Banca Naţională a României a intervenit agresiv şi direct în piaţa valutară în octombrie 2008 pentru a apăra un anumit nivel de curs. Această intervenţie a dus la dobânzi interbancare de 100% şi chiar 1000% în cazul produselor FXSWAP. Sistemul financiar a transferat cea mai mare parte a acestui cost clienţilor persoane fizice şi juridice.
Deciziile de politică monetară din perioada 2008-2012 au împins România mai repede şi mai adânc în recesiune. Mai mult, au distrus canalul de transmisie al politicii monetare şi cererea internă. Astfel, creşterea economică a rămas dependentă de revenirea cererii externe.
Pentru a justifica aceste decizii de politică monetară cu implicaţii dure pentru economie, BNR a susţinut că a răspuns unui “atac speculativ”. În 2011, o analiză publicată de BNR în limba română (Croitoru 2011) foloseşte trei indicatori construiţi ad-hoc, care susţin ipoteza unui atac speculativ. Toţi trei indicatorii folosiţi în studiul respectiv se bazează pe deviaţii de la o medie (sau trend) pentru a identifica “atacul”.
Cîţu (2014) – Deconstructing the myth of a speculative attack – arată de ce analiza din Croitoru 2011 este greşită şi de ce ipoteza unui atac speculativ nu este susţinută de date. Identificăm mai multe probleme cu analiza publicată de BNR: frecvenţa datelor, omiterea unor schimbări de regulament a pieţei interbancare, alegerea instrumentelor etc.
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.