Banca Nationala a Romaniei a intervenit agresiv si direct in piata valutara in Octombrie 2008 pentru a apara un anumit nivel de curs. Aceasta interventie a dus la dobanzi interbancare de 100% si chiar 1000% in cazul produselor FXSWAP. Sistemul financiar a transferat cea mai mare parte a acestui cost clientilor persoane fizice si juridice.
Deciziile de politica monetara din perioada 2008-2012 au impins Romania mai repede si mai adanc in recesiune. Mai mult au distrus canalul de transmisie al politicii monetarea si cererea interna. Astfel cresterea economica a ramas dependenta de revenirea cererii externe.
Pentru a justifica aceste decizii de politica monetara cu implicatii dure pentru economie BNR a sustinut ca a raspuns unui “atac specualtiv”. In 2011 o analiza publicata de BNR in limba romana (Croitoru 2011) foloseste trei indicatori construiti ad-hoc care sustin ipoteza unui atac specualtiv. Toti trei indicatorii folositii in studiul resepctiv se bazeaza pe deviatii de la o medie (sau trend) pentru a identifica “atacul”.
Citu (2014) – Deconstructing the myth of a speculative attack – arata de ce analiza din Croitoru 2011 este gresita si de ce ipoteza unui atac specualtiv nu este sustinuta de date. Identificam mai multe probleme cu analiza publicata de BNR: frecventa datelor, omiterea unor schimbari de regulament a pietei interbancare, alegerea instrumentelor etc.
Mai jos conlcuziile analizei (25 pagini, in enelgeza):
In this paper we showed that a proper analysis of data for October 2008 and consistent with the currency crisis literature does not support the speculative attack on the Romanian leu hypothesis.
Central bank research uses daily exchange rate and interest rates to build ad-hoc indicators in support of the speculative attack hypothesis. However, in this paper we show that daily exchange rates cannot be used for this task as they are controlled by the central bank. Furthermore, using daily data it is impossible to separate commercial transactions from speculative flows. When we use monthly or annual data indicators based on the exchange rate reject the hypothesis of a speculative attack on the Romanian leu in October 2008.
Finally we look at indicators based on different interests rates for evidence of a speculative attack. We start with the key policy rate and afterwards we look at the interbank rates for different maturities and interests of the banks, borrowing or lending. Again, we do not find any support for the speculative attack hypothesis. Unfortunately, as the NBR introduced a law that capped interest rates it is impossible to rely too much on the interest rates to deliver unbiased information. Also, given this handicap the conclusions of Croitoru 2011 based on the interest rate are biased and cannot be use to support the speculative attack theory.
Nevertheless, the NBR intervened consistently since July 2007 to support the Romanian leu. Those interventions became more aggressive after the fall of Lehman Brothers as liquidity conditions have tightened globally and solvency issues have become more obvious. In following research we look at the impact of NBR decisions during that period on the Romanian GDP.