Research Papers

Research Papers

The Research Papers consist of research studies and analyses on subjects related to theoretical and practical aspects, relevant for current and future economic and financial developments.

Note: The views expressed in the Research Papers are solely of the author/s and do not necessarily reflect those of the Bank of Albania.

Research Papers

Disentangling demand and supply shocks in Albanian credit market using a survey approach: which of them affects more bank lending to firms (and households)?
Authors: Gerti Shijaku
This paper aims to analyse a conventional wisdom on a key question to understand whether and to what extent bank lending in Albania is a result of demand-side or/and supply-side factors.

Forecasting Albanian Time Series with Linear and Nonlinear Univariate Models
Authors: Blerina Vika, Ilir Vika
The main economic indicators in Albania exhibit irregular patterns since the 1990s that may affect economic analyses with linear methods. The purpose of this study is to assess the ability of nonlinear methods in producing forecasts that could improve upon univariate linear models. The latter are represented in our analysis by the classic autoregressive

Forecasting the Albanian short-term inflation through a Bayesian VAR Model
Authors: Meri Papavangjeli
In the context of the Bank of Albania’s primary objective of achieving and maintaining price stability, generating accurate and reliable forecasts for the future rate of inflation is a necessity for its successful realization.

An Estimation of the Natural Interest Rate in Albania
Authors: Eglent Kika, Olti Mitre

We estimate the natural rate of interest in Albania using the Bayesian Maximum Likelihood method and the Kalman Filter. The structure of the model used to identify the behaviour of the natural interest rate in time is based on the seminal work of Laubach and Williams (2003) and includes a joint estimation of the output gap and of potential growth.

The Albanian Medium Term Projection Model
Authors: Tibor Hledik, Eglent Kika, Olti Mitre
The Bank of Albania introduced a small semi-structural Medium-Term Projection Model (MPM) in 2013, as part of its forecasting toolkit, to support the monetary policy decision making process. This initial version of the model was built in 2011 in joint cooperation between the IMF, through a Technical Assistance (TA) program, and the Bank of Albania, in a bid to modernize the latter’s forecasting and policy analysis FPAS) and in conjunction with Bank of Albania’s strategic goal to move to a fully-fledged inflation targeting regime.

The global credit and Euro Area financial shocks: How important are they for Albania?
Authors: Bledar Hoda
Economies with open financial and capital account, high euroization and high foreign bank ownership are favorably exposed to global liquidity and foreign macro-financial shocks. In this study I assess how these forces have played out for Albania during the recent two decades.

Financial sector and macroeconomics links in MEAM
Authors: Lorena Skufi
This paper describes the links between financial sector and macroeconomic conditions into MEAM macro model. The focus is on banking lending rate, in terms of macroeconomic indicators impact, such as the probability of default of private sector and economic developments. Through this material we try to enrich MEAM macro model with financial indicators.

What drives the real lek-euro exchange rate fluctuations?
Authors: Altin Tanku, Ilir Vika
This study aims to assess the sensitivity of exchange rate to real and monetary shocks in Albania during the last 20 years. The identification of these shocks provides a better understanding on the sources of exchange rate volatility. It also provides useful information whether exchange rate acts as a shocks absorber or as a source of instability in the economy.

The impact of housing markets on banks’ risk-taking behavior: evidence from CESEE
Authors: Elona Dushku, Antje Hildebrandt, Erjona Suljoti
This study empirically evaluates the impact of housing market dynamics and banks’ housing market exposure on banking sector stability in Central, Eastern and Southeastern Europe (CESEE). We investigate whether there are differences between the behavior of banks located in CESEE EU Member States and the behavior of banks located in the Western Balkans.

Bank stability and its relationship with competition among banks after global financial crisis. New evidences from Albanian banking sector
Authors: Gerti Shijaku
This paper analyses the relationship between competition and banking stability in the Albanian banking sector during the period 2008 - 2017. For this reason, an index of banking competition, such as the Boone indicator, is constructed. Other alternative indicators are also calculated, such as: the Lerner index and adjusted Lerner index; and the competition indicator, which relates to profit elasticity.
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