant. As results, we found that for the Republic of Moldova, Taylor's rule (interest rate, in New Keynesian approach) together with Macroeconomic Cointeg (database, 162 obs., in Neo Classical approach) would be the best fit. The gross domestic product contributes insignificantly to the calculation of the interest rate, other elements would influence the economy, such as the budget deficit, the inflation rate, foreign remittances, investment policy and agriculture.
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    Model trimestrial de prognoză a PIB-ului Republicii Moldova
    (INCE, 2019) Toaca, Zinovia; Vintu, Denis
    Scopul prezentei lucrări este descrierea unui model de prognoză trimestrială a PIB-ului, categorii de utilizări, în corespundere cu prioritățile de dezvoltare ale Republicii Moldova pe termen mediu. Atingerea scopului propus au impus trasarea unor sarcini, între care: - Abordarea conceptuală a seriilor de timp, cu referire la utilizarea tehnicii ARIMA pentru estimarea seriei cronologice; - Analiza economică a PIB-ului pe categorii de utilizări; - Studierea seriilor de timp prin metoda indicilor a ritmului de creștere a indicatorilor incluși în analiză, structura, grad de influență; - Prognoza PIB-ului pe categoriilor de utilizări și resurse, pentru perioadă 2019-2020. Tehnici de prognozare: - Utilizarea tehnicii ARIMA; - Utilizarea pachetului econometric Eviews pentru estimarea și elaborarea modelului macroeconometric. Abordările științifice și metodologice descrise în prezenta lucrare vor servi în calitate de suport științific în procesul elaborării scenariilor de evoluție economică. Metodele de cercetare folosite de autori include identificarea trendului de dezvoltare economică, analiza diagnostic, prognoză economică fundamentată științific, tehnica ARIMA, analiza regresională a seriilor de timp.
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    The relationship between inflation, interest rate, unemployment and economic growth
    (INCE, 2022) Vintu, Denis
    This paper presents a quarterly estimated structural macro econometric model for the Republic of Moldova, denoted macro econometric data model (MDM). This model has been developed with four uses in mind: the assessment of economic conditions in the Republic of Moldova, macroeconomic forecasting, policy analysis and deepening understanding of the functioning of market economy. Five key features of the model are highlighted. First, it treats the Republic of Moldova as a small and open economy. Second, it is a medium sized model which, while detailed enough for most purposes, is nonetheless sufficient small to be manageable in the context of forecasting and simulation exercises. Third, the model is designed to have a long run equilibrium consistent with classical economic theory, while its short run dynamics are demand driven. Fourth, the current version of the MDM is mostly backward-looking, i.e. expectations are reflected via the inclusion of lagged variables. Finally, the MDM uses a quarterly frequency data, allowing for a richer treatment of the dynamics, and is mostly estimated on the basis of historical data (rather than calibrated). The paper comprises elements of stochastic long run simulations. The relationship between: inflation, interest rate, unemployment and economic growth is significant. Această lucrare prezintă un model macroeconometric structural trimestrial estimat pentru Republica Moldova, denumit model de date macroeconometrice (MDM). Acest model a fost dezvoltat având în vedere patru utilizări: evaluarea condițiilor economice din Republica Moldova, prognozarea macroeconomică, analiza politicilor și aprofundarea înțelegerea funcționării economiei de piață. Sunt evidențiate cinci caracteristici cheie ale modelului. În primul rând, tratează Republica Moldova ca o economie mică și deschisă. În al doilea rând, este un model de dimensiuni medii care, deși este suficient de detaliat pentru majoritatea scopurilor, este totuși suficient de mic pentru a fi gestionabil în contextul exercițiilor de prognoză și simulare. În al treilea rând, modelul este conceput pentru a avea un echilibru pe termen lung, în concordanță cu teoria economică clasică, în timp ce dinamica sa pe termen scurt este determinată de cerere. În al patrulea rând, versiunea actuală a MDM este în mare parte orientată înapoi (backward-looking), adică așteptările se reflectă prin includerea variabilelor întârziate. În cele din urmă, MDM utilizează date trimestriale de frecvență, permițând un tratament mai bogat al dinamicii și este în mare parte estimată pe baza datelor istorice (mai degrabă decât calibrate). Lucrarea cuprinde elemente ale simulărilor stochastice pe termen lung. Relația dintre: inflație, rata dobânzii, șomaj și creșterea economică este semnificativă.
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    The relationship between unemployment, nairu and investment. Microfundations for incomplete nominal adjustment
    (INCE, 2022) Vintu, Denis
    This paper proposes a simple method to estimate a macro shock-specific Okun elasticity: it measures by how much the unemployment rate falls over a certain horizon when output increases by one percentage point over the same horizon because of a specific macroeconomic shock. Inference is based on simple instrumental variable regressions of cumulative unemployment on cumulative output. Using data for the Republic of Moldova I consider government spending, tax, monetary policy, financial, technology, and oil shocks. We obtain eight key results: • At medium horizons (2-3 years), Okun elasticities are largely stable across different kinds of shocks. • At shorter horizons, differences are more pronounced. The speed at which unemployment adjusts relative to output depends on the shock driving fluctuations. This highlights the importance to consider longer horizons. Otherwise, one could incorrectly conclude that the elasticity breaks down for some cycles. • The elasticity is larger for financial shocks. Importantly, it is larger than for monetary policy and government spending shocks. • The largest elasticity is for technological shocks followed by oil shocks. • An increase/decrease in unemployment by (0.14 p.p.) caused an increase/ decrease in GDP by 1 p.p. period 2011--2015. • An increase/decrease in unemployment by (1.79 p.p.) caused an increase/ decrease in money supply by 1 p.p. period 2011--2015. • An increase/decrease in unemployment by (0.17 p.p.) caused an increase/ decrease in GDP by 1 p.p. period 2007--2011. • An increase/decrease in unemployment by (0.06 p.p.) caused an increase/ decrease in money supply by 1 p.p. period 2007--2011.