Anul VI, Nr.3(23), Septembrie 2011

INTERNAL AUDITING & RISK MANAGEMENT

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Revistă trimestrială editată de Universitatea „Athenaeum” & Centrul de Excelenţă în Managementul Financiar şi Audit Intern

ANUL VI, NR. 3(23), SEPTEMBRIE 2011

Quarterly journal published by the "Athenaeum" University & Centre of Excellence in Financial Management and Internal Audit

YEAR VI, NO. 3(23), SEPTEMBER 2011

INTERNAL AUDITING & RISK MANAGEMENT

Revistă trimestrială editată de Universitatea „Athenaeum” & Centrul de Excelenţă în Managementul Financiar şi Audit Intern

ANUL VI, NR. 3(23), SEPTEMBER 2011

Director editorial / Editorial Director: Prof.univ.dr. Emilia VASILE

Secretar general de redacţie / Executive Editor: Prof.univ.dr. Marin POPESCU Membri / Members:

Redactor şef / Editor chief: Prof.univ.dr. Ion NIŢU Prof.univ.dr. Aron Liviu DEAC Lector dr. Daniela MITRAN

Prof.univ.dr. Mariana BĂLAN Lector dr. Nataliţa HURDUC

Academician Ion Păun OTIMAN, Secretar General al Academiei Române Academician Iulian VĂCĂREL Prof.univ.dr.Gheorghe ZAMAN, Membru corespondent al Academiei Române Prof.univ.dr. Eden ALI – Academia de Studii Economice Bucureşti Prof.dr.ing. Petru ANDEA – Universitatea „Politehnică” din Timişoara Prof.univ.dr. Daniel Ştefan ARMEANU – Academia de Studii Economice Bucureşti Prof.univ.dr. Horia CRISTEA – Universitatea de Vest Timişoara Prof.univ.dr. Ion CUCUI – Universitatea Valahia din Târgovişte Prof.univ.dr. Mariana MAN – Universitatea din Petroşani Prof.univ.dr. Dumitru MĂRGULESCU – Universitatea “Athenaeum” din Bucureşti Prof.univ.dr. Pavel NĂSTASE – Academia de Studii Economice Bucureşti Prof.univ.dr. Verginia VEDINAŞ – Universitatea Bucureşti Adrian VASILESCU – Consilier Banca Naţională a României Prof.univ.dr. Robert ANCIAUX – Université Libre de Bruxelles – Belgia Prof.univ.dr. Basil NEACŞA – Université Libre de Bruxelles – Belgia Prof.univ.dr. Shawki SAID MOHAMED ALI-University for Science and Technology Egypt Prof.univ.dr. Emad EL DIN MAHMOUD ALI EID – Al Zarka High Institute for Computer and Business Administration Egypt

Tehnoredactare / Made-up: Mariana Geantă ___________________________________________________________________________________________________

Adresa redacţiei / Editorial Office: Universitatea „Athenaeum” din Bucureşti

20223 BUCUREŞTI, Str.Giuseppe Garibaldi nr.2A, sector 2 Telefon: 004021 2305726; 004021 2305738; Fax: 004021 2317418; http://univath.ro/aimr/

E-mail: [email protected]; [email protected] ISSN 2065 – 8168 (print) ISSN 2068 - 2077 (online)

Revistă evaluată de Consiliul Naţional al Cercetării Ştiinţifice din Învăţământul Superior şi clasificată în categoria B+, indexată în Bazele de date internaţionale

REPEC, DOAJ, ULRICH, EBSCO, SCOPUS.

COLEGIUL DE REDACŢIE / EDITORIAL BOARD:

COLEGIUL ŞTIINŢIFIC / ADVISORY BOARD:

Internal Auditing & Risk Management _______________ Anul VI, Nr.3(23), Septembrie 2011

1. Controlul intern – responsabilitate a managementului ………………. Emilia VASILE Ion CROITORU

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Internal control - management responsibility …………………………. Emilia VASILE Ion CROITORU

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2. Integrarea monetară, de la teorie la practică ………………………. Laura-Cristina IVĂNESCU

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Monetary integration, from theory to practice ………………………. Laura-Cristina IVĂNESCU

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3. Aplicarea analiza componentelor principale in managementul portofoliului de investitii ...........................................................................

Dan Armeanu Andreea Negru

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Usage of the main components analysis in the management of the investment portfolio ...................................................................................

Dan ARMEANU Andreea NEGRU

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4. Standardele Basel III privind consolidarea capitalizarii sistemului bancar …………………………………………………………………….

Natalita HURDUC Nicoleta HURDUC

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Basel III regulations on strengthening the banking system capitalization ……………………………………………………………..

Natalița HURDUC Nicoleta HURDUC

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5. The relationship between financial reporting timeliness and attributes of companies listed on egyptian stock exchange "an empirical study" …...…………………………………………………….

Younes H. AKLE

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C U P R I N S C O N T E N T S

Internal Auditing & Risk Management _________________ Anul VI, Nr.3(23), Septembrie 2011

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CONTROLUL INTERN – RESPONSABILITATE A

MANAGEMENTULUI Prof.univ.dr. Emilia VASILE Asistent drd. Ion CROITORU E-mail: [email protected] E-mail: [email protected] Universitatea „Athenaeum” Bucureşti Universitatea „Athenaeum” Bucureşti

Abstract: Controlul intern este procesul conceput, implementat şi menţinut de către

conducerea organizaţiei cu scopul de a furniza o asigurare rezonabilă privind îndeplinirea obiectivelor referitoare la credibilitatea raportării financiare, eficienţa şi eficacitatea operaţiunilor, conformitatea cu legile şi reglementările aplicabile. Acesta cuprinde ansamblul formelor de control exercitate la nivelul entităţii publice stabilite de conducere în concordanţă cu obiectivele stabilite şi cu reglementările legale, în vederea bunei utilizări a resurselor.

Controlul intern are ca obiective generale: realizarea, la un nivel corespunzător de calitate, a atribuţiilor organizaţiei, stabilite în concordanţă cu misiunea acesteia, în condiţii de regularitate, eficacitate, economicitate şi eficienţă; protejarea fondurilor publice; respectarea legilor, a reglementărilor şi deciziilor conducerii; dezvoltarea şi întreţinerea unor sisteme de colectare, stocare, prelucrare, actualizare şi difuzare a datelor şi informaţiilor, precum şi a unor sisteme şi proceduri de informare şi raportare periodică.

Sistemul de control intern este format din politici şi proceduri create pentru a oferi responsabililor însărcinaţi cu guvernanţa corporativă şi conduceri executive o asigurare rezonabilă că entitatea îşi atinge obiectivele fixate prin strategiile adoptate.

Cuvinte cheie: asigurare rezonabilă, control intern, eficienţă, eficacitate, evaluarea riscului, managementul riscurilor, responsabilitatea managerială, instrumente de control, obiective, sistem de control intern.

Clasificare JEL: G34

Rolul controlului intern În accepţiunea noastră, controlul intern este considerat ca fiind un proces

dinamic care are ca responsabilitate specifică protejarea bunurilor patrimoniale ale entităţii şi prevenirea şi detectarea erorilor, fraudei, pierderilor, abuzului şi conducerii deficitare.


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Pentru asigurarea funcţionalităţii, controlul intern trebuie adaptat continuu la modificările din entitate. Un control intern funcţional furnizează asigurare şi încredere conducerii entităţii cu privire la faptul că bunurile administrate sunt protejate, iar raportările sunt de încredere şi reflectă corect situaţia economică şi financiară a organizaţiei.

În literatura de specialitate controlul intern este definit ca fiind procesul conceput, implementat şi menţinut de către conducere şi personalul de la toate nivelurile, cu scopul de a oferi o asigurare rezonabilă privind realizarea obiectivelor organizaţiei referitoare la aplicarea instrucţiunilor, protecţia patrimoniului, calitatea informaţiei şi îmbunătăţirea activităţilor desfăşurate.

În practică, controlul intern este organizat la nivelul structurilor funcţionale ale unei organizaţii, inclusiv asupra resursele, sistemele, procesele, structura, sarcinile şi cultura organizaţiei şi contribuie la realizarea obiectivelor stabilite, grupate astfel:

- eficacitatea si eficienta operaţiilor, cuprinde obiectivele referitoare la misiunea organizaţiei şi la utilizarea, în condiţii de economicitate, eficienţă şi eficacitate, a resurselor; precum şi obiectivele privind protejarea resurselor organizaţiei de utilizarea inadecvata sau de pierderi.

- fiabilitatea informaţiilor, include obiectivele cu privire la organizarea adecvată a contabilităţi şi a fiabilităţii informaţiilor utilizate în cadrul organizaţiei, precum şi obiectivele privind protejarea documentelor împotriva fraudei.

- conformitatea cu legile, regulamentele si politicile, priveşte obiectivele ca dau asigurarea că activităţile organizaţiei se desfăşoară în conformitate cu obligaţiile impuse de legi şi de regulamente şi cele privind respectarea politicilor interne.

Din aceste considerente, controlul intern reprezintă un ansamblu de dispozitive stabilite de conducere şi implementate de către responsabilii de la orice nivel pentru evaluarea funcţionării activităţilor. Dispozitivele implementate trebuie să ofere asigurare cu privire la realizarea obiectivelor organizaţiei.

Prin conceperea şi implementarea în practică a unui sistem de control intern se urmăreşte descentralizarea activităţilor de control către conducătorii structurilor funcţionale ale organizaţiei. Aceasta presupune că fiecare conducător, la nivelul său, este responsabil pentru stabilirea şi punerea în practică a controalelor interne necesare şi adecvate pentru funcţionarea şi realizarea activităţilor pe care le coordonează. Prin această organizare se conferă autonomie managementului pentru realizarea obiectivelor, respectiv transparenţă şi responsabilitate în colectarea veniturilor şi eficienţă şi eficacitate în utilizarea fondurilor gestionate.


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Dezvoltarea unui sistem de control intern are în vedere cultura proprie a organizaţiei, respectarea standardelor internaţionale şi buna practică în domeniu. Astfel, un sistem de control intern este caracterizat prin următoarele:

- proces integral, controlul intern presupune o serie de instrumente de control care se încorporează în activităţile entităţii;

- conceput de conducere, care stabileşte obiectivele şi poartă răspunderea în ceea ce priveşte instituirea şi supravegherea funcţionării controlului intern. Conducerea concepe şi implementează instrumente de control intern, monitorizează şi evaluează funcţionalitatea acestora;

- implementat de întregul personal, operaţionalitatea controlul intern este asigurată de personalul din cadrul entităţii, prin ceea ce fac, fiecare la nivelul postului său. Pentru a fi posibil realizarea controlului intern, personalul trebuie să-şi cunoască atribuţiile, responsabilităţile şi limitele de autorizare ale postului;

- în exercitarea misiunii, organizaţia a fost înfiinţată pentru a realiza un scop şi trebuie să se preocupe, în mod special, pentru îndeplinirea misiunii sale.

- identificarea riscului, pentru îndeplinirea misiunii organizaţiei sunt întâmpinate riscuri, ca atare managementul are obligaţia de a le identifica şi gestiona în vederea limitării probabilităţii de manifestare şi menţinerii lor în limite acceptabile.

- furnizarea unei asigurări rezonabile, proiectarea şi punerea în practică a unui sistem de controlul intern nu dă conducerii organizaţiei o asigurare absolută cu privire la realizarea obiectivelor, indiferent cât de bine este conceput şi pus în practică, ci o asigurare rezonabilă. Acest nivel de asigurare este unul de încredere, fiind stabilit de conducere pe baza evaluărilor, sub aspect cantitativ şi calitativ, a riscurilor inerente aferente activităţilor desfăşurate.

- atingerea obiectivelor, controlul intern contribuie la realizarea obiectivelor generale ale organizaţiei, a celor specifice stabilite la nivelul structurilor funcţionale, precum şi a celor individuale stabilite fiecărui post din organizaţie. Realizarea obiectivelor este afectată de limitele inerente specifice oricărui sistem de control intern.

Scopul controlului intern este să asigure coerenţa obiectivelor, să identifice factorii-cheie de reuşită şi să comunice conducătorilor organizaţiei, în timp real, informaţiile referitoare la performanţe şi perspective. Indiferent de natura sau mărimea organizaţiei, eforturile depuse pentru aplicarea unui control intern satisfăcător sunt legate de aplicarea normelor şi procedurilor de control intern, la toate nivelele ierarhice şi funcţionale.


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Controlul intern şi managementul riscurilor Riscul este definit ca fiind ameninţarea că o acţiune sau un eveniment va

afecta în mod nefavorabil realizarea obiectivelor organizaţiei şi implicit realizarea cu succes a strategiilor. Această definiţie evidenţiază faptul că riscul este o ameninţare, care are impact asupra realizării obiectivelor.

În aceste condiţii, o politică adecvată de control intern trebuie să ofere managerului asigurarea rezonabilă că obiectivele sunt îndeplinite. Pentru aceasta este necesar ca organizaţia, în prealabil, să realizeze activităţile referitoare la: definirea obiectivelor, cartografierea proceselor, analiza şi evaluarea riscurilor inerente proceselor sau care ar putea să pericliteze îndeplinirea obiectivelor entităţii.

Gestionarea riscurilor constituie partea cea mai importantă a oricărei acţiuni de control intern, deoarece asigură identificarea instrumentelor de control intern adecvate pe baza unei analize a riscurilor, iar activităţile desfăşurate pentru implementarea dispozitivelor de control constituie răspunsuri la gestionarea riscurilor.

Recunoaşterea caracterului esenţial al gestionării riscurilor în analiza controlului intern s-a concretizat prin apariţia conceptului de management al riscurilor, care impune modificarea stilului de conducere şi asigură condiţiile de bază ale unui control intern eficace, care contribuie la realizarea obiectivelor, în condiţii de eficacitate.

Managementul riscurilor este un proces realizat de conducere şi întregul personal şi are ca scop să identifice evenimentele care ar putea afecta realizarea activităţilor şi îndeplinirea obiectivelor, proces care presupune identificarea, evaluarea, controlul şi raportarea riscurilor.

Identificarea riscurilor este un proces sistematic şi continuu care constă în identificarea pericolelor potenţiale din cadrul entităţii. Acest proces este necesar pentru cunoaşterea riscurilor care nu s-au manifestat anterior, a circumstanţelor în care se manifestă riscurile identificate, precum şi pentru evaluarea riscurilor care s-au manifestat în trecut, dar care nu mai prezintă în prezent importanţă pentru organizaţie.

Riscurile trebuie identificate la orice nivel unde există pericolul cu privire la realizarea obiectivelor şi necesită dispunerea de măsuri în vederea implementării de dispozitive de control în vederea diminuării şi menţinerii riscurilor la niveluri acceptabile. Activitatea de identificare a riscurilor are drept finalitate depistarea, pe cât posibil şi a factorilor de risc şi crearea condiţiilor de tratare şi analiză a acestora.

Gestionarea riscurilor se află în responsabilitatea managementului general, care trebuie să organizeze sistemul de control intern şi să responsabilizeze personalul din cadrul organizaţiei.


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Evaluarea riscurilor, presupune evaluarea probabilităţii de materializare a riscurilor si a impactului acestora asupra obiectivelor. Aceasta se realizează prin evaluarea politicilor şi proceselor de gestionare a riscurilor, cu privire la caracterul adecvat al acestora, stabilirea limitărilor care generează riscul, a deficientelor controalelor interne şi crearea de dispozitive privind îmbunătăţirea controlului intern şi implementarea acestora astfel încât să se asigure obţinerea rezultatelor aşteptate prin implementarea obiectivelor.

Scopul evaluării riscurilor este de a stabili o ierarhie a riscurilor în cadrul organizaţiei şi în funcţie de tolerabilitatea la risc, să se stabilească cele mai adecvate modalităţi de tratare a acestora. Evaluarea riscului presupune parcurgerea următoarelor etape:

- evaluarea probabilităţii de materializare a riscului identificat; - evaluarea impactului asupra obiectivelor in cazul materializării riscurilor; - evaluarea expunerii la risc ca o combinaţie intre probabilitate si impact Responsabili cu riscurile trebuie să ţină cont de faptul că riscurile nu pot fi

evitate şi în aceste condiţii trebuie să aibă preocupări numai pentru a tine riscurile în limite acceptabile, tolerate de organizaţie şi să nu încerce eliminarea lor totală deoarece acţiunea poate conduce la apariţia altor riscuri neaşteptate.

Controlul riscurilor are ca scop transformarea incertitudini într-un avantaj pentru organizaţie, limitând ameninţările. Activitatea de control a riscurilor presupune:

- tolerarea riscurilor, reprezintă nivelul de risc pe care organizaţia este pregătita să-l accepte sau la care este dispusa sa se expună la un moment dat, respectiv limitele acceptabile în care riscul se manifestă. Toate riscurile care au un nivel al expunerii situat deasupra limitei de toleranta trebuie tratate prin masuri de control;

- tratarea riscurilor, presupune că, în timp ce se desfăşoară activitatea care a generat riscul, se stabilesc şi instrumentele de control aferente pentru a diminua nivelul riscului şi a-l menţine în limite acceptabile. Instrumentele de control sunt menite să limiteze probabilitatea ca un rezultat nedorit să se materializeze şi să corecteze rezultatele în cazul în care riscul s-a materializat.

- transferarea riscurilor se realizează în cazurile în care implementarea instrumentelor de control nu conduc la limitarea sau diminuarea nivelului riscului, astfel încât entitatea să-l poată gestiona. În aceste cazuri soluţia cea mai bună o reprezintă transferarea lor către o altă organizaţie.

- încetarea activităţilor presupune că anumite riscuri pot fi eliminate sau menţinute în limite rezonabile prin reducerea activităţilor sau desfiinţarea acestora.


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Managementul riscurilor are menirea de a identifica şi evalua riscurile în ceea ce priveşte impactul şi probabilitatea de materializare şi să stabilească modalităţi adecvate de administrare a riscurilor semnificative. Soluţia viabilă a gestionării riscurilor o reprezintă găsirea echilibrului în care, riscul cu care cu care convieţuim să fie egal cu riscul pe care suntem pregătiţi să-l tolerăm.

Precizăm că, tratarea riscurilor poate fi realizată prin aplicarea următoarelor instrumente de control:

- instrumente de control preventive care limitează posibilitatea ca un eveniment să se producă, cum ar fi separarea sarcinilor;

- instrumente de control corective cu ajutorul cărora se corectează rezultatele nedorite urmare materializării riscurilor;

- instrumente de control directive care au ca scop să asigure realizarea unui rezultat, fiind utilizate atunci când se urmăreşte ca un eveniment nedorit să nu aibă loc;

- instrumente de control de detecţie cu ajutorul cărora se identifică situaţiile nedorite care au avut loc.

Raportarea riscurilor, presupune că procesul de gestionare a riscurilor este supus unor examinări periodice prin care sunt stabilite mecanismele de avertizare a managementului cu privire la evoluţia riscurilor existente sau la riscurile noi apărute, precum şi la funcţionarea controalelor interne. Supervizarea riscurilor este necesară pentru monitorizarea evoluţiei profilului riscului şi asigurarea că activitatea de administrare a riscurilor este corespunzătoare.

Revizuirea riscurilor asigură că toate activităţile procesului de gestiune a riscurilor sunt analizate cel puţin o data pe an şi sunt stabilite mecanisme de informare a managementului cu privire la riscurile noi apărute sau la schimbările survenite la riscurile gestionate. Procesele de revizuire se pun în aplicare pentru a analiza dacă: riscurile persistă; au apărut riscuri noi; impactul şi probabilitatea riscurilor au suferit modificări; instrumentele de control intern puse în operă sunt eficace sau dacă anumite riscuri trebuie tratate sau transferate.

Pentru asigurarea unui management eficient al riscurilor este important să se examineze modul cum responsabilităţile individuale specifice se încadrează în cadrul general al organizaţiei si dacă există asigurări că fiecare salariat înţelege, în mod corespunzător, propriul rol cu privire la riscuri. Dacă acest lucru nu este realizat, gestionarea riscurilor nu va putea fi integrată corespunzător şi omogen în organizaţie.

Managementul riscului nu presupune eliminarea sau minimizarea rezultatelor negative pe care riscurile le-ar putea provoca activităţii organizaţiei ci de a limita apariţia riscurilor. Obiectivul este de a identifica mărimea riscurilor la care este


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supusă organizaţia, înţelegerea fenomenelor care menţin riscurile la niveluri ridicate şi identificarea cauzelor care conduc la apariţia riscurilor.

Analiza şi evaluarea activităţilor care privesc managementul riscului permit identificarea, ierarhizarea şi evaluarea riscurilor astfel încât organizaţia să le poată controla. Această ierarhizare va sprijini atât adoptarea deciziilor privind opţiunile de tratare a riscurilor, cât şi a celor privind asigurarea îmbunătăţirii continue a performanţelor organizaţiei.

Cerinţele şi obiectul implementării controlului intern Implementarea unui sistem de control intern adecvat constituie o oportunitate

pentru asigurarea performanţelor entităţii, deoarece permite identificarea disfuncţionalităţilor şi crearea celor mai bune dispozitive de control. Aceasta implică o gândire profundă şi colectivă asupra punctelor forte, dar şi asupra vulnerabilităţilor proceselor implementate.

Disfuncţiile sau erorile constatate în realizarea activităţilor sunt datorate insuficienţei instrumentelor de control intern sau a implementării necorespunzătoare a acestora. Responsabilii care au sarcina construirii sistemului de control intern creează şi dezvoltă instrumente de control intern pentru a permite deţinerea unui bun control asupra funcţionării organizaţiei, precum şi a realizării fiecărei activităţi sau operaţiuni în parte.

Instrumentele de control intern variază de la o organizaţie la alta, în funcţie de mărimea, complexitatea şi natura activităţilor desfăşurate şi de normele legale aplicabile. Acestea se pot grupa, astfel: obiectivele, mijloacele, sistemul informaţional, organizarea, procedurile şi controlul.

Obiectivele sunt particularizate în concordanţă cu obiectul de activitate şi atribuţiile specifice ale organizaţiei în obiective generale, precise şi clar formulate, cuprinse într-un document de politică şi strategie, aprobat şi adus la cunoştinţa întregului personal. Pornind de la aceste obiective generale fiecare persoană cu funcţie de conducere stabileşte obiectivele specifice realizării activităţilor din cadrul compartimentului pe care îl conduce, asigurând ca acestea sunt: realiste şi în deplină concordanţă cu misiunea şi atribuţiile compartimentului; repartizate în interiorul compartimentului; măsurabile, adică exprimate în indicatori cantitativi sau calitativi; monitorizate prin sistemul de informare existent la dispoziţia managementului şi sunt prevăzute cu termene calendaristice realiste de realizare.

Mijloacele reprezintă ansamblul resurselor umane, financiare şi materiale, privite în corelaţie cu realizarea obiectivelor. Acestea trebuie să permită realizarea obiectivelor fixate.


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Sistemul informaţional reprezintă totalitatea procedeelor, metodelor şi mijloacelor utilizate la nivelul entităţii, care conduc la un tot organic al operaţiilor de culegere, prelucrare, sistematizare, transmitere, valorificare şi stocare a datelor şi informaţiilor. Acest sistem trebuie să fie integrat în cadrul organizaţiei, sub forma unor jurnale, a căror construcţie trebuie să aibă la baza ordonarea, corelarea şi centralizarea succesivă a informaţiilor şi indicatorilor folosiţi de management în scopul gestionarii activităţilor proprii.

Organizarea constituie un ansamblu de masuri, metode, tehnici, mijloace si operaţiuni, prin care conducerea stabileşte, în conformitate cu anumite principii, reguli, norme si criterii, componentele procesuale şi structurale ale organizaţiei în vederea realizării obiectivelor stabilite. Fără o organizare adecvata nu poate exista un bun control asupra activităţilor desfăşurate în cadrul organizaţiei.

Procedura descrie paşi ce trebuie urmaţi, metodele de lucru stabilite şi regulile de aplicat, în vederea executării activităţilor, atribuţiilor sau sarcinilor. Acestea se pot grupa în: proceduri operaţionale care privesc aspectul procesual, proceduri decizionale care se refera la exercitarea competentei şi proceduri jurisdicţionale care vizează angajarea răspunderii.

Controlul constă în măsurarea rezultatelor cu ajutorul indicatorilor stabiliţi obiectivelor, depistarea cauzelor care determină abaterile şi luarea măsurilor cu caracter corectiv sau preventiv necesare. În funcţie de natura cauzelor, masurile corective sau preventive pot fi de natură previzională, organizatorică, de coordonare, antrenare sau chiar de evaluare-control. Exercitarea funcţiei de evaluare-control presupune ca organizaţia să-şi elaboreze propria strategie de control, în vederea limitării riscurilor ce pot determina abateri nedorite de la politicile şi obiectivele stabilite.

Activităţile de control intern privesc, în general, politicile, metodologiile şi procedurile organizaţiei referitoare la:

- separarea responsabilităţilor, cu scopul prevenirii fraudelor şi a erorilor, respectiv a răspunderii privind gestiunea activelor, a procesului de aprobare, a activităţilor operaţionale de sarcinile contabile, precum şi a principalelor funcţii legate de tehnologia informaţiei de funcţiile utilizatorilor;

- aprobarea operaţiunilor şi activităţilor entităţii, respectiv stabilirea de reguli clare privind aprobările cu caracter general de cele specifice;

- întocmirea şi utilizarea documentelor contabile conform cerinţelor legale; - protejarea activelor entităţilor prin depozitare, gestionare şi securizare

corespunzătoare şi prin controale fizice adecvate; Controlul intern are ca scop reducerea iregularităţilor, a fraudei şi asigurarea

unui management sănătos. Aceasta este realizată prin asigurarea unui nivel corespunzător de calitate a atribuţiilor în concordanţă cu misiunea organizaţiei, în


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condiţii de regularitate, eficacitate, economicitate şi eficienţă, precum şi prin dezvoltarea şi întreţinerea unor sisteme de colectare, stocare, prelucrare, actualizare şi difuzare a datelor şi informaţiilor şi a unor sisteme şi proceduri de informare adecvate. În acest context, cerinţele controlului intern sunt:

- atingerea obiectivelor, stăpânirea şi pilotajul activităţii; - asigurarea transparenţei financiare şi a eficienţei circuitelor financiare; - consolidarea sistemelor de control intern şi de management financiar; - punerea la dispoziţia managementului a unui instrument eficace care să-i

ajute în ţinerea sub observaţie a activităţilor şi care să faciliteze îndeplinirea obiectivelor.

Organizarea controlului intern realizată la nivel de structură funcţională este în sarcina conducătorului, care are stabilite responsabilităţi cu privire la proiectarea, implementarea, operaţionalizarea şi perfecţionarea acestuia. Controlul intern trebuie să privească orice operaţiune sau tranzacţie din cadrul entităţii şi să îndeplinească următoarele funcţii: financiară, de conformitate şi de performanţă.

Conducătorul organizaţiei raportează cu privire la modul de proiectare, implementare, operaţionalizare şi grad de performanţă al controlului intern. Raportarea se realizează în baza unei declaraţii prin care se arată că au fost implementate sisteme adecvate de control, care asigură legalitatea şi regularitatea operaţiunilor, iar politicile şi procedurile elaborate garantează la toate nivelurile organizaţiei: aprobări, autorizări, verificări, reconcilieri, examinări ale performanţei, securitatea activelor şi separarea sarcinilor.

Controlul intern responsabilitatea managementului şi întregului personal Managementul general şi cel de la toate nivelurile este responsabili de

pilotajul întregului dispozitiv de control intern, fiecare în sfera lor de competenţă, asigurând acesta este coerent în ansamblul său şi eficient şi că acoperă principalele riscuri.

Conducerea organizaţiei este responsabilă pentru implementarea sistemului de control intern în cadrul organizaţiei, în sensul că aceasta are obligaţia să stabilească politici adecvate de control intern şi să urmărească cu regularitate asigurare funcţionări eficiente a acestuia. Totodată trebuie să se asigure cu privire la eficacitatea sistemului de control intern în administrarea riscurilor.

Managementul de linie este responsabil pentru elaborarea politici de control intern la nivelul structurilor funcţionale ale organizaţiei, precum şi pentru implementarea activităţilor de control, dispuse de conducerea organizaţiei, prin luarea în considerare a următoarelor:

- determinarea necesităţilor de control, respectiv a activităţilor care necesită implementarea de controale interne;


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- conceperea instrumentelor de control intern adecvate şi manieră adecvată de implementare a acestora;

- implementarea în mod corespunzător a controlului intern; - verificarea gradului de adecvare şi funcţionalitate a controlului şi

asigurarea că mecanismele de control sunt aplicate în totalitate, conform necesităţii; - menţinerea şi actualizarea controalelor, care este o sarcină continuă şi care

trebuie să ocupe primul loc în preocupările managementului. O bună implementare a controlului intern nu garantează totuşi reuşita

demersului pe termen scurt şi cu atât mai puţin pe termen lung. Rolul managerilor este de a obţine adeziunea întregului personal al organizaţiei la dezvoltarea sistemului de control intern, prin acţiuni de comunicare şi de pregătire. De aceea implicarea personalului se face prin participarea directă la conceperea dispozitivului de control intern, în special în faza de diagnostic.

Activităţile de control care se desfăşoară în cadrul organizaţiei asigură realizarea obiectivelor şi respectarea procedurilor de lucru prestabilite. Constrângerile şi restricţionările privind activităţile de control au rolul de a asigura organizaţia că personalul îşi îndeplineşte corect atribuţiile şi nu realizează activităţi care depăşesc limita lui de responsabilitate.

Managerii au responsabilitatea de a defini natura, gradul de agregare şi termenul de colectare a informaţiilor în funcţie de obiectivele şi nivelul de responsabilitate. Aceasta presupune acordarea unei atenţii sporite numărului şi pertinenţei indicatorilor de activitate şi de rezultate utilizaţi.

Responsabilitatea managerială presupune exercitarea managementului unei organizaţii, în limitele unor constrângeri interne şi externe, în scopul realizării eficace, eficiente şi în conformitate cu legea a obiectivelor stabilite, comunicarea într-un mod transparent şi răspunderea pentru neîndeplinirea obligaţiilor manageriale.

Dispozitivul de control intern stabilit de management, trebuie adaptat constant la strategia şi obiectivele entităţii, la mediul de lucru, la activităţile şi la organizarea entităţii. Trebuie asigurată permanenţa şi durabilitatea dispozitivului de control intern, precum şi eficienţei dispozitivului de control intern.

Controlul intern nu trebuie ca, în timp, să devină o preocupare exclusivă a unor specialişti. Managementul stabileşte dispozitivul de control de implementat, dar poate delega pilotajul operaţional compartimentului responsabil cu controlul intern. Restul personalului implementează activităţile de control concepute de management. Totuşi, managerii trebuie să fie în continuare, fiecare la nivelul său, actori cheie ai adaptării dispozitivului la realităţile entităţii publice şi să diagnosticheze cu regularitate procesele de care sunt responsabili.


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Pregătirea şi formularea deciziilor manageriale privind îmbunătăţirea performanţelor organizaţiei necesită cunoaşterea stadiului de implementare a deciziilor anterioare, dar şi a stadiului de funcţionalitate a proceselor afectate de decizie. Pertinenţa şi aplicabilitatea deciziilor în timp real, precum şi monitorizarea implementării lor, în condiţiile unui mediu concurenţial, necesită stabilirea unui set de metode şi tehnici adecvate, care să-i ofere managerului posibilitatea unei informări complete asupra situaţiei economico-financiară a organizaţiei. Astfel, controlul intern trebuie privit, în acest context, ca instrument de asistenţă managerială care permite obţinerea unei imagini asupra realităţii organizaţiei în ansamblul său.

Managerul general precum şi celelalte persoane care ocupă funcţii de conducere în entitatea publică, sunt responsabile pentru crearea şi asigurarea funcţionării unui sistem de control intern eficient care sa dea o asigurare rezonabila ca obiectivele stabilite vor fi atinse. În acest sens, se constată că, implementarea sistemului de control intern în cadrul organizaţiei şi adecvarea politicilor pentru realizarea obiectivelor este responsabilitatea managementului general, iar asigurarea managementului cu privire la funcţionalitatea şi eficienţa sistemului revin auditului intern.

Auditul intern este responsabil şi preocupat de modul de organizare a sistemului de control intern din cadrul organizaţiei şi asistă personalul în menţinerea unor controale eficace prin evaluarea funcţionalităţii acestora şi prin îmbunătăţirea continuă a acestora.

În acelaşi timp, procesul de supervizare şi monitorizare presupune evaluarea permanentă şi periodică de către responsabili a aplicării corecte a mecanismelor de control intern, cu scopul de a determina soliditatea şi coerenţa acestora şi de a implementa noi dispozitive de control acolo unde acest lucru se impune. Acest proces presupune ca fiecare responsabil să se organizeze pentru a-şi conduce propria activitate, să stabilească sarcini concrete, să supervizeze activitatea personalului din subordine, să pună la punct metode şi proceduri de lucru adecvate şi un sistem de informare coerent privind activităţile coordonate.

Contribuţia controlului intern la îmbunătăţirea performantelor

organizaţiilor Controlul intern, privit ca fiind totalitatea măsurilor de securitate care

contribuie la deţinerea controlului asupra organizaţiei, are ca scop pe de o parte asigurarea protecţiei patrimoniului şi a calităţii informaţiei, iar pe de altă parte aplicarea instrucţiunilor conducerii şi favorizarea îmbunătăţirii performanţelor.


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În organizarea sistemului de control intern, pe baza conceptului de responsabilitate managerială se are în vedere următoarele premise:

- conducătorul organizaţiei este responsabil pentru organizarea şi funcţionarea, în condiţii optime, a sistemului de control intern;

- sistemul de control intern al organizaţiei se bazează pe verificări şi măsuri corective, precum şi pe evaluări interne şi evaluări externe;

- conducătorul organizaţiei este responsabil pentru realizarea obiectivelor entităţii;

- conducătorul organizaţiei îşi poate delega competenţa, însă nu este exonerat de responsabilitatea generală;

- angajarea responsabilităţii manageriale se realizează prin asigurarea competenţei corespunzătoare;

- responsabilitatea necesită transparenţă şi răspundere. Controlul intern priveşte ansamblul structurilor, metodelor, tehnicilor şi

procedurilor prin care managementul se asigură că administrarea patrimoniului şi utilizarea fondurilor se fac în mod corect şi eficient. Aceasta presupune existente unui mediu de control şi a unei culturi adecvate la nivelul organizaţiei, caracterizată prin integritate, etică, stil managerial, filozofie managerială, structură organizaţională, asigurarea responsabilităţii şi autorităţii, politici şi practici privind resursele umane, competenţa personalului.

Eforturile pentru dezvoltarea şi modernizarea sistemului de control intern, în concordanţă cu standardele în domeniu, sunt canalizate către:

- armonizarea legislaţiei existente în domeniul controlului intern cu legislaţia comunitară şi cu standardele europene şi internaţionale în domeniu;

- asigurarea implementării efective a cadrului de reglementare şi a celui procedural;

- întărirea sistemului de control intern, astfel încât să asigure prevenirea iregularităţilor şi recuperarea pierderilor cauzate de nereguli sau neglijenţe;

- dezvoltarea şi întărirea capacităţii instituţionale; Din aceste considerente, conducătorii organizaţiilor dispun măsurile necesare

pentru elaborarea şi dezvoltarea sistemelor de control intern în propriile organizaţii. Aceste măsuri, în principal, constă în: elaborarea sistemului de control intern, constituirea structurii cu atribuţii de monitorizare, coordonare şi îndrumare metodologică a sistemului de control intern, elaborarea procedurilor operaţionale pe activităţi, efectuarea de analize şi realizarea de informări cu privire la funcţionarea şi performanţa sistemului de control intern, dezvoltarea sistemului de control intern.


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Standardele de control intern aprobate, de inspiraţie COSO, definesc un minimum de reguli de management şi urmăresc crearea unui model de control uniform şi coerent.

Acestea se constituie ca un sistem de referinţă, în raport cu care se evaluează sistemele de control intern, se identifică zonele de risc şi direcţiile de îmbunătăţire.

Controlul intern reprezintă un ansamblu de dispozitive stabilite de conducere şi implementate de către responsabilii de la orice nivel pentru controlarea funcţionării activităţilor. Aceste dispozitive sunt menite să ofere o asigurare rezonabilă cu privire la realizarea obiectivelor instituţiei.

Caracteristicile funcţionale ale controlului intern se pot defini astfel: - trecerea de la concepţia ex post, la tehnici pro-active, prin care se asigură o

continuitate a evaluării calităţii managementului financiar şi a sistemelor de control; - asigurarea îndeplinirii obiectivelor organizaţiei prin evaluarea sistematică şi

menţinerea la un nivel considerat acceptabil a riscurilor asociate structurilor, programelor, proiectelor sau operaţiunilor;

- asigurarea integrităţii şi competenţei personalului de conducere şi de execuţie, precum şi a cunoaşterii şi înţelegerii importanţei şi a rolului controlului intern;

- supravegherea, în mod continuu, a tuturor activităţilor şi acţionarea în mod corectiv, prompt şi responsabil ori de câte ori se constată încălcări ale legalităţii şi regularităţii în efectuarea unor operaţiuni sau în realizarea unor activităţi;

- asigurarea de relaţii clare de comandă, execuţie, raportare şi răspundere; - sistemul de prevenire la nivelul controlului intern trebuie să răspundă

cerinţelor de eficienţă şi eficacitate. Activităţile de control intern sunt cu atât mai eficace cu cât sunt integrate în

proceduri separate, decât să se suprapună cu sarcinile curente, pentru că ele nu se limitează la operaţiile de verificare efectuate de manageri asupra activităţilor realizate de subordonaţii, ci privesc controalele efectuate la nivelul fiecărui post în limita competenţelor atribuite.

Sistemul propriu de control intern, existent în fiecare entitate publică trebuie să fie dezvoltat, perfecţionat până la nivelul care să permită conducerii deţinerea unui cât mai bun control asupra funcţionarii organizaţiei în ansamblul ei, precum şi a fiecărei activităţi, în scopul realizării obiectivelor fixate.


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BIBLIOGRAFIE:

1. Collins L. şi Vallin G. - Audit et Contrôle Interne, Dalloz, Paris, 2000; 2. Domnişoru Sorin, Vânătoru Sandu Sorin, Audit şi Control intern, Editura

Sitech, Craiova, 2010; 3. Keith Wade & Andy Wynne, Control Self Assessment For Risk Management

And Other Practical Applications, West Sussex, England, 2006; 4. Munteanu Victor, Marilena Zucă, Ştefan Zucă, Control şi audit financiar,

Bucureşti, , Editura Pro Universitaria, 2006; 5. Mihăilescu Ion, Marcu Niculina, Chilarez Dan, Covariu Galation, Audit şi

control intern, Editura Independenţa Economică, Piteşti, 2010; 6. Munteanu Victor, Control şi audit financiar contabil, Editura Lumina Lex,

Bucureşti, 2003; 7. Marcel Ghiţă, Emilia Vasile, Marin Popescu, Control intern şi audit intern,

Editura Bren, Bucureşti, 2004; 8. Renard Jacques, Teoria şi practica auditului intern, Ediţia a IV-a, traducere

din limba franceză realizata de Ministerul Finanţelor Publice în cadrul unui proiect finanţat de PHARE, Bucureşti, 2002;

9. Ministerul Finanţelor Publice. Îndrumar metodologic privind controlul intern, 2010.


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INTERNAL CONTROL - MANAGEMENT RESPONSIBILITY

Ph.D. Emilia VASILE Assistant lecturer Ion CROITORU E-mail: [email protected] E-mail: [email protected] „Athenaeum” University Bucharest „Athenaeum” University Bucharest

Abstract: Internal control is a process designed, implemented and maintained by the

management of the organization in order to provide reasonable assurance concerning the fulfilment of tasks that refer to the credibility of financial reporting, also to the effectiveness and efficiency of operations according with laws and regulations.

Internal control has the fallowing general objectives: achieving at an appropriate level of quality the functions of the organization, established in accordance with its mission in terms of regularity, efficiency, economy and efficiency; protection of public funds, compliance with laws, regulations and management decisions; development and maintenance of systems for collecting, storing, processing, updating and dissemination of data and information, and also development and maintenance of information systems and procedures and periodic reporting.

Internal control system consists of policies and procedures designed to provide officers that are responsible for corporate governance and executive leadership, with reasonable assurance that the entity achieves its objectives through the strategies adopted.

Keywords: reasonable assurance, internal control, efficiency, effectiveness, risk assessment, risk management, liability management, control instruments, objectives, internal control system.

JEL Classification: G34

The role of internal control In our view, internal control is considered as a dynamic process that has

specific responsibility for protecting the heritage assets of the entity and preventing and detecting errors, fraud, waste, abuse and poor management.

To ensure the functionality, internal control must be continuously adapted to changes inside the entity. A functional internal control provides assurance that the assets of the organization are safeguarded, that reports are reliable and accurately reflect the economic and financial situation of the organization.

In literature, internal control is defined as the process designed, implemented and maintained by the management and staff at all levels, in order to provide


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reasonable assurance regarding the achievement of organizational objectives, relating to the application of instructions, heritage protection, and improving the quality of information activities.

In practice, internal control is held in the functional structure of an organization, including resources, systems, processes, structure, tasks and organizational culture and contribute to the objectives set, grouped as follows:

- effectiveness and efficiency of operations includes the organization's mission and objectives relating to the use, in terms of economy, efficiency and effectiveness of resources and resource protection objectives of the organization concerning misuse or loss.

- reliability of the information, includes the objectives concerning proper accounting and reliability of the information used in the organization and also the objectives of protecting documents against fraud.

- compliance with laws, regulations and policies includes the objectives that give assurance that the organization's activities are conducted in accordance with the obligations imposed by laws and regulations and those regarding compliance with internal policies.

For these reasons, internal control is a set of devices established by the management and implemented by managers at any level for performance evaluation activities. The devices must be implemented to provide assurance regarding the achievement of organizational objectives.

The design and practical implementation of an internal control system aims at decentralization of control activities towards the leaders of functional structures of the organization. This means that each leader, at his level, is responsible for establishing and implementing internal control that are necessary and appropriate for the functioning and achievement of activities they coordinate. In this way the management gains autonomy to achieve objectives, also transparency and accountability in revenue collection and efficiency and effectiveness in managed funds.

Developing a system of internal control regarding the organization own culture, meets international standards and best practice in the field. A system of internal control is characterized by the following:

- full process, internal control involves a series of instruments of control which are integrated into activities of the entity;

- designed by management, setting goals and responsibility regarding the establishment and operation of internal control monitoring. Management tools to plan and implement internal control, monitor and evaluate their functionality;

- implemented by all staff, operationality of internal control is provided by the staff of the entity, what they do, each at his post. To be able to achieve internal control, personnel must know their duties, responsibilities and authority limits of the job;


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- in pursuit of the mission, the organization was established to achieve a purpose and should be concerned, in particular, to fulfill its mission.

- risk identification, to carry out the mission of the organization, risks are encountered, that is why management is required to identify and manage the risks, to limit the probability of occurrence and keep them within acceptable limits.

- provide reasonable assurance, the design and implementation of a system of internal control does not give to the management of the organization an absolute assurance regarding the achievement of objectives, no matter how well is designed and implemented, but a reasonable assurance. This level of insurance is one of trust, being determined by the management, based on the inherent risks evaluations, and associated to the activities in a quantitative and qualitative manner.

- objectives, internal control contributes to the overall objectives of the organization, to the specific objectives established at the level of functional structures and also to the individual objectives, set per each job in the organization. The achievemnet of objectives is limited by the inherent limits that specific to any system of internal control.

The aim is to ensure consistency of internal control objectives, to identify key factors of success and to communicate to the organization leaders, in real time, the information about performance and prospects. Whatever the nature or size of the organization, the efforts to implement a satisfieng internal control are related to aplying the rules and procedures related to internal control at all levels.

Internal control and risk management Risk is defined as the threat that an event or action will adversely affect the

organization's objectives and also the successful implementation of strategies. This definition emphasizes that risk is a threat that has an impact on the achievement of objectives.

In these circumstances, an adequate internal control policy should provide reasonable assurance to the manager that objectives are met. For this reason, the organization should in advance conduct activities relating to: defining the objectives, process mapping, analysis and assessment of risks inherent to the proces or the risks that could threat the achievement of the objectives of the entity.

Risk management is the most important part of any internal control activity, as it identifies adequate internal control instruments based on risk analysis, and the implementation activities for the control devices are answers to risk management.

Recognizing the essential nature of risk management in internal control analysis resulted in the emergence of risk management concept, which requires the modification of leadership style and provide the basic conditions of effective internal controls that contribute to achieving the objectives in terms of effectiveness.


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Risk management is a process conducted by management and all staff and aims to identify events that could affect the achievement of activities and objectives, a process that involves the identification, evaluation, risk control and reporting.

Risk identification is a systematic and ongoing process which identifies potential hazards within the entity. This process is necessary to know the risks that have not been seen previously, to know the circumstances of the identified risks and risk assessment which occurred in the past, but currently has no importance for the organization.

Risks must be identified at any level where there is danger on the achievement of the objectives and measures are required to implement the arrangement of control devices to reduce risk to acceptable levels and maintain them identifing the risks has the purpose to detect any possible risk factors and create the conditions for handling the risks and analyze them.

Risk management is the responsibility of general management, who must organize the internal control system and to empower the staff of the organization.

Risk assessment involves evaluating the probability of materialization of risks and their impact on the objectives. This can be done by evaluating the policies and processes for managing risk related to their adequacy by determining the limitations which generate risk, determining internal control deficiencies and creating devices to improve internal control and their implementation so as to ensure the expected results by implementing the objectives.

The purpose of risk assessment is to establish a hierarchy of risks inside the organization and function of risk tolerance, to determine the most appropriate ways to deal with them. Risk assessment involves the following steps:

- assessment of the likelihood of identified risk materialization; - impact assessment objectives if the risk materializes; - evaluating assessment as a combination of probability and impact The ones responsible for risk should take into account that risk cannot be

avoided and under these circumstances the only concern should be to keep risks within acceptable limits, tolerated by the organization and not to seek the total elimination of risk, because the action can lead to other unexpected risks.

Risk control has the aim to transform uncertainty into an asset for the organization, limiting the threat. Risk control activity involves:

- tolerance of risk is the level of risk that the organization is prepared to accept or to whom the organization is willing to expose itself at a certain point, namely the acceptable limits in wich the risk manifests. All risks that have a level of exposure situated obove the tolerance limit should be managed by control measures;

- treatment of risk assumed, means that, guring the development of the activity that generat the risk, the control tools are established in order to decrease


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the level of risk and keep it within acceptable limits. Control tools are designed to limit the probability that an undesirable result materializes and to correct the results if the risk has materialized.

- risk transfer is done in those cases in wich implementation of control instruments do not lead to the limitation or decreasing the level of risk in such a way that the entity can manage it. In these cases the best solution is to transfer them to another organization.

- stopping the activity implies that some risks can be eliminated or kept within reasonable limits by reducing or eliminating the activities.

Risk management aims to identify and assess risks in terms of impact and likelihood of materializing and to determine appropriate ways of managing significant risks. Viable risk management solution is to find a balance betwin the risk we already tolerate and the risk we are prepared to tolerate.

Please note that the treatment risk can be achieved by applying the following control tools:

- preventive control tools that limit the possibility that an event occurs, such as segregation of duties;

- corrective control tools with which we correct undesirable outcomes of the materialized risks;

- directive control tools that aim to ensure achievement of results, and it is used to prevent an unwanted to take place;

- detection control instruments with which we identify hazardous situations that have occurred.

Risk reporting, means that risk management process is subject to periodic review with the help of wich the warning mechanisms of management can warning future or alredy existing risks are established and also of the internal control functioning. Risk supervision is required to monitor the progress of the risk profile and ensure that the activity of risk management is appropriate.

Risk Review process ensures that all risk management activities are reviewed at least once a year and that mechanism for informing the management on the new risks or an changes to the assumed risks, are established. Review processes are implemented to examine whether: risks persist, new risks have emerged, the impact and likelihood of risks have changed, internal control instruments are effectively put into work, or if certain risks must be treated or transferred.

To ensure effective management of risk is important to examine how specific individual responsibilities fall within the general framework of the organization and if every employee properly understands, their role on risk management. If this is not achieved, risk management cannot be properly and homogeneously integrated into the organization.

Risk management does not mean eliminating or minimizing the negative results that risks could cause tothe organization's activities but to limit the


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occurrence of risks. The objective is to identify the size of the organization which is subject to risks, understanding the phenomena that maintain high levels of risks and identifing the causes that give rise to risks.

Analysis and evaluation of risk management activities allow the identification, the hierarchy and risk assessment in such a manner that the organization can control them. This hierarchy will support decisions on risk treatment options, as well as ensuring the continuous improvement of organizational performance.

The requirements and the object of internal control implementation Implementation of an adequate internal control system is an opportunity to

ensure the entity's performance, because it identifies failure and creates the best control devices. This implies a profound and collective thinking on the strengths, but also on vulnerabilities of the implemented processes.

Malfunctions or errors are due to failure in carrying out internal control tools or improper implementation. Officials in charge of building the internal control system create and develop tools for internal control to allow possession of a good control over the functioning of the organization and the completion of each activity or operation.

Internal control instruments vary from one organization to another, depending on the size, complexity and nature of the activities and the applicable legal rules. They can be grouped as follows: objectives, resources, information system, organization, procedures and control.

The objectives are customized according to the business and functions of the general objectives of the organization, precise and clearly formulated, contained in a policy and strategy document, approved and notified to all staff. Based on these general goals each person responsible for the management sets specific objectives in carrying out the department he leads, ensuring that they are realistic and fully consistent with the mission and duties department, distributed inside the compartment, measurable, ie expressed in quantitative or qualitative indicators, monitored through the existing information available to management and are provided with realistic deadlines for achieving calendar.

The means are all human, financial and material, taken in conjunction with the achievement. They must enable the objectives set.

Information system means all the processes, methods and tools used within the entity, leading to an organic whole of the operations of collecting, processing, systematization, transmission, recovery and storage of data and information. This system should be integrated within the organization, in the form of journals, whose construction should be based on ranking, correlation and sequential centralization of information and indicators used by management to their business managers.


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The organization is a set of measures, methods, techniques, tools and operations that management established in accordance with certain principles, rules, standards and criteria, procedural and structural components of the organization to achieve objectives. Without proper organization there can be no control over activities within the organization.

The procedure describes the steps to be followed, established working methods and rules applied in the execution of activities, duties or tasks. They can be grouped into: operational procedures relating to legal procedures, decision-making procedure that relates to the exercise of judicial competence and procedure liability covering.

Control consists of measuring results with the indicators set goals, finding the underlying causes of deviations and take corrective or preventive measures of need. Depending on the type of cases, corrective or preventive measures may be forward looking in nature, organizational, coordination, training, evaluation or control. Exercise-control evaluation function implies that the organization would develop its own control strategy for limiting the risks that may cause unwanted deviations from the policies and objectives.

Internal control activities in general, policies, methodologies and procedures relating to the organization:

- separation of responsibilities in order to prevent fraud and error, that the responsibility for asset management, the approval process, operational activities of accounting tasks and functions of key information technology, functions related to users;

- approval of the operations and activities of the entity, namely the establishment of clear rules of general approvals for the specific;

- preparation and use of accounting documents in accordance with legal requirements; - protection of storage assets through entities, managing and securing appropriate and adequate physical controls.

Internal control aims to reduce irregularities, fraud and ensuring sound management. This is achieved by ensuring an adequate level of quality consistent with the mission of the organization's tasks under conditions of regularity, efficiency, economy and efficiency and the development and maintenance of systems for collecting, storing, processing, updating and dissemination of data and information systems and appropriate procedures. In this context, the internal control requirements are:

- objectives, mastery and steering of business; - ensuring financial transparency and efficiency of financial flows; - strengthening internal control systems and financial management; - providing management an effective tool to assist in observation of

activities and to facilitate the achievement of objectives.


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Organization of internal control conducted at the functional structure is the task of the manager, who has established responsibilities regarding the design, implementation, operation and its improvement. Internal control should concern any operation or transaction within the entity and perform the following functions: financial, compliance and performance.

The head of the organization report on the design, implementation, operation and performance level of internal control. Reporting is done on a statement that shows that have been implemented adequate systems of control that ensure the legality and regularity of operations and ensure policies and procedures developed at all levels of the organization: approvals, authorizations, verifications, reconciliations, performance review, security of assets and segregation of duties.

Internal control- the responsibility of management and all- staff Overall and at all level management is responsible for internal control

steering of the whole device, each in their sphere of competence, ensuring it is consistent and efficient as a whole and it covers the main risks.

Management shall be responsible for the implementation of internal control within the organization, meaning that it is required to establish adequate internal control policies and to regularly monitor its effective functioning of insurance. Must also ensure the effectiveness of internal control in risk management.

Line management is responsible for developing internal control policies in the organization of functional structures and to implement control activities arranged by the leadership of the organization, takingi nto account the following:

- determination of the control, activities that require the implementation of internal controls;

- internal control design tools suitable and appropriate manner of their implementation; - implement proper internal control;

- verification of the adequacy and functionality of control and ensure that the control mechanisms are applied in full, according to necessity;

- maintaining and updating the controls, which is a continuous task and it must occupy first place in the management concerns.

A good implementation of internal control does not guarantee success, however, short-term approach and even less in the long term. The role of managers is to get all the personnel of the organization's adherence to internal control system development, through communication and training. Therefore, staff involvement is through direct participation in the design of internal control device, particularly in the diagnostic phase.

Control activities taking place within the organization ensures the achievement of the objectives and ensures compliance with predetermined operating procedures. Constraints and restrictions on control activities are designed


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to ensure that the staff of the organization to fulfills its duties properly and are not aware of activities that exceed the limit of responsibility.

Managers have the responsibility to define the nature, degree of aggregation and data-collection period according to the objectives and level of responsibility. This requires increased attention to the number and relevance of indicators of activity and results.

Management involves the exercise of managerial responsibility of an organization, within the limits of internal and external constraints in order to achieve effective, efficient and in accordance with the law objectives, communication in a transparent way and responsability for management failure.

Internal control device established by management should be constantly adapted to the strategy and objectives of the entity, to the working environment, to the activities and organization of the entity. Device must ensure permanence and durability of internal control and internal control device efficiency.

Internal controls should not, in time, become the exclusive concern of specialists. Management sets the controller to implement, but may delegate operational pilotage charge of internal control department. The remaining staff implements activities of control designed by management. However, managers must remain, at their level, key actors in the adaptation to the realities of a public entity and to diagnose regularly the processes which are responsible for regularly.

Preparing and making managerial decisions on improving organizational performance requires knowledge of the progress of implementation of previous decisions, but also functional status affected by the decision process. The relevance and applicability in real-time decisions, and monitoring their implementation, in a competitive environment requires a set of methods and techniques appropriate to offer the manager the possibility of complete information on economic and financial organization. Thus, internal control should be viewed in this context, managerial assistance as a tool to derive a picture of the reality of the organization as a whole.

General Manager and other persons occupying management positions in public entities are responsible for the creation and the operation of an effective internal control system to give reasonable assurance that objectives will be achieved. In this regard, it notes that implementation of internal control within the organization and adequacy of policies is the responsibility of overall management objectives, and providing management with regard to functionality and efficiency of the internal audit duties.

Internal audit is responsible and concerned with the organization of the system of internal control within the organization and assists staff in maintaining effective controls by evaluating their functionality and their continuous improvement.


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At the same time, supervision and monitoring process involves ongoing assessment and regular reporting by the responsible of the correct application of internal control mechanisms in order to determine the strength and consistency and to implement new control devices where this is necessary. This process requires that each responsible to organize and run their own business, to establish specific tasks, supervise the work of subordinate staff to devise appropriate working methods and procedures and consistent information system on coordinated activities.

Contribution to improving internal control performance in organizations Internal controls are all seen as contributing to security measures that

contributes to having control over the organization and aims on the one hand, to ensuring protection of information quality, and on the other hand, promoting the application of guidelines to improve performance management.

In organizing the system of internal control based on the concept of managerial accountability there are the following prerequisites:

- The head of the organization is responsible for the organization and operation, under optimal conditions, the internal control system;

- the organization's internal control system based on checks and corrective measures, as well as internal evaluation and external evaluation;

- head of the organization is responsible for achieving the objectives of the entity; - head of the organization may delegate his power, but is not relieved of overall responsibility;

- the employment of managerial accountability is achieved by ensuring adequate competence;

- accountability requires transparency and accountability. Internal control covers all structures, methods, techniques and procedures by

which management assures that the administration of property and funds are properly and effectively administrated. This implies a control environment and an appropriate culture within the organization, characterized by integrity, ethics, management style, management philosophy, organizational structure, ensuring accountability and authority, human resources policies and practices, personnel competence.

Efforts to develop and modernize the internal control system in accordance with industry standards are channeled to:

- harmonization of existing legislation with EU law and control of European and international standards in the field;

- ensuring effective implementation of the regulatory framework and the procedural;


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- strengthening of internal controls to ensure prevention of irregularities and recovery of losses due to irregularities or negligence;

- developing and strengthening institutional capacity; For these reasons, leaders of organizations take the necessary steps to prepare

and develop internal control systems within their organizations. These measures mainly consist of: internal control system development, building structure responsible for monitoring, coordination and methodological guidance of the internal control system, development of operational procedures for activities, analysis and development of information on the operation and performance of the system of internal control, internal control system development.

Internal control standards approved by the inspiration COSO, define a minimum of rules of management and control, and aims at developing a uniform and consistent control system. They act as a benchmark against which internal control systems are evaluated, risk areas are identified and directions for improvement are taken.

Internal control is a set of device, that management has established and it is implemented by managers at all levels to control normal activities.

These devices are designed to provide reasonable assurance regarding the achievement goals of the institution.

Functional characteristics of internal control are as follows: - shift from ex post concept, pro-active techniques, which ensures continuity

of quality assessment of financial management and control systems; - the organization to attain its objectives through systematic evaluation and

maintenance at an acceptable level of risk associated structures, programs, projects and operations;

- ensuring the integrity and competence of management and executive staff, along with a knowledge and understanding of the importance and role of internal control; - monitoring continuously, all activities and working properly, promptly and responsibly whenever breaches of the legality and regularity in conducting operations or carrying out activities;

- providing clear command relationships, execution, reporting and accountability; - the system of preventing of internal control must meet the requirements of efficiency and effectiveness.

Internal control activities are even more effective as they are integrated into separate procedures, rather than overlap with current tasks, because they are not limited to verification operations made by managers on operations carried out by subordinates, but the checks and controls done at each position within the competences assigned.


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The internal control system, existing in every public entity needs to be developed, refined to the level that allows management to having a better control over the functioning of the organization as a whole and over each activity in order to achieve objectives.

BIBLIOGRAPHY: 1. Collins L. şi Vallin G., Audit et Contrôle Interne, Dalloz, Paris, 2000; 2. Domnişoru Sorin, Vânătoru Sandu Sorin, Audit et Contrôle Interne, Sitech

Publishing, Craiova, 2010; 3. Keith Wade & Andy Wynne, Control Self Assessment For Risk Management

And Other Practical Applications, West Sussex, England, 2006; 4. Munteanu Victor, Marilena Zucă, Ştefan Zucă, Control and audit financial,

Bucureşti, , Publishing Pro Universitaria, 2006; 5. Mihăilescu Ion, Marcu Niculina, Chilarez Dan, Covariu Galation, Audit et

Contrôle Interne, Publishing Economic Independence, Piteşti, 2010; 6. Munteanu Victor, Control and audit accounting, Lumina Lex Publishing,

Bucureşti, 2003; 7. Marcel Ghiţă, Emilia Vasile, Marin Popescu, Internal control and internal

audit, Bren Publishing, Bucureşti, 2004; 8. Renard Jacques, Theory and practice of internal auditing, the fourth edition,

the French translation made by the Ministry of Public Finance in a project financed by PHARE, Bucureşti, 2002;

9. Ministry of Finance Public. Methodological guidelines on internal control, 2010.


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INTEGRAREA MONETARĂ,

DE LA TEORIE LA PRACTICĂ

Drd. Ec. Laura-Cristina IVĂNESCU Banca Naţională a României

Abstract: Plasându-şi începuturile în cea de-a doua jumătate a secolului al XIX-lea,

odată cu înfiinţarea Uniunii Monetare Latine (1865), fenomenul integrării europene a devansat adesea noţiunile teoriei economice, mulţumită unor spirite vizionare care, în ciuda remodelărilor ulterioare determinate de evenimentele din plan european şi internaţional, au direcţionat încă de la început pe făgaşul succesului procesul integrării economice şi monetare europene. Prezentul articol îşi propune o trecere în revistă a pricipalelor momente ale acestui proces, odată cu punctarea abordărilor teoretice din domeniu, urmată de analizarea structurii şi a pârghiilor de funcţionare a pilonului monetar actual, respectiv Sistemul European al Băncilor Centrale. Articolul se doreşte a fi de asemenea o analiză a evoluţiei priorităţilor comunitare, de la factorii declanşatori ai procesului, până la necesităţile actuale evidenţiate de criza financiară recentă, de consolidare a arhitecturii europene prin extinderea măsurilor fiscale dincolo de cerinţele Pactului şi întărirea guvernanţei macroeconomice.

Cuvinte cheie: Integrare monetară, integrare economică, Banca Centrală Europeană, criza financiară, Uniunea Europeană, Sistemul European al Băncilor Centrale

Clasificări JEL: E42, E52, E58, F33, G21

1. Introducere Teoria economică a încercat să găsească un răspuns cu privire la

modalitatea optimă de realizare a integrării monetare, conturând două curente principale, şi anume cel economic şi cel monetar. Potrivit abordării economice, integrarea monetară trebuie să fie precedată de o integrare economică pentru a se evita eventuale dezechilibre ale economiei reale determinate de scăderile investiţiilor şi de încetinirile creşterii economice ca urmare a creşterii ratelor dobânzilor. Pe de cealaltă parte, susţinătorii abordării monetare au argumentat


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întâietatea integrării monetare prin evitarea amânării la nesfârşit a unor decizii dificile din plan economic, fundamentale însă pentru integrarea monetară.

În practică, istoria integrării monetare a dovedit o realitate mult mai nuanţată, succesiunea unor evenimente precum succesul iniţial al mecanismului cursului de schimb sau aderarea la uniune a unor state cu o economie mai puţin dezvoltată determinând susţinerea uneia sau a alteia dintre abordări, sau adoptarea unui pachet de acţiuni cuprinzând măsuri din ambele registre.

Astfel, la momentul primei schiţe a uniunii economice şi monetare, respectiv Planul Werner (1971), Europa era divizată între cele două abordări. Pe de o parte, devalorizarea lirei sterline (1967), slăbirea dolarului american, căderea francului francez şi reevaluarea mărcii germane reprezentaseră evenimente care, în succesiunea lor, atrăseseră un puternic semnal de alarmă cu privire la divergenţele economice dintre statele participante. Pe acest fundal, Germania şi Olanda au sprijinit în cadrul Consiliului de la Haga, din 1967, ţintirea convergenţei economice, în vederea realizării în mod treptat a integrării monetare prin fixarea ireversibilă a cursurilor valutare şi crearea unei autorităţi monetare. Pe de cealaltă parte, abordarea monetaristă, care pune accentul pe rolul integrator al armonizării monetare, fusese susţinută de Franţa, Belgia şi Italia.

Planul Werner, a reprezentat un compromis între cele două abordări. Fixându-şi drept moment ţintă pentru atingerea dezideratului integrării economice şi monetare anul 1980, Werner nu a înaintat un calendar concret pentru realizarea unor obiective de etapă, însă şi-a propus într-o primă fază armonizarea instrumentelor de politică economică şi coordonarea politicilor bugetare, dar şi intensificarea integrării pieţelor financiare şi armonizarea politicii monetare şi de credit. Cea de-a doua fază urma a se concentra pe adoptarea de directive europene comune şi transferarea responsabilităţilor din domeniul economic, comercial, financiar şi monetar organelor comunitare. Remarcăm astfel aici faptul că, deşi teoria economică nu-i oferise încă, la momentul respectiv, toate instrumentele specifice analizei integrării monetare, spiritul vizionar al primului ministru luxemburghez a înţeles importanţa gradualismului procesului monetar dat fiind registrul politic şi caracteristicile unei uniuni economice şi monetare. Uniunea, prin însăşi raţiunea de a fi a Declaraţiei Schuman emise cu 20 de ani înainte, respectiv reconcilierea franco-germană, reprezenta prin excelenţă expresia unei voinţe politice, de unde importanţa păstrării autonomiei politice într-o primă etapă. De aici, fixarea ratelor de schimb pentru asigurarea substituibilităţii perfecte a monedelor naţionale, fără pierderea controlului politic la nivel naţional. Deşi nu a mai putut fi pus în practică datorită efectelor şocului petrolier, a crizei de materii


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prime şi a căderii sistemului de la Bretton Woods, evenimente ce au determinat redefinirea strategică a unificării europene, ideea avansată de Planul Werner de eliminare treptată a fluctuaţiilor ratelor de schimb până la fixarea irevocabilă a cursurilor a deschis drumul cooperării dintre băncile centrale.

Primele eforturi de coordonare ale băncilor centrale s-au materializat în cadrul Şarpelui Monetar instituit prin Acordul de la Basel (1972) care a obligat băncile la acţiuni concertate în vederea menţinerii fluctuaţiilor cursului în ecartul de ±2,25%, eforturi intensificate mai apoi în Sistemul Monetar European (1979) odată cu introducerea ecu.

Raportul Delors, care a trasat pentru prima dată etapele concrete ale realizării unei uniuni economice şi monetare, a continuat pe linia gradualismului instituţional. În 1992 Tratatul de la Maastricht (amendat prin Tratatul de la Amsterdam – 1997 şi Tratatul de la Nisa – 2001) a stabilit în cele din urmă arhitectura uniunii economice şi monetare actuale, prin oferirea unui cadru juridic primului pilon al uniunii, format din CECA, EURATOM şi CEE, şi adăugarea altor doi, respectiv cel al politicii externe şi al securităţii comune şi cel al cooperării pentru afaceri interne şi justiţie.

La 1 decembrie 2009, data intrării în vigoare a Tratatului de la Lisabona semnat în 2007, structura tripolară a uniunii a fost abandonată, Uniunea Europeană devenind unică entitate juridică.

2. Fenomenul de instituţionalizare a pilonului monetar Conceptul integrării monetare a evoluat în decurs de o jumătate de secol

de la iniţiativele instituirii unor forumuri ale factorilor naţionali de decizie din domeniul monetar, până la crearea Institutului Monetar European şi a Băncii Centrale Europene.

Coordonarea politicilor monetare a fost organizată pentru prima dată prin instituirea, în baza Tratatului de la Roma, a Comitetului Monetar, format din reprezentanţii băncilor centrale şi ai ministerelor de finanţe, precum şi din doi reprezentanţi ai Comisiei Europene, pentru ca, în 1964, să se decidă crearea Comitetului Guvernatorilor Băncilor Centrale, sub auspiciile Băncii Reglementărilor Internaţionale. Considerat a fi cel mai important organism din perspectiva monetară, Comitetul Guvernatorilor era un forum cu ocazia căruia participanţii îşi prezentau intenţiile de politică monetară în vederea discutării aspectelor tehnice, pentru asigurarea unei cât mai funcţionale arhitecturi monetare europene. Ulterior, printr-o decizie a Consiliului din 1990, atribuţiile Comitetului s-au lărgit în sensul coordonării politicilor monetare pentru susţinerea stabilităţii preţurilor.


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Cât priveşte latura programatică, trebuie remarcat faptul că modele ale integrării instituţionale la nivel monetar au apărut atât în Planul Werner, cât şi în Raportul Delors, aflat la baza Tratatului de la Maastricht.

Astfel, primul document care a adus în discuţie ideea unui sistem al băncilor centrale europene care să elaboreze politica monetară şi politicile cursurilor de schimb în raport cu state terţe l-a reprezentat, din nou, planul Werner, care a avut drept punct de referinţă Sistemul Rezervelor Federale ale Statelor Unite. Spre deosebire de proiectul european actual, Werner nu a propus însă constituirea unei bănci centrale europene, ci a unei autorităţi bugetare centralizate. Acelaşi Werner a avansat de asemenea ideea constituirii unui Fond European de Cooperare Monetară (FECOM) pentru gestionarea resurselor monetare pe termen scurt şi mediu şi, eventual, a rezervelor valutare externe comune.

La rândul său, Raportul Delors a propus lărgirea atribuţiilor Comitetului Guvernatorilor, fapt pus în practică, după cum am precizat mai sus, în 1990, precum şi dezvoltarea sistemului european al băncilor centrale ca nucleu monetar care să asigure funcţiile unei bănci centrale, respectiv elaborarea şi aplicarea politicii monetare, gestionarea cursurilor de schimb şi a rezervelor valutare şi asigurarea unei bune funcţionări a sistemelor de plăţi. De asemenea, Delors a înaintat ideea înfiinţării unui Fond European de Rezervă, ca embrion al acestui sistem.

Propunerile celor două rapoarte au reprezentat punctul de plecare pentru arhitectura monetară actuală.

Astfel, iniţiativa luxemburgheză de constituire a Fondului European de Cooperare Monetară s-a materializat în 1973, când FECOM a primit sarcina monitorizării sistemului comunitar al cursurilor de schimb. Crearea Sistemului Monetar European (SME) şi semnarea Acordului dintre băncile centrale de la Basle (1979), a sporit importanţa FECOM, căruia i-a revenit sarcina gestionării eficiente a finanţării pe termen mediu şi scurt, statele participante depunând la FECOM, în schimbul ecu, 20% din rezervele în aur şi dolari. La doi ani după instituirea SME, FECOM a devenit Fondul Monetar European (FME).Deşi a reprezentat un pas înainte pe calea gestionării resurselor comune, trebuie remarcat faptul că instituirea FECOM şi apoi a FME a reprezentat totuşi un succes parţial, dată fiind subordonarea acestuia ECOFIN. Datorită acestui mecanism de subordonare, lucrările FME se finalizau mai degrabă prin recomandări, în timp ce deciziile importante erau luate în cadrul Comitetului Guvernatorilor. În 1994 Fondul a fost inclus în Institutul Monetar European.


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Cât priveşte propunerile Raportului Delors, acestea au reprezentat punctul de pornire al Tratatului de la Maastricht care a extins practic propunerile iniţiale, prin luarea deciziei de creare a Institului Monetar European.

Încununarea cu succes a tuturor eforturilor depuse în sensul integrării monetare l-a reprezentat momentul 1994, când Europa a făcut primul pas pe calea creării unei bănci centrale la nivel european, prin înfiinţarea la Frankfurt a embrionului acesteia, respectiv a Institutului Monetar European (IME). Condus de un Consiliu Instituţional Monetar European, IME a avut drept obiectiv formarea premiselor organizaţionale şi funcţionale ale creării Băncii Centrale Europene.

Ne vom opri aici, pentru moment, asupra gradualismului integrării depline, respectiv a introducerii monedei unice. Astfel, trebuie remarcat faptul că mecanismul ales în acest sens a fost dictat practic de trăsăturile specifice unei uniuni monetare de talia celei europene, care au anulat unele ipoteze aplicabile în plan naţional, cum ar fi fost deplina flexibilitate a preţurilor şi a salariilor. Lipsa acestor ipoteze a făcut imposibilă introducerea monedei unice printr-o terapie de şoc, fără o armonizare prealabilă a ratelor inflaţiei, cum a fost cazul integrării monetare a Germaniei unificate. O altă alternativă ar fi fost de asemenea introducerea monedei unice în paralel cu cele naţionale, la un curs variabil, determinat de diferenţele dintre ratele inflaţiei, moneda naţională urmând a fi eliminată ulterior în mod treptat, datorită preferinţei populaţiei pentru moneda mai puţin depreciată, deci cea comună. Această teorie cunoscută sub denumirea de teoria integrării prin piaţă are însă limitele sale, deoarece porneşte de la ipoteza că monedele sunt substitute perfecte. După cum au demonstrat Down şi Greenaway (1994) monedele nu posedă această calitate, decizia deţinerii uneia dintre monede nedepinzând în mod exclusiv de stabilitatea monetară pe care aceasta o creează, ci şi de măsura în care alţi participanţi pe piaţă deţin moneda respectivă. Down şi Greenaway au definit acest proces drept crearea unor efecte de reţea. Dat fiind faptul că monedele naţionale prezintă avantajul acestor efecte de reţea, mecanismul pieţei nu ar fi permis astfel niciodată înlocuirea monedelor naţionale cu o monedă unică.

Soluţia adoptată la nivelul UE, prezentă de altfel şi în cadrul planului Werner, a fost astfel tocmai asigurarea substituţiei perfecte a monedelor prin intermediul măsurilor aplicate la nivel instituţional, prin trecerea la rate de schimb fixe. Constituirea Băncii Centrale Europene a reprezentat prin urmare ultima etapă a integrării instituţionale. Pe de cealaltă parte, pentru ca integrarea monetară instituţională să dea rezultatele scontate, o condiţie sine qua non o reprezintă asigurarea independenţei pilonului monetar. Astfel, dacă, în ceea ce priveşte Banca Centrală Europeană, asigurarea independenţei instituţionale a


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constituit un obiectiv al Institutului Monetar European, în ceea ce priveşte băncile centrale naţionale aceasta a fost definită ca o precondiţie a aderării la Sistemul European al Băncilor Centrale. Astfel, în cazul României, independenţa Băncii Naţionale a fost afirmată în cadrul noului Statut, respectiv Legea nr.312/2004, prin definirea explicită a acesteia, stabilirea asigurării stabilităţii preţurilor ca obiectiv fundamental al BNR şi interzicerea oricărui tip de creditare directă a statului de către BNR.

3. Funcţionarea Sistemului European al Băncilor Centrale Analizând mecanismul decizional al Sistemului European al Băncilor

Centrale (SEBC) ce are în centrul său Banca Centrală Europeană, înfiinţată în 1998, remarcăm faptul că acesta prezintă o structură tricelulară, dictată de gradul de integrare monetară al statelor participante.

Centrul nucleului îl reprezintă Comitetul Executiv al BCE care asigură coordonarea activităţii zilnice a băncii şi luarea deciziilor operative pentru implementarea, la nivel de sistem, a politicii monetare decise de Consiliul Director. Comitetul transmite zilnic instrucţiuni operative băncilor centrale naţionale, în sarcina sa aflându-se şi administrarea rezervelor internaţionale ale BCE.

Având rolul de a asigura un grad ridicat de reacţie şi adaptabilitate a instituţiei monetare la condiţiile pieţei, Comitetul Executiv este format din şase specialişti pe probleme bancare şi monetare, printre care preşedintele şi vice-preşedintele BCE. Propuşi de către Comisia Europeană, după consultarea Parlamentului European şi al Consiliului Director, aceştia sunt numiţi la nivel de şefi de stat şi de guvern de către toate statele aparţinând zonei euro.

Cel de-al doilea plan decizional, cu spectru mai larg şi central din punct de vedere decizional, este reprezentat de Consiliul Director, replică la un nivel superior a Comitetului Guvernatorilor înfiinţat în 1964. Format din guvernatorii statelor zonei euro, Consiliul Director are rolul de a stabili orientarea politicii monetare, puse apoi în aplicare de Comitetul Executiv. În ceea ce priveşte procesul decizional de la acest nivel, realitatea economică a zonei euro a ridicat problema eficienţei acestuia. Astfel, aderarea Slovaciei, ca cel de-al 16-lea membru al zonei monedei comune, în 2009, a declanşat punerea în aplicare a amendărilor aduse la 1 mai 2004 Statutului SEBC, cu privire la îngheţarea la 15 a numărului membrilor cu drept de vot. Astfel, deşi la reuniunile Consiliului participă toate statele eurosistemului, dreptul de vot este acordat pe bază rotativă, după un calendar prestabilit, astfel încât să se asigure în permanenţă reprezentarea la vot a majorităţii populaţiei zonei euro.


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Participarea la şedinţele Consiliului Director reflectă obiectivele BCE. Trebuie amintit aici faptul că, pe lângă obiectivul principal de asigurarea a stabilităţii preţurilor, art.105 al Tratatului Uniunii Europene înscrie politica monetară în coordonatele convergenţei economice, plasând în responsabilitatea BCE şi sprijinirea politicilor economice generale ale Comunităţii Europene, fără a periclita însă stabilitatea preţurilor. Din această perspectivă, la şedinţele Consiliului Director participă fără drept de vot preşedintele ECOFIN şi un membru al Comisiei Europene (în general, comisarul pe probleme economice şi monetare). În cazul în care preşedinţia ECOFIN este deţinută de o ţară non membră a zonei euro, locul preşedintelui ECOFIN este ţinut de preşedintele Eurogrupului1.

În ceea ce priveşte obiectivul din plan monetar, acesta a fost cuantificat încă din perioada Institutului Monetar European, respectiv în 1998, ca fiind “o creştere anuală în zona Euro sub 2% a Indicelui Armonizat al Preţurilor de Cosum”.

În 2003, Consiliul Director al BCE a adus explicaţii suplimentare în ceea ce priveşte acest aspect, enunţând urmărirea menţinerii unei rate a inflaţiei sub 2%. În ceea ce priveşte coordonata temporară a obiectivului, BCE şi-a propus asigurarea stabilităţii preţurilor pe termen mediu.

Trebuie remarcat faptul că elementele definitorii ale obiectivului BCE au fost dictate de realităţile unei zone monetare de amploarea celei europene, respectiv diferenţe inflaţioniste inter-regionale şi creşterea decalajului temporar şi a incertitudinii efectelor politicii monetare în eventualitatea unor şocuri externe.

Astfel, nivelul de 2% a reprezentat, conform analiştilor, o marjă suficientă pe de o parte pentru combaterea inflaţiei, iar pe de cealaltă parte pentru evitarea situaţiilor deflaţioniste şi a costurilor induse de rigidităţi nominale. Ţinta a devenit astfel păstrarea unui nivel al inflaţiei inferior, însă apropiat de cel de 2%, în condiţiile în care, în 1999, statele din sudul Europei, ca Spania şi Italia, prezentau valori apropiate de 2% (2,2% şi respectiv 1,7%), în timp ce Germania şi Franţa înregistrau o inflaţie de doar 0,6%.

În general, politica practicată de Banca Centrală s-a dovedit a avea succes, rata inflaţiei menţinându-se în perioada 2000-2007 în apropierea valorii de 2%, cu excepţia anului 2008, când valoarea înregistrată a fost de 3,3%. Eliminarea realinierilor periodice ale cursurilor de schimb au dovedit astfel beneficiile aplicării unei politici monetare comune, în condiţiile în care, în anii 1970-1980 1 A se vedea de asemenea “Funcţionarea Eurogrupului: probleme actuale şi provocări”, Ivănescu, D., Ivănescu, L., Conferinţa internaţională Inovaţie financiară şi competitivitate în Uniunea Europeană, Bucureşti, 2008, ISSN 1841-8678


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inflaţia era de 8%-10%. În 2008, cele mai mari rate ale inflaţiei le-au înregistrat Spania, Grecia şi Luxemburgul, cu valori apropiate de 4%, în timp ce cea mai mică inflaţie a atins-o Olanda, cu 2,2%, potrivit datelor publicate de Eurostat. În 2009, rata inflaţiei a fost de 0,3% în zona euro şi 1% la nivelul UE, pentru 2010 analiştii previzionând o rată de 1,1% şi respectiv 1,4%.

Cât priveşte orizontul temporar propus, termenul mediu pare a fi într-adevăr soluţia cea mai potrivită pentru atingerea atât a obiectivelor economice cât şi a celor monetare în eventualitatea unor şocuri externe. O reacţie promptă la creşterea preţului petrolului în vederea ţintirii pe termen scurt a stabilităţii preţurilor ar fi putut determina o volatilitate puternică a producţiei şi a gradului de angajare a forţei de muncă, cu efecte nocive asupra stabilităţii preţurilor pe termen lung.

Referitor la strategia de politică monetară adoptată de BCE, aceasta este una bipolară, bazată atât pe analiza factorilor de risc din plan economic, care determină evoluţia preţurilor pe termen scurt, cât şi pe cea a elementelor monetare. În ceea ce priveşte latura monetară, BCE-ul analizează nu doar evoluţia M3, ci şi contrapartidele acesteia în bilanţul consolidat al instituţiilor financiare şi monetare, precum şi structura creşterii M3, elemente esenţiale pentru identificarea reorientărilor de portofolii, cu implicaţii asupra evoluţiei pe termen lung a preţurilor. Bipolaritatea analizei ce stă la baza deciziilor monetare este un element adesea subliniat de reprezentanţii BCE. Toate celelalte strategii respectiv ţintirea cursului de schimb, ţintirea inflaţiei şi ţintirea agregatelor monetare ar fi adus un eşec, datorită taliei remarcabile a economiei, ce însumează 329 milioane de locuitori şi deci a gradului foarte redus de deschidere, neluării în calcul a unei plaje prea mari de factori economici, element mai puţin semnificativ la nivelul unui stat, însă fundamental în cazul unei uniuni, şi, respectiv, distorsiunilor din planul agregatelor monetare care pot apărea în cazul trecerii la uniunea monetară.

Trebuie remarcat faptul că între 1999 şi 2003, BCE a urmărit îndeaproape evoluţia M3, fixând pentru aceasta o creştere de 4,5% pe an. Acest nivel fusese stabilit ca fiind în concordanţă cu asigurarea stabilităţii preţurilor. Totuşi, valoarea de creştere atinsă a fost de 6,5% în 2003, după acest moment M3 fiind considerat doar un simplu indicator aflat la baza orientării politicii monetare.

În ceea ce priveşte politica cursului de schimb, în urma criticilor aduse scăderii competitivităţii determinate de aprecierea semnificativă a monedei europene în jurul anului 2000, BCE a ales calea unui euro mai degrabă stabil decât puternic. Într-adevăr, dacă între 2000 şi 2003, euro s-a apreciat de la 0,9236 la 1,1312, după această dată, timp de 3 ani, euro s-a menţinut în jurul valorii de 1,24$/euro. Ultimii ani au cunoscut însă o reapreciere a valorii


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europene, care a culminat cu pragul psihologi de 1,5 în luna noiembrie 2009. Totuşi, veştile pozitive din economia americană cu privire la scăderea ratei şomajului în Statele Unite au adus revenirea dolarului american, cursul scăzând la 1,42 în decembrie.

Aria spaţială cea mai largă este acoperită la nivelul SEBC de Consiliul General, ce asigură liantul dintre Eurosistem şi băncile centrale naţionale din afara acestuia. Format din preşedintele şi vice-preşedintele BCE şi toţi guvernatorii băncilor centrale naţionale, sarcinile Consiliului General reprezintă în fapt o continuare a atribuţiilor IME în sensul trasării paşilor necesari pentru adoptarea euro. Printre altele, Consiliul General adoptă astfel rapoartele de convergenţă solicitate prin Tratat şi monitorizează funcţionarea mecanismului ratelor de schimb II prin evaluarea sustenabilităţii ratelor de schimb bilaterale între monedele zonei non-euro şi moneda euro.

Din această perspectivă, în ceea ce priveşte experienţa ţărilor relativ recent intrate în zona euro, remarcăm faptul că Slovenia, Cipru şi Malta nu au prezentat dificultăţi particulare în menţinerea cursului de schimb în imediata proximitate a parităţii centrale. Un caz aparte l-a reprezentat Slovacia, al cărui curs a prezentat volatilităţi semnificative la începutul participării sale la ERM II, fără a se apropia însă de limita benzii de 15%, şi a cărei rigurozitate economică a determinat două reevaluări semnificative ale monedei naţionale faţă de euro. În ceea ce priveşte nivelul ratei inflaţiei, acesta s-a menţinut în general sub nivelul valorii de referinţă, în Cipru, Malta şi Slovacia situându-se în jurul valorii de 2,2%. De remarcat este faptul că aceste performanţe s-au datorat şi reorientării strategiilor de politică adoptate, Slovenia, spre exemplu, abandonând strategia de ţintire a agregatelor monetare în favoarea monitorizării evoluţiilor din economia reală şi nominală. De asemenea, Slovacia a adoptat strategia de ţintire a inflaţiei şi un regim de curs de tipul flotării libere.

Dacă la nivelul ratelor dobânzilor pe termen lung nu s-au înregistrat de asemenea probleme, îndeplinirea criteriilor de performanţă a fost mai dificilă în ceea ce a privit sustenabilitatea finanţelor publice. Comisia Europeană a lansat astfel procedura de deficit excesiv împotriva Maltei, Ciprului şi Slovaciei, care au trebuit să-şi întărească măsurile de consolidare a politicii fiscale.

4. Uniunea Economică şi Monetară: prezent şi perspective Concentrând 22,5% din PIB-ul mondial, Uniunea Europeană reprezintă la

ora actuală rezultatul voinţei politice a 500 de milioane de oameni. Întărirea politicilor comune poate fi considerată o reuşită, în 2007 UE

ajungând să reprezinte 17,4% din exporturile mondiale, faţă de 11,6% cât reprezentau Statele Unite, în timp ce, la nivelul importurilor, UE a egalat


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Statele Unite, cu 19% din importurile mondiale. În cadrul uniunii, introducerea monedei unice a facilitat în mod substanţial relaţiile comerciale, care au ajuns la o treime din PIB, faţă de un sfert, cât reprezentau la începutul acesteia.

În plan fiscal, uniunea economică şi monetară a reuşit recuperarea decalajului, datorită scăderii ratelor dobânzilor (de la 12% în 1980, la 5% în 2007) şi a fondurilor structurale şi de coeziune. Criteriile Pactului de Stabilitate au determinat scăderea deficitului global al zonei euro, de la 4% în anii ’80 şi ’90, la 0,6% în 2007.

În ceea ce priveşte ocuparea forţei de muncă, UE a depus eforturi susţinute în vederea scăderii ratei şomajului, eforturi care au dat rezultate în perioada 2005-2008 când rata şomajului s-a aflat în continuă scădere, deşi la un nivel superior faţă de cel al Statelor Unite.

Uniunea Europeană se află însă la un nou moment de cotitură. Dincolo de realizările unor eforturi de peste jumătate de secol, criza financiară actuală a decantat punctele tari pe care europenii au reuşit să le construiască, de noi provocări. După creşteri între 2% şi 3% în perioada 2004-2007, criza anului 2008 a adus o încetinire a creşterii la doar 0,8%, pentru ca în 2009 PIB-ul să scadă cu 4,1% în UE şi respectiv 4% în zona euro.

O analiză detaliată a situaţiei economice a UE evidenţiază o creştere a dezechilibrelor în zona euro, situaţia actuală aducând în discuţie redefinirea coordonatelor fiscale. Acest lucru se datorează faptului că intervenţiile financiare menite să sprijine sistemul financiar au dus la o creştere alarmantă a deficitului public, ceea ce subliniază necesitatea unei coordonări fiscale dincolo de aspectele deficitelor şi ale datoriei publice cuprinse în Pactul de Stabilitate. În acelaşi timp, devine tot mai pregnantă necesitatea intensificării rigurozităţii cu care se aplică prevederile Pactului în perioadele de creştere economică, în vederea evitării unor cheltuieli exagerate. Deficitele bugetare, alături de diferenţele de competitivitate, se conturează astfel drept principalele motive de îngrijorare, date fiind implicaţiile acestora asupra uniunii monetare.

În plan economic, criza financiară a confirmat modificările survenite în ipotezele de calcul ale funcţionării uniunii. Astfel, dacă ne întoarcem la originile procesului, prezentate la începutul acestui articol, trebuie să remarcăm faptul că una din particularităţile planului Werner a fost tocmai lipsa oricăror constrângeri şi sancţiuni impuse statelor participante şi importanţa marginală atribuită convergenţei macroeconomice, dat fiind coeficientul redus de divergenţă între participanţi la acea dată. Aceste ipoteze nu se mai verifică însă în contextul actual, întărirea supravegherii coordonării macroeconomice, în vederea prevenirii unor creşteri excesive ale dezechilibrelor şi şocurilor asimetrice la care acestea contribuie devenind principalul obiectiv fixat pentru


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2010. Uniunea monetară necesită astfel la ora actuală sprijinul unei puternice guvernanţe economice care să aibă la bază definirea unor angajamente ferme din partea guvernelor participante.

Pe de cealată parte, trebuie remarcat faptul că obstacolele întâmpinate nu au evidenţiat doar efecte negative. Succesul viziunii europene a constat în faptul că, deşi confruntate cu o criză mondială fără precedent, nici una din statele membre nu au adoptat politici protecţioniste cum a fost cazul Marii Recesiuni. Statele UE au adoptat măsuri de susţinere a cererii care par a fi dat roade, pentru anul 2010 previzionându-se o creştere a PIB cu 0,7% atât pentru zona euro, cât şi pentru UE. Cea mai optimistă previziune în acest sens o deţine Polonia, cu 2,6%, în timp ce Germania şi Franţa se aşteaptă la o creştere de 1,2%. Singura ţară dintre primele şapte state ale UE şi zonei euro în care se previzionează în continuare o scădere a PIB, este Spania, cu 0,6%.

În ceea ce priveşte situaţia UE ca actor mondial, îmbunătăţirea situaţiei economice externe poate duce la o revigorare a exporturilor, însă această tendinţă se află în continuare sub semnul incertitudinii, depinzând de robusteţea ciclului global, dar şi de eventuale efecte întârziate ale aprecierii monedei europene din ultimele perioade.

Concluzionând, dincolo de aspectele negative inerente, trebuie remarcat faptul că prezenta criză deţine şi un potenţial progresiv. Astfel, dacă, înaintea acesteia, statele membre erau relativ reticente la ideea unei uniformizări a procesului de reglementare şi supraveghere bancară, evenimentele recente au impulsionat cooperarea în acest domeniu prin desemnarea Comitetului European de Supraveghere Bancară şi a Comitetului European de Risc Sistemic în vederea coordonării testării la nivel european al robusteţei instituţiilor bancare şi a iniţierii reformei de reglementare şi supraveghere bancară.

În fond, cheia soluţionării situaţiei actuale reprezentată prin întărirea măsurilor fiscale şi implementarea unor măsuri structurale şi a unui sistem integrat de supraveghere constituie un nou pas pe linia perfecţionării arhitecturii uniunii economice şi monetare actuale.

BIBLIOGRAFIE:

1. Bindseil,U.–„Monetary Policy Implementation: Theory-Past-Present”, Oxford University Press, 2004;

2. Dăianu, D., Lungu L., Vrânceanu, R. – „Strategii de politică monetară şi curs de schimb în contextul aderării României la Uniunea Europeană”, Studii de impact II, Institutul European din România, 2004;


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3. Dowd, K., Greenaway, D. – Currency competition, network externalities and switching costs: towards an alternative view of optimal currency areas”, Economic Journal, 103, 1180-89;

4. Erik, J., Verdum, A.,-“The Political Economy of European Integration, Theory and Analysis”, 270 Madison Ave, New York, NY 10016;

5. Pentecost, Eric, Van Poeck, André– „European Monetary Integration, Past, Present and Future”, Edward Elgar Publishing, Inc., Northampton, MA, SUA, 2001;

6. Werner, Pierre – Itinerarii luxemburgheze şi europene. Evoluţii şi amintiri 1945-1985, Editura Gnosis, Bucureşti, 1998;

7. Miron, Dumitru - Economia integrării europene, lito ASE, Bucureşti, 1998;

8. *** Raport anual, 2008, Banca Naţională a României, www.bnro.ro; 9. *** Raport asupra inflaţiei, ianuarie 2010, Banca Naţională a României,

www.bnro.ro; 10. *** Raport asupra stabilităţii financiare, 2009, Banca Naţională a României,

www.bnro.ro; 11. *** The Monetary Policy of the ECB, 2004, European Central Bank –

European Commission – „Interim Forecast”, februarie 2010, www.ecb.int; 12. *** Stronger European Economic Governance and Tougher Rules for the

Stability Pact Neede”, Press Release, 9 februarie 2010, European Parliament, http://ec.europa.eu/index_en.htm;

13. *** World Economic Outlook, ianuarie, 2010, International Monetary Fund;

14. Legea nr.101/1998 privind Statutul Băncii Naţionale a României, www.bnro.ro;

15. Legea nr.312/2004 privind Statutul Băncii Naţionale a României, www.bnro.ro.


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MONETARY INTEGRATION,

FROM THEORY TO PRACTICE

PhD student Laura-Cristina IVĂNESCU National Bank of Romania

Abstract: Started in the second half of the 19th century with the creation of the Latin

Monetary Union (1865), the European integration has often outrun the economic theories, due to the visionary minds of its initiators that have placed the economic and monetary integration process, from the very beginning, on the track of the success. This is meant to be an overview of the main moments of the integration process, also from the perspective of the theoretical aspects, followed by an in-depth analysis of the structure and functioning mechanism of the present monetary pillar which is the European System of Central Banks. It will also analyse the evolution of the Community priorities, from the beginning till the present challenges put into light by the financial crisis i.e. the reinforcement of the European architecture through the expansion of the fiscal measures beyond the Pact’s present requirements and the strengthening of the macroeconomic governance.

Key words: economic integration, monetray integration, European Central Bank, financial crisis, European Union, European System of Central Banks

JET Classifications: E42, E52, E58, F33, G21

1. Introduction The economic theory has tried to find an answer to the question concerning

the best way to accomplish the monetary integration, underlying two main approaches, i.e the economic approach and the monetary one. According to the economic approach, the monetary integration should be preceded by an economic integration in order to avoid any possible imbalances in the real economy caused by investment decreases and slow downs of the economic growth as a result of rising interest rates.

On the other hand, the supporters of the monetary approach argued the primacy of the monetary integration by avoiding the endless process of


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postponing difficult, but essential economic decisions with a view to monetary integration.

In practice, the history of the monetary integration showed a far more nuanced reality, the sequence of such events as the initial success of the exchange rate mechanism or the process of joining the union of some states with a less developed economy causing the support of one or another of the two approaches or the adoption of a package of measures including measures from both registers.

Thus, at the moment of the first draft of the economic and monetary union, namely the Werner Plan (1971), Europe was divided between the two approaches. On the one hand, the devaluation of the pound sterling (1967), the weakening of the American dollar, the devaluation of the French franc and the revaluation of the German mark represented a series of events that, in their succession, gave a warning signal about the economic divergences between the participating states.

Under these conditions, within the Hague Council of 1967, Germany and Netherlands supported the targeting of the economic convergence with a view to a gradual monetary integration through the fixing of the exchange rates and the creation of a monetary authority. On the other hand, the monetary approach, which focused more on the integration role of the monetary harmonization, was supported by France, Belgium and Italy.

The Werner Plan represented a compromise between those two approaches. Setting the year 1980 as the target moment for the achievement of the economic and monetary union goal, Werner did not submit an clear timetable for the accomplishment of some mid-term objectives, but had as a purpose, in an early stage, to harmonize the economic policy instruments, coordinate the budgetary policies, increase the integration of financial markets and harmonize the monetary and credit policy.

The second phase was to focus on adopting common European directives and transferring the national responsibilities in the economic, commercial, financial and monetary field to Community bodies. It should be noted here that, although the economic theory hadn’t offered yet, at that time, all the specific instruments for the monetary integration analysis, the visionary spirit of the Luxembourg Prime Minister understood the importance of the gradualism of the monetary process, given the political register and the characteristics of the European Monetary Union.

Thus, the Union, by its very raison d’être of the Schuman Declaration issued 20 years before, respectively the French-German reconciliation, was, par excellence, the expression of a political will, hence the importance to keep the political autonomy in this early phase. Therefore, the need to fix the exchange


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rates in order to ensure the perfect substitutability of national currencies, without any lost of the national political controls.

Although it could no longer be implemented due to the effects of oil shocks, the crisis of raw materials and the breakdown of the Bretton Woods system, all these events leading to the strategic redefinition of the European Union, the idea suggested by the Werner Plan referring to the gradual elimination of the fluctuation margins till the irrevocable fixing of the exchange rates, opened the way to the cooperation between the central banks.

The first efforts of coordination made by the central banks materialized within the Monetary Snake set up through the Basle Agreement (1972). The agreement forced the banks to take concerted actions in order to maintain the exchange rate fluctuations within the ±2.25% range, while later on, these efforts intensified within the European Monetary System (1979), with the introduction of ecu.

The Delors Report, which, for the first time, laid down the concrete steps for the achievement of an economic and monetary union, continued on the line of institutional gradualism.

In 1992, The Treaty of Maastricht (amended by The Treaty of Amsterdam – 1997 and the Treaty of Nice -2001) finally established the architecture of the current economic and monetary union, by providing a legal framework to the first pillar of the Union, made up of ECSC, EURATOM and EEC, and by adding other two pillars, i.e. the common foreign and security policy and the home affairs and justice one.

On December 1st, 2009, when the 2007-signed Treaty of Lisbon came into force, the tripolar structure of the European Union was abandoned, the Union becoming thus a single legal entity.

2. The Institutionalizing Phenomenon of the Monetary Pillar Within half of a century, the concept of monetary integration evolved from

the initiatives to establish some forums of national decision-making factors in the monetary area to the creation of the European Monetary Institute and of the current European Central Bank.

The coordination of the monetary policies was organized at first through the creation on the basis of the Treaty of Rome, of the Monetary Committee, made up of representatives of the central banks and of the ministries of finance, as well as of two representatives of the European Commission, after which, the creation of the Committee of Central Banks Governors was decided, in 1964, under the auspices of the Bank for International Settlements.


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Being considered the most important body in terms of money, the Committee represented a forum where participants were presenting their monetary policy intentions in order to discuss technical issues that could ensure a more functional European monetary architecture. Later, through a Council decision in 1990, the Committee’s responsibilities were extended with a view to coordinate the monetary policies for the support of price stability.

On a programmatic level, it should be noted that models of institutional integration envisaged for the monetary policy occurred both in the Werner Plan and in the Delors Report, which represents the basis for the creation of the Maastricht Treaty.

Thus, the first document that brought into discussion the idea of a system of European central banks which should develop the monetary policy and the exchange rate policies in relation to third countries was, once again, the Werner Plan, which took as a point of reference the U.S. Federal Reserve System. Unlike the current European project, Werner did not propose the creation of a European central bank, but of a central budget authority.

The same Werner suggested the constitution of the European Monetary Cooperation Fund (EMCF) in order to manage the monetary resources for short and medium term and, possibly, the common foreign currency reserves.

In its turn, the Delors Report submitted the proposals to enlarge the responsibilities of the Committee of Governors, put into practice, as stated above, in 1990, as well as the development of the European System of Central Banks as the monetary core that should preserve the functions of a central bank, namely the development and implementation of the monetary policy, the management of the exchange rates and foreign currency reserves and the guarantee of a smooth operation of payment systems. Delors also put forward the idea of the establishment of an European Reserve Fund, as an embryo of this system.

The proposals of both reports represented the starting point for the current monetary architecture.

Thus, the Luxembourg initiative to establish the European Monetary Cooperation Fund (EMCF) was materialized in 1973, when EMCF was assigned to monitor the EU exchange rates system.

The creation of the European Monetary System (EMS) and the signing of the Agreement between the central banks in Basel (1979) increased the importance of EMCF, whose task became to effectively manage short and medium term funding, the participating states depositing 20 % of their gold and dollars’ reserves to EMCF, in exchange for ECU.

Two years after the establishment of EMS, EMCF became The European Monetary Fund (EMF).


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Although it was a step forward towards the management of common resources, it should be noted that the establishment of EMCF and then that of the EMS represented only a partial success, given its subordination to ECOFIN. Due to this subordination mechanism, the EMF’ works were rather completed through recommendations, whereas the most important decisions were taken in the Committee of Governors. In 1994, the Fund was included into the European Monetary Institute.

As for the proposals of the Delors Report, they were the starting point of the Maastricht Treaty which practically extended the original proposals, by taking the decision of establishing the European Monetary Institute.

The successful reward of all previous efforts made for the purpose of monetary integration was the year 1994, when Europe made the first step towards the creation of a central bank in Europe, by establishing its embryo in Frankfurt, namely the European Monetary Institute (EMI). Led by an Institutional European Monetary Board, EMI aimed at setting up the organizational and functional premises of the European Central Bank.

We will stop for the moment to analyze the gradual approach of the complete integration, i.e. of the introduction of the common currency. Thus, we must notice that the mechanism chosen for this purpose was determined by the specific characteristics of a monetary union of the size of the European one, that have canceled the hypothesis applied at a national level, such as the complete price and wages flexibility among the participating economies. The lack of these hypotheses made impossible the implementation of a shock therapy, without an inflation rates harmonization, as was the case for the monetary integration of the unified Germany. Another alternative would have been the introduction of the common currency in parallel with the national currencies at variable exchange rates determined by the differences between the inflation rates, the national currencies being in the end eliminated from the market by the population that would prefer the less depreciated currency, i.e. the common one. This approach known as the gradualist parallel currency approach has nevertheless its limits, since it starts from the premises that the currencies are perfect substitutes. In reality, as Down and Greenaway have shown in 1994 the currencies are not perfect substitutes, the decision of holding one currency not depending only on the monetary stability it creates, but also on the degree in which other the same currency is used by several people. Down and Greenaway have defined this process as the creation of network effects. Due to the fact that the national currencies create these network effects, the market mechanism wouldn’t have allowed the elimination of the national currencies by a common one. The solution adopted by the European Union, presented also in the Werner Plan, was thus the


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implementation of a mechanism that should ensure the perfect substitution of currencies through the measures took at an institutional level and thus through the establishment of fix exchange rates. The creation of the European Central Bank thus represented the final step of the institutional integration. On the other hand, for the institutional monetary integration to be successful, a sine qua non condition is the independence of the monetary pillar. Thus, if, as concerns the European Central Bank, this was ensured during the time of the European Monetary Institute, as concerns the national central banks, this was defined as a precondition of the adhesion to the European System of Central Banks. Thus, as concerns Romania, the independence of the National Bank was declared in its new statute i.e. Law no.312/2004, through its explicit disclaim, the establishment of price stability as an NBR fundamental objective and the ban of direct crediting of the government by the National Bank.

3. The Functioning of the European System of Central Banks If we analyze the decision-making mechanism of the European System of

Central Banks (ESCB) which has at its heart the European Central Bank, founded in 1998, we will note that it has a tricellular structure, dictated by the degree of monetary integration of the participating states.

The centre core is the ECB's Executive Board which coordinates the daily activities of the bank and the operational decision-making for the implementation, at the system level, of the monetary policy settled by the Governing Council. The Executive Board transmits, on a daily basis, operational instructions to the national central banks, being also in charge of the ECB’s international reserves management.

Designed to ensure a high degree of responsiveness and adaptability of the monetary institution to the market conditions, the Executive Board is made up of six experts on money and banking issues, including the President and the Vice-President of the ECB. Proposed by the European Commission, after having consulted the European Parliament and the Governing Council, they are appointed to the level of Heads of State and Government by all the Eurozone member states.

The second decision-making plan, with a broader, but central spectrum from a decisional point of view, is represented by the Governing Council, the counterpart, on a higher level, of the Committee of Governors established in 1964. Formed of the Eurozone Governors, the Governing Council is designed to establish the monetary policy stance, which is subsequently applied by the Executive Board. With regard to the decision-making process at this level, the economic reality of the Euro zone has raised the issue of its efficiency. Thus, the


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accession of Slovakia as the 16th member of the common currency area in 2009 triggered the implementation of the amendments brought on the 1st of May 2004 to the Statute of the ESCB, referring to the freezing to 15 of the number of members eligible to vote. Thus, although all Member States of the Eurosystem take part in the meetings of the Board, the right to vote is granted on a rotary basis, after a pre-determined schedule, so as to ensure permanent representation to vote of the majority of the population in the Euro zone.

The participation mechanism to the Governing Council’s meetings reflects the ECB's objectives. Thus, it should be noted here that, in addition to the main objective of ensuring price stability, art.105 of the Treaty on the European Union enrolls the monetary policy on the coordinates of the economic convergence, the ECB taking also the responsibility for the support of the general economic policies of the European Community, without endangering nevertheless the price stability. From this perspective, the President of the ECOFIN and a member of the European Commission (in general, the Economic and Monetary Affairs Commissioner) participate to the meetings of the Governing Council, without a voting right. If the ECOFIN Presidency is held by a non member state of the Eurozone, the place of the ECOFIN President is taken by the President of the Eurogroup1.

With respect to the monetary objective, this was already quantified under the European Monetary Institute, namely in 1998, as being "an annual growth in the Eurozone of the harmonized index of consumer prices of less than 2%”.

In 2003, the ECB Governing Council brought further explanations regarding this issue, stating the pursuit to maintain the inflation rate below 2%. With respect to the time framework of this objective, the ECB decided to ensure the price stability on a medium term. It should be noted that the defining elements of the ECB’s objective were dictated by the realities of a monetary zone with the magnitude of the European one, i.e. inter-regional differences in inflation, the increase of the temporary gap and of the uncertainty degree of monetary policy effects in the event of external shocks.

Thus, the level of 2% was, according to analysts, a sufficient margin to combat inflation on the one hand and, to avoid, on the other hand, the deflationary situations and the costs induced by nominal rigidities. Consequently, the goal became the maintenance of a low inflation rate, yet close to that of 2%, given the fact that in 1999, states in Southern Europe, like Spain and Italy, had 1 See also ”The Functioning of the Eurogroup: Present Problems and Challenges for the Future” - Ivănescu, D., Ivănescu, L., - The International Conference: Innovation and Competition in European Union, Bucharest, 2008; ISSN 1841-8678


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inflation rates close to 2% (2.2% and 1.7%), while Germany and France registered an inflation rate of only 0.6%.

In general, the policy practiced by the Central Bank proved to be successful, maintaining the inflation rate between 2000 and 2007 at around 2%, except for 2008, when the value recorded was 3.3%. Removing the periodic realignments of exchange rates thus proved the benefits of applying a common monetary policy, whereas between 1970 and 1980 the inflation was 8% to 10%. In 2008, the highest inflation rates were recorded by Spain, Greece and Luxembourg, with values around 4%, while the lowest inflation was attainted by Netherlands, with only 2.2%, according to the data published by Eurostat.

As regards the time horizon, the medium term framework seems to be, with no doubt, the most appropriate solution to achieve both the economic and monetary objectives in the event of external shocks. Thus, a prompt response to the rise of the oil prices for the purpose of targeting price stability on short-term, could lead to high output and employment volatilities, with adverse effects on the long-term price stability.

As concerns the monetary policy strategy, the ECB has adopted a bipolar one, based on the analysis of both the economic risk factors that could determine the price evolution on a short-term, and of the monetary items. With respect to the monetary side, the ECB examines not only the development of M3, but also its counterparts in the consolidated balance sheet of the monetary and financial institutions, as well as the structure of M3 growth, which are essential elements in identifying portfolio shifts, with implications on long-term price evolution. The bipolarity of this analysis underlying the monetary decisions is an item often emphasized by the ECB’s representatives. All other strategies, i.e. the exchange rate, inflation or monetary aggregates targeting would have brought about a failure, due to the remarkable size of the European economy, which sums up 329 million inhabitants and therefore has a very low degree of openness, the ignoring of a too wide range of economic factors, less significant at a state level, but most important at a union one, and, respectively, the distortions in the monetary aggregates likely to occur in the adhesion process to a monetary union.

It should be noted that between 1999 and 2003, the ECB closely monitored the development of M3, setting as a target its increase of 4.5% per year. This level had been established as consistent with ensuring price stability. However, the growth attained was 6.5% in 2003, after this point M3 being considered just a simple indicator at the basis of the monetary policy stance.

In terms of the exchange rate policy, as a result of the criticisms received for the decrease in competitiveness due to the significant appreciation of the European currency around the year 2000, the ECB chose the path of a rather


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stable than strong Euro. Indeed, if between 2000 and 2003, the Euro appreciated from 0.9236 to 1.1312, after this date, for a period of 3 years, the Euro remained at around USD 1.24 per Euro. But the recent years have seen a re-appreciation of the European currency, which culminated with the psychological threshold of 1.5 in November 2009. However, the positive news in the U.S. economy referring to the decrease of the unemployment rate in the United States have brought back the U.S. dollar, the rate falling to 1.42 in December.

The broadest special area covered at a decision-making level within the ESCB, is the General Council that ensures the link between the Eurosystem and the national central banks outside its margins. Made up by the President and Vice-President of the ECB and all the governors of the EU national central banks, the of the General Council’s tasks represent in fact a continuation of the EMI’s duties as concern the establishment of Euro adoption steps. Among other things, the General Council adopts the convergence reports required by the Treaty and monitors the exchange rate mechanism II by evaluating the sustainability of bilateral exchange rates between the non-Euro area currencies and the Euro.

From this point of view, with respect to the experience of the countries that entered the Euro zone quite recently, we may notice that Slovenia, Cyprus and Malta haven’t proved any particular difficulties in maintaining the exchange rate in the immediate proximity of the central parity. A special case was Slovakia, whose exchange course showed significant volatility at the beginning of its participation in ERM II, without getting near the band limit of 15%, and whose economic rigor caused two significant re-evaluations of the national currency against the Euro. As concerns the inflation rate, it generally remained below the reference value, in Cyprus, Malta and Slovakia being around the value of 2.2%. It should be noted here that these achievements were due to the reorientation of the political strategies adopted, Slovenia, for example, abandoning the strategy of targeting monetary aggregates in favour of monitoring the progress in the real and nominal economy. Moreover, Slovakia adopted the inflation targeting strategy and a free floating exchange rate.

If no problems were encountered concerning the long-term interest rates, the fulfillment of the performance criteria was more difficult with respect to the sustainability of the public finances. Therefore, The European Commission initiated the excessive deficit procedure against Malta, Cyprus and Slovakia, which were forced to strengthen their measures of fiscal consolidation.

4. The economic and monetary union: present and perspectives Concentrating 22.5% of the global GDP, the EU is currently the result of

the political will of 500 million people.


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Strengthening the common policies can be considered a success, in 2007 the EU reaching 17.4% of the global exports, compared to 11.6% of the U.S., while EU imports were equal to those from the United States, representing 19% of the world imports. Within the Union, the introduction of the single currency has substantially facilitated the trade relations, which have reached one third of the GDP, compared to one quarter, as they were at the beginning of the Union.

Regarding the fiscal policy, the economic and monetary union has managed to recover the gap, due to lower interest rates (from 12% in 1980 to 5% in 2007) and structural and cohesion funds. The criteria of the Stability Pact have determined the decrease of the overall average fiscal deficit in the Euro area from 4% in the 80s and 90s, to 0.6% in 2007.

With respect to the employment, the EU has made great efforts to reduce the unemployment rate, whose results could be seen in the 2005-2008 period, when the unemployment rate was in continuous decline, even though at a higher level than that of the US.

The European Union is nevertheless at a new turning point. Beyond all the efforts made for more than half a century, the current financial crisis has decanted the strong points that Europeans have managed to build, from the new challenges. After increases between 2% and 3 % in the period 2004-2007, the 2008 crisis brought a slowdown in the economic growth to only 0.8%, while in 2009 the GDP declined by 4.1% in EU and by 4 % in the Euro area.

A detailed analysis of the economic situation in the EU highlights growing imbalances within the Euro area and this current situation brings into discussion the rethinking of the fiscal framework. This is due to the fact that the financial interventions meant to support the financial systems led to an alarming growth of the public deficit, which underlines the need for a fiscal coordination beyond the aspects of the deficits and public debts covered by the Stability Pact. In the same time, it becomes more obvious the need for an increased rigor in applying the Pact’s provisions during the economic growth, in order to avoid excessive expenditures. The budget deficits have thus become nowadays, together with the differences in competitiveness, the main reasons for concern.

At an economic level, the financial crisis has confirmed the changes of the original hypothesis of the union working mechanism. Thus, if we go back to the origins of the process presented in the beginning of this article, one must notice that one of the particularities of the Werner Plan was exactly the lack of any constrains and sanctions imposed to the participating states and the marginal importance given to the macroeconomic convergence, given that time low divergence coefficient among the participants. These hypothesis are no longer valid in the present context, the enhancement of the macroeconomic coordination


49

for the prevention of excessive imbalances growths and of the asymmetric shocks to which they contribute becoming the main objective for 2010. The monetary union needs now the support of a strong economic governance that should be based on firm commitments from the part of the participating governments. On the other hand, we should notice that the recent obstacles haven’t emphasized only negative effects. The success of the European vision was due to the fact that, although faced with an unprecedented global crisis, none of the Member States have adopted protectionist policies as during the Great Depression. The EU States have adopted measures to support the demand that appear to have been successful, given the fact that for 2010 the GDP growth is projected to be at 0.7% in both the Euro area and the EU. The most optimistic forecast in this respect is the one for Poland, of 2.6%, while Germany and France are expected to attain an increase of 1.2%. The only country among the first seven states of the EU and the Euro area where a continuation of the GDP decline is expected is Spain, with 0.6%.

As regards the EU as a world-wide actor, the improvement of the external economic situation may lead to a revival of the exports, but this tendency is still uncertain, depending on the robustness of the global cycle and also on possible late effects of the European currency appreciation during the past periods.

As a conclusion, apart from the inherent negative aspects, one should note the progressive potential of the current crisis. Therefore, if before the crisis, the Member States were quite reluctant to the uniformization of the bank regulation and supervision process, the recent events have impelled the cooperation in this field, by naming the European Committee of Banking Supervision and the European Committee of Systemic Risk in charge of the coordination of the robustness tests performed at a EU level on the Banking institutions and the initiation of the banking supervision and regulatory reform.

In fact, the key solution to the current situation, consisting in the strengthening of the fiscal measures and the implementation of structural measures and of an integrated banking surveillance system, represents after all a new step forward for the improvement of the current economic and monetary union architecture.

REFERENCES: 1. Bindseil,U.–„Monetary Policy Implementation: Theory-Past-Present”,

Oxford University Press, 2004; 2. Dăianu, D., Lungu L., Vrânceanu, R. – „Strategii de politică monetară şi

curs de schimb în contextul aderării României la Uniunea Europeană”, Studii de impact II, Institutul European din România, 2004;


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3. Dowd, K., Greenaway, D. – Currency competition, network externalities and switching costs: towards an alternative view of optimal currency areas”, Economic Journal, 103, 1180-89;

4. Erik, J., Verdum, A.,-“The Political Economy of European Integration, Theory and Analysis”, 270 Madison Ave, New York, NY 10016;

5. Pentecost, Eric, Van Poeck, André– „European Monetary Integration, Past, Present and Future”, Edward Elgar Publishing, Inc., Northampton, MA, SUA, 2001;

6. Werner, Pierre – Itinerarii luxemburgheze şi europene. Evoluţii şi amintiri 1945-1985, Editura Gnosis, Bucureşti, 1998;

7. Miron, Dumitru - Economia integrării europene, lito ASE, Bucureşti, 1998

8. *** Annual Report, 2008, National Bank of Romania i, www.bnro.ro; 9. *** Inflation report, January 2010, National Bank of Romania,

www.bnro.ro; 10. *** Finacial Stability Report, 2009, National Bank of Romania,

www.bnro.ro; 11. *** The Monetary Policy of the ECB, 2004, European Central Bank –

European Commission – „Interim Forecast”, februarie 2010, www.ecb.int; 12. *** Stronger European Economic Governance and Tougher Rules for the

Stability Pact Neede”, Press Release, 9 februarie 2010, European Parliament, http://ec.europa.eu/index_en.htm;

13. *** World Economic Outlook, ianuarie, 2010, International Monetary Fund ;

14. Law no.101/1998 regarding the National Bank of Romania Statute, www.bnro.ro;

15. Law no.312/2004 regarding the National Bank of Romania Statute, www.bnro.ro;


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APLICAREA ANALIZA COMPONENTELOR PRINCIPALE IN

MANAGEMENTUL PORTOFOLIULUI DE INVESTITII Prof.univ.dr. DAN ARMEANU Doctorand ANDREEA NEGRU E-mail: [email protected] Academia de Studii Economice Academia de Studii Economice București București

Abstract: În gestiunea portofoliilor de investiții pe piețele de capital integrate, dincolo

de modelele propuse de teoria modernă a portofoliului (modelul Markowitz, modelul CML, modelul CAPM, modleul Treynor-Black ș.a.), putem face apel cu succes la instrumentarul statistico-matematic propus de analiza multidimensională a datelor. Motivul pentru care vom utiliza aceste tehnici în demersul nostru analitic este unul simplu: deoarece permit reducerea numărului de variabile din analiză şi conservă o mare parte din informaţia conţinută de datele iniţiale (analiza componentelor principale), evidenţierea măsurii în care factorii comuni, latenţi, şi cei necomuni influenţează variabilele considerate (analiza factorială) şi realizarea de clasificări pertinente ale observațiilor (metodele şi tehnicile de recunoaştere a formelor). În acest articol vom aplica instrumentele de sinteză informațională(analiza componentelor principale și analiza factorială), precum și metodele și tehnicile de recunoaștere a formelor (analiza cluster și analiza discriminantă) pentru a determina forța financiară a unui număr de 20 de companii ale căror acțiuni sunt ”blue chips” pe piețele bursiere din Germania, Polonia și România (fiind incluse în componența indicilor de referință DAX, WIG 20 și BET), și anume: ADIDAS AG, BMW AG, COMMERZBANK AG, DAIMLER AG, LUFTHANSA AG, METRO AG, SIEMENS AG, ASSECO POLAND SA, CEZ GROUP, GLOBAL TRADE CENTER SA, LOTOS GROUP, PKO BANK POLSKI, TVN SA, BRD SA, BANCA TRANSILVANIA SA, ALRO SLATINA SA, PETROM SA, ROMPETROL SA, CNTEE TRANSELECTRICA SA și SNTGN TRANSGAZ SA. În contextul management-ului portofoliilor de investiții pe piețele de capital integrate, utilizarea acestor metode generează clasificări pertinente ale companiilor cotate pe piața de capital și, în același timp, permite dezvoltarea unor instrumente de predicție deosebit de utile.

Cuvinte cheie: Componente principale, rentabilitate, risc, volatilitate, optim, varianta

Clasificare JEL: G11


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În numeroase probleme economico-financiare se impune detectarea relațiilor de natură funcțională ce se stabilesc între un număr de variabile predictor ce formează ceea ce în analiza datelor se numește spațiu cauzal inițial. Cu cât numărul acestor variabile este mai mare, cu atât devine mai dificilă analiza spațiulu inițial și cu atât mai anevoios se dovedește demersul analizei statistice a datelor. În codițiile în care variabilele inițiale sunt în număr mare, pe lângă faptul că obținerea datelor ce constituie materia primă pentru analiză este dificilă, avem de-a face cu o complexitate inerentă a calculelor și cu o probabilitate mare de intercorelare a variabilelor originale, ceea ce afectează serios validitatea analizei întreprinse.

Analiza componentelor principale este o tehnică de analiză multidimensională cu un grad ridicat de aplicabilitate în management-ul de portofoliu pe piețele de capital integrate. Marele merit al acestui model constă în reducerea spațiului cauzal inițial la un spațiu echivalent de o dimensiune considerabil mai mică – spațiul principal. Trecerea între cele două spații se realizează în condițiile maximizării informației păstrate din primul spațiu, adică minimizând pierderea de informație altfel inevitabilă.

În vederea analizei de date ce urmează a fi întreprinsă, am luat în considerare un număr de șapte indicatori financiari ce caracterizează firmele menționate, și anume activele totale (AT), cifra de afaceri netă (CA), profitul operațional (EBIT), fluxul net de trezorerie din exploatare (CF), rezultatul net (PN), datoriile totale (DAT TOT) și capitalizarea bursieră medie (CBM), valorile tuturor indicatorilor fiind aferente exercițiului financiar 2010. Sursa datelor este reprezentată de situațiile financiare ale companiilor, întocmite în conformitate cu Standardele Internaționale de Raportare Financiară (IFRS) adoptate de către Uniunea Europeană.

Pentru început prezentăm statistici descriptive (media și abaterea medie pătratică) pentru indicatorii considerați în analiză:

Indicator Media Abat. med. pătr.

AT 64,018.11 167,438.90

CA 19,766.26 30,212.07

EBIT 1,626.20 2,214.13

CF 1,329.14 2,914.43

PN 994.50 1,427.61

DAT TOT 55,785.05 160,542.94

CBM 11,404.46 18,333.43

Tabelul 1. Media şi abaterea medie pătratică pentru indicatorii considerați în analiza componentelor principale

Sursa: calcule proprii.


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Desigur, cu cât abaterea medie pătratică înregistrează o valoare mai mare, cu atât companiile analizate se vor diferenția mai mult după caracteristica respectivă. După cum se poate observa din tabelul anterior, abaterea standard înregistrează valori (mai ales relativ la medie) mari pentru toate cele șapte variabile explicative, ceea ce înseamnă că piaţa constituie un spaţiu complex, cu un bogat conținut informațional, în care structura dependenţelor cauzale este foarte complexă şi este greu de identificat și cuantificat în spațiul original cu şapte dimensiuni.

Matricea de corelaţie acelorşapte variabile originale este conținută în tabelul următor:

Indicator AT CA EBIT CF PN DAT TOT

CBM

AT 1.00 0.26 0.46 -0.12 0.31 1.00 0.25 CA 0.26 1.00 0.90 0.73 0.89 0.21 0.89

EBIT 0.46 0.90 1.00 0.66 0.98 0.41 0.90 CF -0.12 0.73 0.66 1.00 0.74 -0.17 0.82 PN 0.31 0.89 0.98 0.74 1.00 0.26 0.91

DAT TOT 1.00 0.21 0.41 -0.17 0.26 1.00 0.20 CBM 0.25 0.89 0.90 0.82 0.91 0.20 1.00

Tabelul 2. Matricea de corelaţie a celor șapte variabile din spațiul cauzal inițial. Sursa: calcule proprii.

Așa cum ne așteptam, variabilele originale sunt puternic intercorelate, ceea ce

contribuie substanțial la diminuarea semnificaţiei acestor variabile, pe de o parte, şi reliefează existenţa unor redundanţe informaţionale, pe de altă parte: o cantitate semnificativă de informaţie se regăsește disipată în legăturile dintre variabile. Demersul analitic pe care îl întreprindem cu ajutorul metodei componentelor principale vizează atât reducerea dimensionalităţii spaţiului original, cât şi eliminarea acestor redundanţe informaţionale.

Vom calcula în continuare valorile proprii ale matricei de corelaţie1. Suntem interesați doar de valorile proprii supraunitare2, întrucât prezintă relevanță pentru analiza efectuată doar acele componente principale care au un conţinut informaţional mai bogat decât variabilele inițiale. Tabelul de mai jos prezintă cele două valori proprii supraunitare ale matricei Σ:

Nr. Val. proprie % Varianță explicată Val. proprie cumulată % Varianţă cumulată

1 4.5681 65.2587 4.5681 65.2587

2 2.0092 28.7024 6.5773 93.9610

Tabelul 3. Valorile proprii supraunitare ale matricei de corelaţie Σ Sursa: calcule proprii.

1 Variabilele originale vor fi considerate în forma lor standardizată, ceea ce face ca matricea de covarianță să coincidă cu matricea de corelație. 2 Este vorba despre criteriul Kaiser – Guttman.


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În figura de mai jos am reprezentat toate cele şapte valori proprii ale matricei

de corelaţie, dintre care numai primele două sunt reprezentative (adică supraunitare), restul înregistrând valori ce tind spre zero:

Figura 1. Reprezentarea grafică a valorilor proprii ale matricei de corelație


Din informațiile prezentate anterior deducem că avem doar două valori proprii ale matricei de corelație care sunt mai mari decât unitatea şi, ca atare, vom avea tot atâtea componente principale. Acestea explică în proporţie de aproape 94% variabilitatea din spaţiul cauzal iniţial, ceea ce înseamnă că reducerea dimensiunii spaţiului analizat de la şapte la numai două variabile s-a realizat în condiţiile unei pierderi informaţionale de circa 6%, un procent ce poate fi considerat foarte bun. Totodată, observăm că prima componentă principală recuperează individual peste 65% din informaţia spațiului cauzal inițial şi, astfel, va putea fi folosită pentru clasificarea firmelor.

Am determinat apoi matricea factor pentru cele două componente principale rezultate. Matricea factor, ale cărei elemente – intensitățile factorilor –reprezintă coeficienții de corelație dintre variabilele inițiale și componentele principale, este prezenatată în tabelul de mai jos:


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Indicator Comp. 1 Comp. 2 AT (0.4234) 0.9009 CA (0.9335) (0.1406)

EBIT (0.9795) 0.0660 CF (0.7592) (0.5339) PN (0.9671) (0.0938)

DAT TOT (0.3723) 0.9223 CBM (0.9527) (0.1700)

Var. Expl. 4.5681 2.0092 % Total 0.6526 0.2870

Tabelul 4. Componentele matricei factor Sursa: calcule proprii.

După cum se poate observa, cea dintâi componentă principală recuperează

65,26% din informaţia spațiului inițial. Ea este corelată puternic negativ cu indicatorii cifră de afaceri netă, profit din exploatare, flux net de trezorerie din activitatea de exploatare, profit net şi capitalizare bursieră medie, furnizând astfel informaţii despre volumul de afaceri, despre profitabilitatea și despre capacitatea companiilor listate la bursele din Germania, Polonia și România de a genera numerar prin activitatea de exploatare desfășurată, dar și despre valoarea lor de piață. A doua componentă principală sintetizează 28,70% din variabilitatea spațiului original, fiind puternic corelată în sens pozitiv cu indicatorii bilanțieri active totale și datorii totale. Așadar, cea de-a doua componentă principală ne furnizează informații cu privire la dimensiunea companiilor analizate și la structura finanțării acestora (prin gradul de îndatorare). Graficul următor ilustrează corelațiile existente între variabilele originale și componentele principale:

Figura 2. Corelațiile existente între variabilele originale şi componentele principale



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Coeficienții combinațiilor liniare aferente celor două componente principale (vectorii proprii ai matricei de corelație) sunt prezentați în tabelul de mai jos.


EBIT (0.2144) 0.0328 CF (0.1662) (0.2658) PN (0.2117) (0.0467)

DAT TOT (0.0815) 0.4590 CBM (0.2086) (0.0846)

Tabelul 5. Coeficienţii combinațiilor liniare ce definesc componentele principale Sursa: calcule proprii.

Acești coeficienți prezintă importanță prin prisma faptului că ei vor fi folosiți

pentru a calcula scorurile (coordonatele) obiectelor în noul spațiu – spațiul principal.

Tabelul următor prezintă coordonatele obiectelor în spațiul principal.

Emitent Comp. 1 Comp. 2 ADIDAS 0.2798 (0.2191)

BMW (1.0169) 0.2258 COMMERZBANK (0.8701) 4.0903

DAIMLER (2.5773) (0.7591)LUFTHANSA (0.0632) (0.3603)

METRO (0.4774) (0.3913) SIEMENS (2.3814) (1.0104)ASSECO 0.6655 (0.1131)

CEZ (0.1390) (0.3549) GTC 0.6704 (0.1035)

LOTOS 0.6022 (0.1228) PKO 0.2873 0.0544 TVN 0.6680 (0.1154)BRD 0.5395 (0.0554) BT 0.6824 (0.0937)

ALRO 0.6895 (0.1077)PETROM 0.3977 (0.2135)

ROMPETROL 0.6944 (0.1184) TEL 0.6837 (0.1136) TGN 0.6651 (0.1184)

Tabelul 6. Coordonatele observațiilor în noul spațiu principal Sursa: calcule proprii.

După cum arătam mai devreme, prima componentă principală este puternic

corelată negativ cu indicatorii cifră de afaceri netă, profit din exploatare, profit net, cash flow din exploatare şi capitalizare bursieră medie. Aceasta era de așteptat


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deoarece, dată fiind structura matricei de corelație din tabelul 2, aceste variabile sunt puternic corelate între ele. De altfel, și la nivel intuitiv ne apare firesc ca o companie cu un volum de business ridicat (măsurat prin cifra de afaceri) să aibă un profit operațional și un rezultat net cât mai mare, ceea ce are, desigur, o influență benefică asupra trezoreriei și asupra valorii de piață a companiei respective.

Clasificarea companiilor analizate după această primă componentă principala este relevantă deoarece permite evaluarea concomitentă a volumului de afaceri al firmei (reliefat de cifra de afaceri netă), a abilității firmei de a genera trezorerie prin acticitatea sa de exploatare (prin corelația cu indicatorul cash flow din exploatare) și a profitabilităţii companiei (atât în ansamblu, prin profitul net, cât şi la nivelul exploatării, prin rezultatul exploatării). Faptul că prima componentă principală este invers corelată cu toți acești indicatori face ca firmele care înregistrează scorurile cele mai mici la această componentă să fie cele mai performante sub aspectul indicatorilor menționați – cu alte cuvinte, cu cât scorul aferent primei componente principale este mai redus, cu atât crește probabilitatea de a avea de-a face cu o companie cu volum mare de business, cu un grad ridicat de profitabilitate și cu o bună capacitatea de a genera trezorerie prin activitatea sa de exploatare. În această categorie se vor include acțiunile ”blue chips” listate la bursă.

Cea de-a doua componentă principală este puternic corelată în sens pozitiv cu indicatorii active totale și datorii totale; ca atare, obiectele ce înregistrează scoruri ridicate la această componentă vor fi companii de talie mare, cu un grad ridicat al îndatorării și, foarte probabil, cu un efect de levier puternic. Graficul următor ilustrează distribuția obiectelor supuse analizei în spațiul principal, în care axa absciselor este reprezentată de prima componentă, iar axa ordonatelor de cea de-a doua componentă principală:

Figura 3. Reprezentarea grafică a obiectelor în spațiul principal



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În urma clasificării companiilor după scorurile înregistrate la cele două componente principale, observăm că există două firme ce se disting în mod clar de celelalte companii analizate – este vorba despre Daimler şi Siemens. Aceste companii se numără printre primele companii ca mărime pe plan european (atât după activele totale, cât şi după cifra de afaceri), sunt caracterizate de niveluri excelente ale profitabilității, atât sub aspectul rentabilității economice, cât și sub cel al rentabilității financiare (ROA de 3-4% și ROE de 12-13%, valori ridicate pentru piețele occidentale dezvoltate – în cazul de față, Germania), iar valorile lor de piaţă sunt foarte ridicate, reprezentând 150-200% din valoarea netă contabilă a companiilor. De asemenea, este de remarcat calitatea profiturilor raportate de cele două companii, profitul net având susținere în trezoreria netă generată de activitatea de exploatare a companiilor. În acelaşi timp, aceste două companii sunt caracterizate de valori ridicate ale gradului de îndatorare, depășind 70%, ceea ce a făcut ca ele să beneficieze de un efect de levier semnificativ asupra capitalurilor proprii, reflectat în ratele considerabile de rentabilitate financiară înregistrate.

Cea de-a doua clasă indetificabilă include Commerzbank, companie caracterizată de un volum foarte ridicat de afaceri desfășurate, dar cu o profitabilitate scăzută (ROE de cca. 5%, ROA de sub 0.20%) și cu profituri nesusținute de o trezorerie netă sănătoasă, pozitivă, cu un grad de îndatorare foarte mare, depășind 96%, și cu o valoare de piață relativ redusă, situându-se nivelul de 50% din valoarea activului net contabil.

A treia categorie de companii ce se poate construi pe baza analizei componentelor principale cuprinde BMW, Metro, CEZ și Lufthansa, companii listate pe piețe occidentale, de talie mare spre foarte mare (BMW), foarte profitabile (ROE 14-21%, ROA 3-9%) și cu câștiguri în general susținute de o trezorerie pozitivă a exploatării (cu excepția BMW), relativ puternic îndatorate – gradul de îndatorare variind în intervalul 60-80%, și cu valori de piață depășind considerabil valoarea fondurilor proprii, cu excepția CEZ, care recuperează însă prin profitabilitatea excelentă. Prin metoda componentelor principale putem identifica, de pildă, faptul că acțiunea CEZ trebuie cumpărată de investitori – compania prezintă o sănătate financiară de invidiat, în timp ce prețul de piață al acțiunilor sale este foarte scăzut, având perspective de creștere excelente.

Mai putem alcătui o grupă având în componență Adidas, PKO, Petrom, BRD – companii de talie mare, listate pe piețele emergente și/sau având un volum ridicat de afaceri derulate pe aceste piețe (Adidas), caracterizate de niveluri excelente ale profitabilității (ROA 12-18%), de bună calitate, cu graduri de îndatorare variind între 46-88% (valorile mari ale indicatorului pentru PKO și BRD făcând ca rata de rentabilitate economică ROA să fie relativ redusă) și cu capitalizări bursiere de 140-230% din valoarea contabilă a companiilor. Această grupă include companii cu perspective interesante de creștere, pe care investitorii trebuie să le monitorizeze atent.


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În fine, ultima categorie – a cincea – cuprinde companii de talie mică spre medie de pe piețele de capital emergente, caracterizate de niveluri ale profitabilității ce variază între (Rompetrol, GTC, TNV) și foarte bun (ALRO, Transgaz, Asseco Poland), în general cu grade de îndatorare moderate (sub 60%) și cu bune capitalizări de piață (mai puțin Lotos – din nou, o companie ce merită o recomandare de ”buy”). Și aceste companii merită monitorizate, cu mențiunea că în cazul lor investitorii trebuie să perceapă o primă de risc mai ridicată decât în cazul celorlalte categorii de companii analizate, pe fondul volatilității destul de ridicate ce caracterizează piețele de capital pe care operează companiile din această a cincea categorie.

Revenind la analiza noastră,prezentăm în continuare comunalităţile (calculate ca sumă a pătratelor elementelor de pe liniilematricei factor) și specificitățile (calculate ca 1 – comunalitate) pentru cele șapte variabile descriptive considerate în analiză:

Indicator Comunalitate Specificitate AT 0.9909 0.0091 CA 0.8912 0.1088

EBIT 0.9638 0.0362 CF 0.8615 0.1385 PN 0.9442 0.0558

DAT TOT 0.9891 0.0109 CBM 0.9366 0.0634

Tabelul 7. Comunalitățile și specificitățile pentru variabilele indicator Sursa: calcule proprii.

Din datele prezentate anterior rezultă că factorii latenți, comuni, exercitând o influență generală asupra variabilelor analizate, explică varianța indicatorilor în proporţie de peste 86%. În cazul unora dintre aceste variabile (activele totale, rezultatul exploatării, profitul net şi capitalizarea bursieră medie) comunalitatea este de peste 90%, ceea ce arată că factorii comuni sunt determinanţi, iar influenţa factorilor specifici este redusă, aceștia explicând sub 10% din variabilitatea indicatorilor. Variabilele predictor menționate anterior sunt influenţate într-o măsură mult mai mare de gradul de dezvoltare economică şi de situaţia pieţei de capital,pentru a da doar două exemple, decât de factori individuali, specifici companiilor. Singurele variabile descriptive influențate într-o măsură mai mare de factorii cu direcționalitate specifică sunt cifra de afaceri netă și cash flow-ul din activitatea de exploatare, ceea ce este și normal, având în vedere că aceștia sunt mai sensibili în raport cu specificul activității companiei și cu viziunea management-ului acesteia (concretizată, printre altele, în politica sa comercială și în gestiunea trezoreriei firmei).


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După cum am văzut, analiza componentelor principale se dovedește a fi un instrument extrem de util în realizarea sintezei informaționale și în eliminarea redundanțelor informaționale, ea servind însă și ca unealtă de clasificare a obiectelor supuse analizei. Astfel, având în vedere corelațiile stabilite între componentele principale și variabilele din spațiul cauzal inițial, putem realiza o clasificare a companiilor analizate în funcție de scorurile principale. Sensul corelațiilor existente ne conduce la un prim rezultat important al analizei componentelor principale: companiile cu scoruri cât mai mici la prima componentă principală vor fi caracterizate de un volum însemnat de afaceri (vânzări), de performanțe financiare foarte bune, de o excelentă capacitate de a genera cash prin activitatea de exploatare desfășurată și de valoare de piață și lichiditate pe bursă ridicate. În mod similar, companiile cu scoruri cât mai ridicate la cea de-a doua componentă principală vor fi cele mai mari de pe piață și, în același timp, cele mai îndatorate, cu un important efect de levier asupra capitalurilor proprii.

BIBLIOGRAFIE: 1. Benninga, Simon – Financial modelling, 3rd edition, MIT Press, 2008; 2. Bodie, Zvi; Kane, Alex; Marcus, Alan – Essentials of investments, The

McGraw-Hill Companies, 2003; 3. Damodaran, Aswath – Estimating risk parameters (2008),

http://pages.stern.nyu.edu/~adamodar/; 4. Fama, E.F.; K.R. French, The Cross-Section of Expected Stocks Returns,

Journal of Finance, 67 (2), 1992, pp. 427–465; 5. Friedlob, George; Schleifer, Lydia – Essentials of financial analysis, Wiley,

2003; 6. Hitchner, James – Financial valuation: applications and models, Wiley,

2006; 7. Meucci, A.- Risk and Asset Allocation, Springer, 2005; 8. Ross, Stephen; Westerfield, Randolph; Jordan, Bradford – Fundamentals of

corporate finance, 8th edition, McGraw-Hill/Irwin, 2007; 9. Rubinstein, Mark – A history of the theory of investments, Wiley, 2006; 10. Beste, A.; Leventhal, D.; Williams, J.; Qin Lu – “The Markowitz Model.

Selecting an Efficient Investment Portfolio”, Lafayette College, Mathematics REU Program, 2002.


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USAGE OF THE MAIN COMPONENTS ANALYSIS IN THE

MANAGEMENT OF THE INVESTMENT PORTFOLIO Dan ARMEANU, Ph.D.Professor, Andreea NEGRU, Ph.D.Student, E-mail: [email protected] Academy of Economic Studies Academy of Economic Studies Bucharest Bucharest

Abstract: When managing investment portfolios on integrated capital markets, beyond

the models put forth by the modern portfolio theory, (the Markowitz model, the CML model, the CAPM model, the Treynor-Black model and more), one can successfully resort to the statistical and mathematical tools made available by the multidimensional data analysis. The reason why we shall use those tools in our analysis is simple: they make it possible to reduce the number of variables in the analysis while preserving much of the information included in the initial data (analysis of the main components); they also outline the extent to which common, latent factors as well as the uncommon factors act upon the respective variables (factorial analysis) and they make it possible to create relevant categories for all observations (shape recognition methods and techniques). In this article we shall deploy informational synthesis instruments (the analysis of main components and factorial analysis) as well as methods and techniques of recognizing shapes (cluster analysis and discriminating analysis) to calculate the financial strength of 20 companies whose shares are describes as ”blue chips” on the German, Polish and Romanian stock markets (being included into the DAX, WIG 20 and BET indexes). Namely, they are: ADIDAS AG, BMW AG, COMMERZBANK AG, DAIMLER AG, LUFTHANSA AG, METRO AG, SIEMENS AG, ASSECO POLAND SA, CEZ GROUP, GLOBAL TRADE CENTER SA, LOTOS GROUP, PKO BANK POLSKI, TVN SA, BRD SA, BANCA TRANSILVANIA SA, ALRO SLATINA SA, PETROM SA, ROMPETROL SA, CNTEE TRANSELECTRICA SA and SNTGN TRANSGAZ SA. When managing the investment portfolios on integrated capital markets, the usage of those methods generate relevant classifications of companies that are listed on the stock market and also make it possible to develop very useful prediction instruments.

Numerous economy and financial issues require the detection of functional relationships that occur between several predictor variables which make up the initial causal zone, as it is called in the field of data analysis. The higher the amount of variables, the more difficult it becomes to analyze the initial zone, and


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the more difficult it is to conduct the statistical data analysis. When there are numerous initial variables, it is difficult to gather raw data for the analysis and the calculation becomes much more complex, while it is more likely that the original variables become inter-correlated, which can seriously impair the analysis.

The analysis of the main components is a multidimensional analysis technique with a high degree of applicability in portfolio management on integrated capital markets. The major upside of this model is the decrease of the initial causal zone to an equivalent zone of considerably lower size – the core zone. Switching between the two zones can be done by maximizing the information retained from the first zone, that is, by minimizing the otherwise inevitable loss of information.

For the following data analysis, we have considered seven financial indicators which describe the mentioned companies: the total assets, (AT), the net turnover (CA), operational profit (EBIT), the capital flow (CF), the net result (PN), total debt (DAT TOT) and average stock capitalization (CBM), all indicators applying to the 2010 financial year. The data originates from the companies financial reports, according to the International Financial Reporting Standards, (IFRS) passed by the European Union.

To begin with, we shall present descriptive statistics (the average and the square average margin error) for indicators included in the analysis.

Indicator Average Sqr. Avg. Error

AT 64,018.11 167,438.90

CA 19,766.26 30,212.07

EBIT 1,626.20 2,214.13

CF 1,329.14 2,914.43

PN 994.50 1,427.61

DAT TOT 55,785.05 160,542.94

CBM 11,404.46 18,333.43 Table 1. Average and square average error for indicators taken into account during

the analysis of the main components Source: own calculations.

Of course, the higher the square average error, the more the analyzed

companies will differentiate themselves from the others, according to the respective indicator. As the previous table indicates, the standard error is high for all seven variables (especially when relating to the average), which means that the market is a complex system, with rich informational contents, where the structure of causal interconnections is very complex, while being hard to identify and quantify in the original seven-dimensions zone.


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The correlation matrix of the seven original variables is included in the next table:

Indicator AT CA EBIT CF PN DAT TOT

CBM

AT 1.00 0.26 0.46 -0.12 0.31 1.00 0.25 CA 0.26 1.00 0.90 0.73 0.89 0.21 0.89

EBIT 0.46 0.90 1.00 0.66 0.98 0.41 0.90 CF -0.12 0.73 0.66 1.00 0.74 -0.17 0.82 PN 0.31 0.89 0.98 0.74 1.00 0.26 0.91

DAT TOT 1.00 0.21 0.41 -0.17 0.26 1.00 0.20 CBM 0.25 0.89 0.90 0.82 0.91 0.20 1.00

Table 2. The correlation matrix of the seven variables in the initial causal zone. Source: own calculation.

As we expected, the original variables are strongly interrelated, which brings

a substantial contribution to decreasing the meaning of those variables, on the one hand, and outlines the presence of some informational redundancies, on the other hand: a significant amount of information is dispersed among the links between variables. Our analytic discourse that uses the method of main components concerns both the decrease of the dimensionality of the original zone, and the elimination of the informational redundancies.

We shall calculate the own values of the correlation matrix 1 . We are interested only in the own values that are higher than one2, because only those main components are relevant which have a higher informational content than the initial variables. The table below presents the two values of the Σ matrix:

No. Own value % Explained variant Own cumulated value % Total variance

1 4.5681 65.2587 4.5681 65.2587

2 2.0092 28.7024 6.5773 93.9610 Table 3. The own higher than one values of the Σ correlation matrix.

Source: own calculations.

The graph below depicts all seven own values of the correlation matrix, among which only the first two are representative (that is, they are higher than one), while the rest tend to reach the value of zero.

1The original variables will be taken into account only as standard variables, which makes the co-variant matrix to coincide with the correlation matrix. 2The Kaiser – Guttman criteria.


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Graph 1. Graphic representation of the correlation matrix’s own values

Source: own calculation.

Information presented earlier indicates that there are only own values of the correlation matrix that are higher than the unit an therefore we shall have just as many main components. They explain up to almost 94 percent the variability inside the initial causal zone, which means that the reduction of the analyzed zone from seven to only two variables was possible with an informational loss of about 6 percent, a percentage that can be considered as very good. We also notice that the first main component individually recovers over 65% of the initial causal zone’s information, and thus can be used for listing the issuers that are being analyzed.

We then calculated the factor matrix for the resulting main two components. The factor matrix, whose elements - the intensities of the factors – represent the correlation indicators between the initial variables and the main components, is presented in the table below:


EBIT (0.9795) 0.0660 CF (0.7592) (0.5339) PN (0.9671) (0.0938)

DAT TOT (0.3723) 0.9223 CBM (0.9527) (0.1700)

Expl. Var. 4.5681 2.0092 % Total 0.6526 0.2870

Table 4. Components of the factor matrix.



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As one can notice, the first component recovers 65,26% of the initial zone’s information. It is strongly and negatively correlated with the net turnover indicators, operational profit, capital flow, net profit and average capitalization, thus providing information about the volume, profitability and the ability of companies listed at exchanges in Germania, Poland and Romania to generate cash through their activity, and also about their market value. The second main component carries 28,70% of the variability of the original zone, being strongly correlated, in a positive sense, with the total assets and total debt balance sheet indicators. Therefore, the second component provides information on the size of the analyzed companies and the structure of their financing (through their degree of indebtedness). The next graph illustrates the correlations between the original variable and the main components:

Graph 2. Correlations between the original variable and the main components


Coefficients of linear combinations pertaining to the two main components (own vectors of the correlation matrix) are presented in the table below.

Indicator Comp. 1 Comp. 2AT (0.0927) 0.4484 CA (0.2044) (0.0700)

EBIT (0.2144) 0.0328 CF (0.1662) (0.2658) PN (0.2117) (0.0467)

DAT TOT (0.0815) 0.4590 CBM (0.2086) (0.0846)

Table 5. Coefficients of linear combinations that define the main components.



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Those coefficients are important because they will be used to calculate the scores (coordinates) of objects in the new zone, the core zone.

The following table presents the coordinates of objects in the core zone:

Issuer Comp. 1 Comp. 2 ADIDAS 0.2798 (0.2191)

BMW (1.0169) 0.2258 COMMERZBANK (0.8701) 4.0903

DAIMLER (2.5773) (0.7591) LUFTHANSA (0.0632) (0.3603)

METRO (0.4774) (0.3913) SIEMENS (2.3814) (1.0104) ASSECO 0.6655 (0.1131)

CEZ (0.1390) (0.3549) GTC 0.6704 (0.1035)

LOTOS 0.6022 (0.1228) PKO 0.2873 0.0544 TVN 0.6680 (0.1154) BRD 0.5395 (0.0554) BT 0.6824 (0.0937)

ALRO 0.6895 (0.1077) PETROM 0.3977 (0.2135)

ROMPETROL 0.6944 (0.1184)TEL 0.6837 (0.1136) TGN 0.6651 (0.1184)

Table 6. Coordinates of observations in the new core zone Source: own calculations.

As we indicated earlier, the first main component is strongly and negatively

correlated with net turnover, operational profit, net profit, operational cash flow and average stock market capitalization indicators. That occurrence was expected because, given the structure of the correlation matrix in table 2, those variables are strongly correlated. In fact, also at an intuitive level it is natural for a company with a large business volume (as indicated by turnover) should have a large operational profit higher net results, which is, of course, beneficial for the company’s market value.

Classifying companies that are analyzed according to this first main component is relevant because it makes it possible to simultaneously evaluate the company’s business volume (as indicated by the net turnover), the company’s ability to generate cash flow from its operational activities (by correlation with the operational cash flow indicator) and the company’s profitability (worth on the whole, according to the net profit, as well as at the operational level, through the results of the operation). The fact that the first main component is oppositely correlated with all those indicators makes companies that have the lowest scores


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for this component should have the highest performance according to indicators mentioned before – in other words, the lower the score of the first main component, the higher the likelihood of dealing with a company that has a large business s volume, high profitability and a great ability to generate cash flow through operational activities. That category will include “blue chips” share listed on the stock exchange.

The second main component is strongly correlated in a positive sense with the total assets, and total debt indicators; as such, the items that register high scores for this component are large companies, with high indebtedness and very likely high leverage. The next graph indicates the distribution of objects subjected to analysis in the main area, where the horizontal axis represents the first component, while the vertical axis represents the second main component.

Graph 3. Graphical representation of items in the main zone


Following the classification of companies according to scores registered for the two main components, one can notice that there are two companies that clearly stand out from the other analyzed companies. They are Daimler and Siemens. Those companies are among the largest at a European level (both in terms of total assets and turnover), they are described by excellent levels of profitability, in terms of both economic and financial profitability (ROA at the level of 3-4% and ROE at the level of 12-13%, high values for developed western markets – in this case, Germany), and their market values are very high, representing 150-200% of the net book value of those companies. Also the quality of profits reported by the two


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companies is remarkable, the net profit being supported by the net operational cash flow reported by those companies. Meanwhile, the two companies are described by high levels of indebtedness, of over 70%, which means that they benefitted from a significant leveraging effect on their own capital assets, which is reflected in the considerably high rates of financial profitability reported by the respective companies.

The second identifiable class includes Commerzbank, a company described by a high business volume, but with low profitability (ROE of about 5%, ROA below 0.20%), with profits that are not sustained by net cash reserves and with a high level of indebtedness (over 96%) and with a relatively low market value, amounting to the level of 50 percent of the net book value of the company.

The third category of companies that can be reconstructed based on the analysis of main components includes BMW, Metro, CEZ and Lufthansa. They are all listed on western markets, they are all very large (BMW), very profitable (ROE of 14-21%, ROA of 3-9%) and with healthy operational income (except for BMW). They are also relatively deeply indebted – between 60-80% - and have a market value that is usually much higher than the worth of their own funds, except for CEZ, which however make up for the difference through its excellent profitability. By using the method of main components we can outline for instance the fact that CEZ shares should be purchased by investors, because of its outstanding financial health, while the market price of its shares is very low, with excellent potential to grow.

Afterwards, we can make up a group of companies including Adidas, PKO, Petrom, BRD, large companies listed on emerging markets, with high business volumes on those markets (Adidas), described by excellent levels of profitability (ROA 12-18%), high quality, levels of indebtedness ranging from 46 to 88% (high values of the indicators in the cases of PKO and BRD lead to a relatively low rate of ROA economic profitability) and with market capitalizations ranging between 140 and 230% of the companies’ net book value. The group includes companies with interesting growth prospects, which investors need to monitor carefully.

And finally, the last category, the fifth, includes small to medium companies on the emerging capital markets, described by profitability levels ranging from good (Rompetrol, GTC, TNV) to very good (ALRO, Transgaz, Asseco Poland), generally moderate levels of indebtedness (below 60%) and good market capitalization (except for Lotos, a company which deserves the “buy” recommendation). Those companies too are worth being monitored, with the mention that in their case, investors need to take into account a higher risk premium than in the case of other categories of companies previously analyzed, against the background of relatively high volatility of the capital markets where companies in this fifth category operate.


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Returning to the analysis, we shall present the communalities (calculated as a sum of the square elements on the factor matrix lines) and their specificities (calculated as 1–communality) for the seven descriptive variables considered in the analysis:

Indicator Communality Specificity AT 0.9909 0.0091 CA 0.8912 0.1088

EBIT 0.9638 0.0362CF 0.8615 0.1385 PN 0.9442 0.0558

DAT TOT 0.9891 0.0109CBM 0.9366 0.0634

Table 7. Communalities and specificities of the indicator variables Source: own calculations.

The date presented earlier indicates that common latent factors, which exert

a general influence on the analyzed variables, explain the variation of indicators to a degree of over 86%. In the case of some of those variables (total assets, operational results, net worth and average market capitalization) the communality exceeds the level of 90%, which indicates that common factors are decisive, and the influence of specific factors is low. They explain less than 10% of the indicators’ variation. Predictor variables mentioned earlier are influenced to a larger extent by the degree of economic development and the situation of the capital market, to give only two examples, than by the individual, company-specific factors. The only descriptive variables that are influenced to a larger extent by specific, directional factors are the net turnover and cash-flow generated by the operational activities, which is normal after all, given the fact that they are more sensitive to the company’s field of operations and with the vision of the company’s management (which results, among others, into specific business policy and company cash management)

As we have seen so far, the analysis of the main components turns out to be a very useful instrument for the informational synthesis and in eliminating informational redundancies. However, it also serves as a tool for classifying the items subjected to analysis. Thus, given the correlations established between the main components and the variables in the initial causal zone, we are capable to classify analyzed companies according to the main scores. The sense of the existing correlations leads to a primary important result of the main components analysis: companies that score low in the first main component well be described by a high business volume (sales), very good financial performances, an excellent ability to generate cash through their operational activities and by high market value and stock liquidity. In the same way, companies with high scores in the second main component will be the largest on the market and at the same time, they will have the highest level of indebtedness, with an important leverage effect on their own capital assets.


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BIBLIOGRAPHY: 1. Benninga, Simon – Financial modelling, 3rd edition, MIT Press, 2008; 2. Bodie, Zvi; Kane, Alex; Marcus, Alan – Essentials of investments, The

McGraw-Hill Companies, 2003; 3. Damodaran, Aswath – Estimating risk parameters (2008),

http://pages.stern.nyu.edu/~adamodar/; 4. Fama, E.F.; K.R. French, The Cross-Section of Expected Stocks Returns,

Journal of Finance, 67 (2), 1992, pp. 427–465; 5. Friedlob, George; Schleifer, Lydia – Essentials of financial analysis, Wiley,

2003; 6. Hitchner, James – Financial valuation: applications and models, Wiley,

2006; 7. Meucci, A.- Risk and Asset Allocation, Springer, 2005; 8. Ross, Stephen; Westerfield, Randolph; Jordan, Bradford – Fundamentals of

corporate finance, 8th edition, McGraw-Hill/Irwin, 2007; 9. Rubinstein, Mark – A history of the theory of investments, Wiley, 2006; 10. Beste, A.; Leventhal, D.; Williams, J.; Qin Lu – “The Markowitz Model.

Selecting an Efficient Investment Portfolio”, Lafayette College, Mathematics REU Program, 2002.


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STANDARDELE BASEL III PRIVIND CONSOLIDAREA

CAPITALIZARII SISTEMULUI BANCAR Dr. Natalita HURDUC Drd. Nicoleta HURDUC E-mail: [email protected] Academia de Studii Economice Universitatea „Athenaeum” Bucureşti Bucureşti

Abstract: Obiectivul viitoarelor reguli Basel III este de a îmbunătăţi capacitatea

sectorului bancar, de a absorbi şocurile economice şi financiare, indiferent de sursă, reducând astfel riscul de contagiune din sectorul financiar catre economia reală. Unul dintre principalele motive pentru care criza economică şi financiară, care a început în anul 2007, a devenit atat de severa, a fost faptul că sectorul bancar din multe ţări a crescut prntr-o indatorare excesiva. Acest lucru a fost însoţit de o erodare treptată a nivelului şi a calităţii bazei de capital. În acelaşi timp, multe bănci nu detineau suficiente rezerve de lichiditate. Sistemul bancar, prin urmare, nu a fost capabil să absoarbă pierderile sistemice din tranzacţionare şi creditare. Punctele nevralgice din sectorul bancar s-au transmis rapid catre restul sistemului financiar şi a economiei reale, rezultând într-o contracţie masivă a lichiditatii şi disponibilitatii de creditare. În cele din urmă sectorul public a trebuit să intervină cu injecţii de lichiditate, cu o infuzie masiva de capital şi garanţii, expunând si contribuabilii la pierderile mari din sistemul financiar.

Cuvinte cheie: Basel III, adecvarea capitalului, risc sistemic. Clasificare JEL: E59, F33, F36, F37, G21. Introducere Având în vedere domeniul de manifestare şi viteza cu care crizele recente şi

anterioare au fost transmise pe glob, precum şi caracterul imprevizibil al unor crize viitoare, este esenţial ca toate ţările să consolideze capacitatea de aparare a sectoarelor lor bancare , atât la şocurile interne cat si la cele externe. Pentru a rezolva aceste deficienţele ale pieţei bancare, care s-au manifestat in timpul crizei, Comitetul de la Basel a propus introducerea unui număr de reforme fundamentale, care vor modifica cadrul de reglementare internaţional. Reformele au menirea sa intareasca rezistenta la stres la nivel de jucator, prin noi regulamente microprudenţiale. Reformele au de asemenea, un accent macroprudenţial, prin abordarea riscurilor la nivel de sistem, deoarece la acest nivel riscurile au efect multiplicativ si prociclic. Aceste abordări micro şi macroprudenţiale sunt


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interdependente, rezistenta mai mare la nivel de banca reducand riscul la şocuri, la nivel de sistem.

1. Consolidarea capitalizarii Comitetul propune cresterea ratelor minime de capital, cu introducerea

progresiva de la 1 ianuarie 2013. Pana la 1 ianuarie 2015, bancile vor fi obligate sa indeplineasca urmatoarele cerinte minime, in raport cu activele ponderate la risc : 4,5% capitaluri proprii de rang 1 , 6,0% capital de rang 1 si 8,0% capital total . Comitetul propune introducerea unui cadru care sa promoveze conservarea capitalului si constituirea de rezerve adecvate.

Noile cerinte de capital Basel III Capital Rang 1 –

Capital Social %

Capital Rang 1 %

Total Capital %

Minim 4.5 6.0 8.0 Rezerva “de conservare” 2.5 Minim + rezerva “de conservare” 7.0 8.5 10.5 Intervalul rezervei anti-ciclice 0-2.5 Sursa: „Basel III: A global regulatory framework for more resilient banks and banking systems”,

Comitetul de la Basel, Dec. 2010

Constituirea unei rezerve de capital de 2,5%, sub forma unui tampon, urmeaza sa fie adaugata la capitalul propriu de rang 1, cu introducerea progresiva incepand de la 1 ianuarie 2016, devenind total constituita la sfarsitul anului 2018.

Basel III introduce de asemenea, un tampon de capital anticiclic care vizeaza protejarea sectorului bancar in perioadele de cresterea agregata a creditului si care sa varieze intre 0% si 2,5%. Nivelul tamponului de capital anticiclic va fi stabilit de autoritatile de supraveghere din jurisdictiile unde sunt localizati debitorii, indiferent de tara de origine a creditorului.

1.1. Imbunatatirea calitatii capitalului si transparenţa raportarii bazei de capital

În acest scop, principala formă de capital de rangul 1 trebuie să o constituie acţiunile existente şi rezultatul reportat. Deducerile de capital şi filtrele prudenţiale au fost armonizate la nivel internaţional şi în general, aplicate la nivelul de capitaluri proprii. Restul bazei de capital de rangul 1 trebuie să fie compusă din instrumente subordonate, cu dividende/cupoane distribuite in mod discreţionar si non-cumulativ şi nu au nici scadenţă, nici stimulente pentru a fi răscumpărate. Instrumentele hibride de capital cu un stimulent pentru răscumpărare, prin clauze de step-up (care sunt în prezent limitate la 15% din baza de capital de rangul 1) , vor fi eliminate. În plus, instrumentele de capital de rangul 2 vor fi armonizate, iar aşa-numitele instrumentele de capital de rangul 3 ( care au fost disponibile numai pentru a acoperi riscurile de piaţă), au fost eliminate. În cele din urmă, pentru a


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îmbunătăţi disciplina pe piaţă, se va cere o transparenţa mai mare asupra bazei de capital, cu raportarea tuturor elementelor de capital si reconcilierea cu raportarea contabila.

1.2. Imbunatatirea managementului riscului Standardele Basel III vor ridica cerinţele de capital aferente portofoliului de

tranzacţionare şi a expunerilor complexe rezultate in urma securitizarilor. Se va introduce o valoare la risc (VaR) a cerintei de capital, in conditii de stres semnificativ, pe o perioada de 12 luni. În plus, Comitetul a introdus cerinţe mai mari de capital pentru securitizari atât în activitatea bancara, cat şi in portofoliul de tranzacţionare. Fata de prevederile regulamentelor Basel II, noile standarde vizeaza procesul de revizuire şi de supraveghere a Pilonului 2 si largeste aria de raportare privind Pilonul 3. Imbunătăţirile Pilonului 1 si 3 trebuie să fie puse în aplicare până la sfârşitul anului 2011, iar noile standarde aplicabile Pilonului 2 au devenit efective din iulie 2009. Comitetul va efectua, pana la sfarsitul anului 2011 o revizuire fundamentală a reglemetarilor aferente portofoliului de tranzacţionare. Acest document prezintă, de asemenea, măsuri de consolidare a cerinţelor de capital necesare pentru acoperirea expunerilor la riscul de credit al contrapartii tranzactiilor cu instrumente financiare derivate, titluri repo. Noile reforme vor prevedea si surplusul de capital necesar pentru a sustine aceste expuneri, pentru a reduce prociclicitatea şi pentru a oferi stimulente suplimentare, pentru a muta contractele derivate extrabursiere catre o contraparte centrala. Astfel, prin noile standarde se doreste reducerea riscului sistemic la nivelul sistemului financiar. Aceste masuri oferă de asemenea, stimulente pentru a consolida gestiunea expunerilor la riscul de credit al contrapartii.

În acest scop, Comitetul va introduce următoarele reguli : - Băncile isi vor stabili capitalul necesar pentru acoperirea riscului de credit

al contrapartii folosind date supuse la stres. Aceasta abordare va raspunde atat preocupărilor legate de scaderea costului capitalului în perioade de volatilitate pe piaţă, cat şi preocuparilor legate de prociclicitate. De asemeni, aceasta abordare, va promova, un management mai integrat al riscului de piaţă şi al riscului de contrapartida.

- Băncile vor fi supuse unui cost de capital pentru potenţialele pierderi ca urmare a evaluarii la pretul pietei (de exemplu, riscul ajustarii valorii creditului), asociată cu o deteriorare a bonitatii contrapartii. Deşi Acordul Basel II acoperă riscul de nerambursare a contrapartii, acesta nu abordează riscului ajustarii valorii creditului care, în timpul crizei financiare, a fost o sursă mai mare de pierderi decât cele care au decurs din nerambursare.

- Comitetul va introduce standarde stricte de gestionare a garanţiilor şi a marjei iniţiale. Băncile care au expuneri mari din instrumente derivate nelichide catre un singur partener, vor trebui să aplice perioade mai lungi pentru marja initiala in procesul de determinare a cerintelor de capital.


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- Pentru a aborda riscurile sistemice rezultate din interacţiunea dintre bănci şi alte instituţii financiare, prin pieţele de instrumente derivate, Comitetul va lucra cu, Comisia pentru Plăţi şi Decontari (CPSS) şi cu Organizaţia Internaţională a Comisiilor de Valori Mobiliare (IOSCO) pentru a stabili standarde mai stricte pentru piata financiara si contrapărţile centrale. Capitalizarea necesara pentru acoperirea expunerilor băncii la contrapărţi centrale (CPC), se va baza în parte, pe respectarea de către CPC a acestor standarde şi va fi finalizata în urma unui proces consultativ pana la finele anului 2011. Garantiile şi expunerile bancilor fata de CPC-urile (marcate-la-piaţă), care respecta aceste standarde, vor fi supuse unei ponderari la risc mai scăzuta (propusa la 2%), iar capitalul necesar acoperirii expunerilor la CPC-uri va fi si el supus unei analize a sensitivitatii la risc. Aceste standarde, împreună cu cerinţele de capital pentru expunerile bilaterale la derivate OTC, vor stimula bancile sa-si mute expunerile catre CPC-uri. Pentru a aborda riscul sistemic în sectorul financiar, Comitetul recomanda creşterea ponderilor de risc privind expunerile faţă de instituţiile financiare în raport cu sectorul corporate non-financiar.

1.3. Suplimentarea cerinţei de capital ponderat la risc pe baza ratei de indatorare

Comitetul recomada introducerea unei cerinţe legata de raportul de parghie (sau rata de indatorare) pentru a realiza următoarele obiective:

1) limitarea ratei de îndatorare în sectorul bancar (contribuind astfel la reducerea riscului de „dez-indatorare” ce poate avea un efect de destabilizare asupra sistemului financiar şi a economiei) ;

2) introducerea de garanţii suplimentare (pentru a preveni riscul de model in determinarea necesarului de capital şi măsurarea gresita a capitalului ponderat la risc prin introducerea unui etalon transparent, independent de risc).

1.4. Reducerea efectului prociclic şi introducerea de rezerve de capital cu

rol anticiclic Comitetul introduce o serie de măsuri pentru a aborda prociclicitatea şi

creşterea rezistenţei sectorului bancar la stres. Aceste măsuri au următoarele obiective cheie:

1) prevenirea exceselor ciclice cu privire la cerinţele minime de capital; 2) promovarea provizionarii bazate pe estimari ale rezultatelor viitoare; 3) conservarea capitalului pentru a construi rezerve de capital la nivel de

bănci şi la nivel de sector bancar, care sa poata fi utilizate în conditii de stres; 4) atingerea obiectivului mai larg macroprudenţial de protejare a sectorului

bancar in perioadele de creştere excesiva a creditului. Comitetul doreste o provizionare bazata pe abordarea Pierderii Asteptate,

propusa de IASB (International Accounting Standards Board) in efortul sau de a imbunatati standardul international de contabilitate IAS 39. Comitetul sprijină


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aceasta abordare pentru ca ea surprinde mai bine pierderile efective şi este, de asemenea, mai puţin prociclica decat actuala abordare "pierdere realizata”. Aceasta abordare se incadreaza mai bine in efortul Comitetului de a promova o atitudine conservatoare in stabilirea capitalului necesar si constituirea de rezerve peste cerintele minime de capital care sa poata fi folosite în perioadele de stres.

La debutul crizei financiare, o serie de bănci au continuat să facă distribuţii mari de dividende, sa-si rascumpere actiuni sau sa ofere plăţi generoase managementului, chiar dacă starea lor financiara si perspectivele pentru intregul sector erau in continua deteriorare. Acest comportament riscant a fost incurajat de piata financiara, care ar fi perceput o reducere a dividendelor ca un semnal de slăbiciune financiara. In ciuda semnalelor linistitoare, aceste banci si sectorul in ansamblu, deveneau mai slabe in fata crizei. Multe banci s-au întors repede la profitabilitate, dar nu au făcut eforturi pentru a-si reconstrui capitalul si a sustine revenirea la activitati de creditare. Luate împreună, aceste comportamente au condus la cresterea prociclicitatii sistemului. Pentru a aborda această disfuncţionalitate de piaţă, Comitetul va introduce un cadru care va oferi autorităţilor de supraveghere instrumente puternice de a promova conservarea capitalului în sectorul bancar. Punerea în aplicare a cadrului prin intermediul unor standarde de conservare a capitalului, convenite la nivel internaţional, va ajuta la creşterea rezistenţei sectorului în eventualitatea unei recesiuni şi va oferi mecanismul pentru reconstruire a capitalului în timpul redresării economice. În plus, cadrul propus este suficient de flexibil pentru a permite o serie de răspunsuri ale bancii pentru a fi in conformitate cu standardul.

Comitetul de la Basel va introduce un regim care va ajusta gama de rezerve de capital, atunci când există semnale că dinamica creditului este excesiva. Scopul rezervelor de capital anticiclice este de a oferi protectie macroprudenţială sectorului bancar în perioadele de creştere agregată excesiva a creditului.

1.5. Masuri adresate bancilor de importanta sistemica În timp ce prociclicitatea amplifica socurile pe parcursul timpului,

interconectarea excesiva a pietelor si a băncilor de importanţă sistemică (institutii de credit care indeplinesc concomitent criteriile stabilite in Metodologia BIS, privind dimensiunea, interconectivitatea, substituirea, complexitatea si globalizarea la nivel mondial), transmit şocurile la nivelul sistemului financiar international şi la nivelul economiei internationale. Băncile de importanţă sistemică ar trebui să aibă capacitatea de absorbţie a pierderilor dincolo de standardele minime. Comitetul de la Basel şi Consiliul pentru Stabilitate Financiara sunt în curs de dezvoltare a unei abordari bine integrate a instituţiilor financiare de importanţă sistemică, care ar putea include combinaţii de cerinte mai mari de capital şi planuri de salvgardare.


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2. Impactul standardelor Basel III asupra ratelor de adecvare a capitalului bancar, in cateva tari din Centrul si Estul Europei Din analiza ratelor de adecvare a capitalului bancar in 6 tari din Centrul si

Estul Europei, se poate constata ca impactul regulamentelor Basel III nu vor avea o influenta dramatica, mentinand insa ipoteza potrivit careia, capitalul de rang 1 coincide cu fondurile proprii.

Ratele de adecvare a capitalului in ECE- 2010

---------------------------------------------------------------------------------------------------- Tara Nivelul curent Nivelul minim % % Polonia 13,6 8,0 Ungaria 12,6 8,0 Cehia 15,0 8,0 Slovacia 13,2 8,0 Bulgaria 18,0 8,0 Romania 14,3 8,0

Sursa: Bancile Centrale

Totusi, regiunea ECE ar putea fi afectata indirect de implementarea standardelor Basel III, de catre jucatorii internationali activi in regiune, care pot ajunge sa fie constransi in strategiile lor de crestere la nivel mondial.

Deficitul de capital, sau constrangerile de finantare, care ar putea afecta acesti jucatori internationali, precum si limitarile de alocarea optima intragrup privind capitalul si finantarea (din cauza unor limite nationale) ar putea ajunge sa penalizeze modelul bancar transfrontalier, care a fost baza convergentei economice si financiare din Europa Centrala.

BIBLIOGRAFIE : 1. Basel Committee on Banking Supervision - Basel III: A global regulatory

framework for more resilient banks and banking systems, revised version June 2011;

2. Basel Committee on Banking Supervision – Basel III: definition of capital – Frecvently asked questions, July 2011;

3. Banca Nationala a Romaniei – Raport asupra stabilitatii financiare 2011; 4. Bancile Centrale din Polonia, Ungaria, Cehia, Slovacia, Bulgaria, Romania,

sit-uri.


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BASEL III REGULATIONS ON STRENGTHENING THE

BANKING SYSTEM CAPITALIZATION PhD. Natalita HURDUC PhD. Applicant Nicoleta HURDUC E-mail: [email protected] Academy of Economic Studies “Athenaeum” University Bucharest Bucharest

Abstract: The objective of future Basel III regulations is to improve the capacity of the

banking sector to absorb economic and financial shocks, from whatever source, while reducing the risk of contagion in the financial sector to the real economy. One of the main reasons that the economic and financial crisis began in 2007 has become so severe was the fact that the banking sector in many countries increased by excessive debt. This was accompanied by a gradual erosion of the level and quality of capital base. At the same time, many banks did not have sufficient liquidity reserves. The banking system therefore was not able to absorb systemic losses from trading and lending. Neuralgic points of the banking sector were rapidly transmitted to the rest of the financial system and real economy, resulting in a massive contraction of liquidity and credit availability. Finally, the public sector had to intervene with bailouts, with a massive infusion of capital and guarantees, by exposing taxpayers to huge losses in the financial system.

Keywords: Basel III, capital adequacy, systemic risk JEL classification: E59, F33, F36, F3, G21.

Introduction Given the field of manifestation and the speed with which recent and past

crises were transmitted around the world and the unpredictability of future crises, it is essential that all countries strengthen the capacity to defend their banking sectors, both to domestic and external shocks. In order to solve the deficiencies of the banking market, which occurred during the crisis, the Basel Committee has proposed to introduce a number of fundamental reforms that will change the international regulatory framework. The reforms are intended to strengthen the resistance to stress at player level, by new micro-prudential regulations. Reforms have also a macro-prudential accent by approaching risks at system level, because at this level risks have pro-cyclical and multiplier effect. These micro and macro-prudential approaches are interdependent, the higher resistance at the bank level reducing the risk of shock at the system level.


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1. Strengthening capitalization The committee proposes increasing the minimum capital ratios, with

progressive introduction from January 1st, 2013. Until January 1st, 2015, banks will be required to meet the following minimum requirements in relation to risk weighted assets: 4.5% tier 1 equity, 6.0% tier 1 capital and 8.0% total capital. The committee proposes to introduce a framework to promote the conservation of capital and the establishment of adequate reserves.

New Basel III capital requirements Tier 1 Capital –

Social Capital %

Tier 1Capital %

Total Capital %

Minimum 4.5 6.0 8.0 “Conservation” reserve 2.5 Minimum + “conservation” reserve 7.0 8.5 10.5 Anti-cyclical reserve range 0-2.5 Source: „Basel III: A global regulatory framework for more resilient banks and banking systems”,

Basel Committee, Dec. 2010

Establishing a capital reserve of 2.5% as a buffer will be added to tier 1 capital, with the progressive introduction starting from January 1st 2016, becoming totally founded in late 2018.

Basel III also introduces an anti-cyclical capital buffer to protect the banking sector in aggregate credit growth periods and to vary between 0% and 2.5%. The anti-cyclical capital buffer level will be determined by supervisory authorities in jurisdictions where borrowers are located, regardless the creditor’s country of origin.

1.1. Improving quality of equity and transparency of capital base reporting

To this end, the main form of tier 1 capital must be the existing shares and retained earnings. Deductions for capital and prudential filters have been harmonized internationally and generally applied to the equity. The rest of tier 1 capital base should consist of subordinated instruments, with dividends/coupons distributed in a discretionary and non-cumulative way and have no maturity or incentives to be redeemed. Hybrid capital instruments with an incentive for redemption through step-up clauses (which are currently limited to 15% of tier 1 capital base) will be removed. In addition, tier 2 capital instruments will be harmonized, and so-called tier 3 capital instruments (which were available only to cover market risks), have been removed. Finally, to improve market discipline, it will be required a greater transparency on the capital base, with all elements of capital reporting and reconciliation with accounting reporting.


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1.2. Improving risk management Basel III standards will raise capital requirements for trading portfolio and

complex exposures resulting from securitization. It will be introduced a value at risk (VaR) of capital requirement, under significant stress conditions over a period of 12 months. In addition, the Committee has introduced higher capital requirements for securitizations both in the banking business and trading portfolio. Unlike Basel II Regulations, new standards concern the review and monitoring process of Pillar 2 and broaden the Pillar 3 reporting area. Improving Pillar 1 and 3 must be implemented by the end of 2011, and the new standards applicable to Pillar 2 became effective starting from July 2009. The Committee will make by the end of 2011 a fundamental review of the trading portfolio regulations. This document also provides measures to strengthen the capital requirements to cover the exposures to counterparty credit risk of derivatives financial transactions, repo securities. The new reforms will also stipulate capital surplus required to support these exposures to reduce pro-cyclicality and to provide additional incentives to move extra stocks derivative contracts to a central counterparty. Thus, by new standards is intended to reduce systemic risk in the financial system. These measures also offer incentives to strengthen the management of exposures to credit risk of the counterparty.

To this end, the Committee will introduce the following rules: - Banks will determine their capital required to cover counterparty credit risk

using data subjected to stress. This approach will answer both concerns about reducing the capital cost in times of market volatility and concerns about pro-cyclicality. Also, this approach will promote a more integrated management of market risk and counterparty risk.

- Banks will be subject to a cost of capital for potential losses due to valuation at the market price (for example, the amount of credit adjustment risk) associated with a deterioration of the counterparty creditworthiness. Although Basel II Agreement covers the counterparty default risk, it does not address the amount of credit adjustment risk which, during the financial crisis, was a greater source of losses than those within the default.

- Committee will introduce stricter management standards for guarantees and initial margin. Banks with large exposures to illiquid derivatives to a single partner will have to apply for longer periods of initial margin in the process of determining capital requirements.

- To approach the systemic risks resulting from the interaction between banks and other financial institutions through derivatives markets, the Committee will work with the Committee on Payment and Settlement (CPSS) and International Organization of Securities Commissions (IOSCO) to determine stricter standards for central counterparties and financial markets. The necessary capitalization to cover the Bank’s exposures to central counterparty (CPC), will be based in part on


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CPC compliance with these standards and will be finalized following a consultative process by the end of 2011. The guarantees and bank exposures to the CPCs (marked-to-market), which meet these standards will be subject to a lower risk weightings (proposed to 2%), and the necessary capital to cover the exposures to CCPs will be also submitted to an analysis of risk sensitivity. These standards, together with the capital requirements for OTC bilateral exposures derivatives will stimulate banks to move their exposures to CPCs. To approach the systemic risk in the financial sector, the Committee recommends increasing the risk weights on exposures to financial institutions in relation to the non-financial corporate sector.

1.3. Supplementation of risk weighted capital requirement on leverage ratio

The Committee recommends the introduction of a requirement on leverage report (or leverage ratio) to achieve the following objectives:

1) limiting the leverage ratio in the banking sector (thus helping to reduce the risk of “de-leverage” which may have a destabilizing effect on the financial system and economy);

2) introducing additional safeguards (to prevent the risk of model in determining the necessary capital and wrong measurement of the risk weighted capital by introducing a transparent standard, independent of risk).

1.4. Reducing pro-cyclical effect and introducing anti-cyclical capital reserves role

The Committee introduces a series of measures to address pro-cyclicality and increase the resistance of banking sector to stress. These measures have the following key objectives:

1) preventing cyclical excesses on minimum capital requirements; 2) promoting provisioning based on estimates of future results; 3) preservation of capital to build capital reserves at the bank and the banking

sector level, which can be used under conditions of stress; 4) achieving a larger macro-prudential objective of protecting the banking

sector during periods of excessive credit growth. The Committee wants a provisioning based on Expected Loss approach,

proposed by IASB (International Accounting Standards Board) in its effort to improve international accounting standard IAS 39. The Committee supports this approach because it better captures the actual losses and is also less pro-cyclical than the current “Loss Realized” approach. This approach fits better in the Committee’s effort to promote a conservative attitude in setting up the required capital and reserves over the minimum capital requirements that can be used in times of stress.


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At the beginning of the financial crisis, some banks have continued to make large distributions of dividends, redeem shares or to provide generous payments to management, even if their financial condition and the perspectives for the entire sector were steadily deteriorating. This risky behaviour was encouraged by financial markets, which would be charged a reduction of dividends as a signal of financial weakness. Despite the reassuring signals, these banks and the sector as a whole became weaker during the crisis. Many banks quickly returned to profitability, but have not made efforts to rebuild their capital and support the return to lending activities. Taken together, these behaviours have led to increase pro-cyclicality of the system. To address this market failure, the Committee will introduce a framework that will provide supervisors with powerful tools to promote conservation of capital in the banking sector. The implementation of the framework through conservation capital standards agreed internationally will help to increase the resistance of the sector in the event of a recession and will provide the mechanism for rebuilding the capital during the economic recovery. In addition, the proposed framework is flexible enough to allow a series of bank responses to be in accordance with the standard.

The Basel Committee will introduce a regime that will adjust the range of capital reserves when there are signs that the credit growth is excessive. The aim of anti-cyclical capital reserves is to provide macro-prudential protection to the banking sector during the excessive aggregate credit growth.

1.5. Measures addressed to systemically important banks While pro-cyclicality amplifies shocks over time, excessive interconnection

of markets and systemically important banks of (credit institutions which meet simultaneously the criteria in BIS Methodology on size, interconnectivity, substitution, complexity and globalization worldwide), sent shocks to the international financial system and international economy. Systemically important banks would have to be able to absorb losses beyond minimum standards. Basel Committee and the Financial Stability Board are developing a better integrated approach to systemically important financial institutions, which could include combinations of higher capital requirements and safeguard plans.

2. Basel III Standards impact on bank capital adequacy ratios in several

countries in Central and Eastern Europe From the analysis of bank capital adequacy ratios in 6 countries in Central and

Eastern Europe, it can be seen that the impact of Basel III regulations will not have a dramatic influence, although maintaining the assumption that tier 1 capital coincides with its own funds.


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Capital adequacy ratios in CEE-2010 ------------------------------------------------------------------------------------------------ Country Current level Minimum level % % Poland 13,6 8,0 Hungary 12,6 8,0 Czech Republic 15,0 8,0 Slovakia 13,2 8,0 Bulgaria 18,0 8,0 Romania 14,3 8,0

Source: Central Banks

However, the CEE region could be indirectly affected by the implementation of Basel III standards, by international active players in the region, which may be constrained in their growth strategies worldwide.

The capital deficit or funding constraints that could affect these international players, and also the limitations of intra-group optimal allocation of capital and financing (because of national boundaries) could end up punishing the border banking model, which was the base of the economic and financial convergence in Central Europe.

REFERENCES: 1. Basel Committee on Banking Supervision - Basel III: A global regulatory

framework for more resilient banks and banking systems, revised version June 2011;

2. Basel Committee on Banking Supervision – Basel III: definition of capital – Frequently asked questions, July 2011;

3. National Bank of Romania – Financial Stability Report 2011; 4. Central Banks of Poland, Hungary, Czech Republic, Slovakia, Bulgaria,

Romania, websites.


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THE RELATIONSHIP BETWEEN FINANCIAL

REPORTING TIMELINESS AND ATTRIBUTES OF COMPANIES LISTED ON EGYPTIAN STOCK EXCHANGE

"AN EMPIRICAL STUDY"

Younes H. AKLE, PhD Associate Professor of Accounting Faculty of commerce and Business Administration, The University of Helwan, Ain Helwan, Cairo

Abstract: This study empirically investigates the relationship between industry type,

company size, gearing, leverage, earnings quality, earnings management, electronic disclosure, and timeliness of corporate financial reporting of companies listed on Egyptian stock exchange during the period from 1998 to 2007.

The results indicate that industry type influences on the timeliness of corporate financial reporting, also show that the larger firms tend to take less timeliness than smaller firms to publish their annual financial reporting.

The study finds that highly Long-term debt/ equity ratio firms take a significantly longer timeliness than less long-term debt equity ratio firms to prepare and publish their annual financial reporting. It also finds that increasing the rate of return on owner equity for rate of return on investment capital firms take a significantly shorter than timeliness from decreasing rate of return on owner equity for rate of return on investment capital firms to prepare and publish their annual financial reporting .

The results also showing the higher quality of earnings firms tend to take less timeliness than quality of earnings firms to publish their annual financial reporting. It also finds that highly earnings management firms take a significantly shorter timeliness than less earnings management firms to prepare and publish their annual financial reporting .These results are important determinant of the relevance timeliness of Egyptian publicly listed financial reporting

Keywords: Timeliness of annual financial reporting, Earnings quality, Earnings management, Egyptian accounting standards

JEL Classification: G30, M41 1. Introduction: Despite the increasing importance of financial reporting timeliness by study

the factors affected in the timeliness of corporate financial reporting in its


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application in the advanced industrial countries and developing countries, but there was no test study on the factors affecting the timeliness of corporate financial reporting in Egypt.

Therefore, this study aims to determine the factors affecting the timeliness of annual financial reporting for companies listed on Egyptian stock exchange during the timeliness of 1998 to 2007, and investigate the relation between the timeliness and the next variables:

• Industry type • Company size • Company Gearing • Company leverage • Electronic disclosure • Earnings quality • Earnings management

The researcher has chosen a sample that consists of 83 from companies that are listed at the Egyptian stock exchange during period from 1998 to 2007 and it belongs to a various economic sectors , as well as it depends upon the method of descriptive statistics and multiple linear regression analysis .

The importance of this study is providing empirical evidence about the effective factors of the timeliness. Consequently the Public Authority of capital market, stock exchange market management and the Egyptian association for auditors and accountants can utilize from its results to provide the suitable timeliness in the accounting information of the Egyptian companies listed and expecting the delaying of announcing about the financial reporting of companies listed in the Egyptian stock exchange.

2. Background and Research hypothesis:- 2.1. Industry type:- The accounting practices are different in the companies according to the

difference of the industry type, and this the difference of the operational process, and the risks degree , these practices are different also in the supervision and controlling processes, such as the Banks in Egypt must be observation of the commitment with the Banks law requires No. (88) of 2003 and this may motivate the Banks to disclosure their financial reporting quickly for met the controlling requires and sending reassuring to the depositors, and so that this study and live the study of Davies and whetted ( 1980) will test the following hypothesis of the stock companies in Egypt.

H.1: There isn’t significant relation between the industry type and the timeliness of corporate financial reporting

This hypothesis will be tested through comparison the timeliness about the corporate financial reporting that work in the financial services (banks, insurance,


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companies, and the securities companies)and the companies that work in other fields (industrial, service, real-estate and agriculturally)

2.2 .Company size:- There are two contraries opinions about the relation between the company

volume and timeliness of the financial reporting , since frost and panel( 1994) referred to the first opinion is that the big companies stand for the delaying of financial reporting and because they need along timeliness, and this returns to the increasing of the accounting processes and the big volume of the financial information, the second opinion see that the big companies take shorter timeliness after the end financial year to corporate their financial reporting compared with the small companies, because the big companies have the options represented in the providing of the enough numbers of accountants and the accounting information systems mechanization that helps in the preparing speed of their financial reporting , in addition to the that when the company volume increase, the investors number increase, and so that the delaying of these companies in their financial reporting corporate is illustrated that these companies disclosure about their financial reporting more quick compared with the small companies (El Gabr 2006), so that the current study will test the following hypothesis of the stock companies in Egypt.

H.2: There is no relation between the company volume and the timeliness of the corporate financial reporting.

Since this relation will be tested by the measurement of the company volume by natural log for the total assets in the end financial year.

2.3. Company Gearing The study of Owusu and Ansah 2000 showed that there are two contraries

opinions about relation between the Gearing and timeliness of corporate financial reporting , since the first refer to that the increasing of the company debt stands for increasing the pressures that the loaners and the practice on the company for the financial reporting more quickly to evaluate the company performance and the determination of the commitment level with the indebtedness contracts requires and taking the necessary corrective decisions.

The second opinion of Carslaw and Kaplan (1991) refer to that the increase of the company debt because of the long timeliness which the audits tale it in the check of the debt sides, so that the current study will test the following hypothesis.

H.3: There is no significant relation between the Gearing of the company and the timeliness of corporate financial reporting.

This relation will be tested by the company depot measuring based on the debts to investment capital ratio.


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2.4. The leverage:- The leverage refers to that the company depends on the debts in financing

invested capital and the researcher thinks that the companies that achieve the positives of leverage (the rate of return on owners equity is more bigger than the rate of return on the investment capital) because the operational profits rate is bigger than the interest rate aspire to reach this information to the securities market and this stands for the increasing of the stock prices.

The companies that achieve negative of leverage (the rate of return on owners equity is more less than the rate of return on the investment capital) because of increase the cost of debt is more bigger than the operational profits rate, aspires to delaying of disclosure about this financial information to not affect on the stock prices, so that current study will test the following hypothesis of the stock companies in Egypt.

H.4: There is no significant relation between the leverage and the timeliness of corporate financial reporting.

This hypothesis will be tested through comparison of timeliness for companies that achieve the positives of leverage with the companies that suffer form the negatives of the leverage.

2.5. Earnings quality:- The timeliness of financial reporting is an important indicator for determine

stock prices, one of the most important financial information is the earnings quality (leventieSS.2004, PP. 43:56,) since the timeliness of the financial information is important to reduce depending on the Rumors, When the different economic decision are taken (AASah,2000, PP.241-254), and the study of relation between net operating cash flows and operating income is the essential determinants to govern on the earnings quality, because the determination of the difference amount between than clear the cash ability of firm earnings and the financing required for it (Younes: 1996).

And the researcher thinks that the companies which have goal news about the earnings quality aspires to reach it to the securities market compared with the companies which have negative news about the earnings quality aspires to delaying of financial information disclosure to net affect on the stock price, so that the current study will test the following hypothesis of the stock companies in Egypt.

H.5: There is no significant relation between the Earnings quality and the timeliness of corporate financial reporting.

This relation will be tested by the measure of the operating cash flows to net profit acceptable to contribute, since this sing reflex the ability of company income to generate the cash flows form operational activities.


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2.6. Earnings management:- The earnings management is considered accounting problems that causes the

worry of the supervision and controlling Actors on the financial markets, because of its direct effect on the spread profits quality, as following it’s effect on the securities market efficiency because it represents the inter face of the management in the financial report through the accounting adjustments, according to the accrual base for the report about the accounting profit disagrees with the financial performance and compatible with the targets (Sylvia and sire gar 2008, PP,1027) and the company managers aims to its earnings management to great their self benefit (when the Bonus plans related with the Earnings management) or avoiding of the debt contracts or taking tax decisions or avoiding the political costs.

The researcher thinks that the companies which following the earnings management models, to be able to achieve the earnings management, so that the current study will test the following hypothesis for the stock companies in Egypt.

H.6: There is no significant relation between the earnings management and the timeliness of corporate financial reporting.

This relation will be tested the measure of the earnings management by using of Eigel indicator. (Ashari, et al 1994)

2.7. Electronic disclosure:- Study of AshBaugh, et. Al, (1999) search using of a sampling from 290

American companies In different sections for the electronic report on the “internet”, the study showed that 70% from the sampling companies use the electronic financial report with existing Marked contrast these companies about related with the exhibited contents quality, since some companies exhibited detailed, accounting data and information annual and monthly, while other companies exhibited information passed on it 2 years or more. The study includes the difference search between the accounting variables used and it showed that there are significant difference related to the assets size and the rate on assets and these that distinguishes with the high quality in the traditional disclosure.

In Egypt, (Tawfik, 2001) searched the electronic disclosure on Egyptian Banks in 2000, and this through it’s identifying and A description of how the employed Bank section unit in Egypt by using this contribution to spread and disclosure about their information electronically.

The research study this through empirical study for the characteristics of this sector for this modern contribution, then A description of how the need of financial side organization form these practices through the accounting standards, so that the current study will test the following hypothesis for the stock companies in Egypt.

H.7: There is no significant relation between electronic disclosure and the timeliness of corporate financial reporting.


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This hypothesis will be tested by companies on the disclosure timeliness about the financial reporting of the companies which have site on the information wide to spread their financial reporting and the companies which don’t have a site and don’t make the electronic report.

3. Empirical Analysis and Results 3.1. Study variables and model:- The relation between timeliness of corporate financial reporting and the

company’s Attributes represented on the company size, Gearing, Leverage, earnings quality and the electronic disclosure by using the following Regression analysis model

Delaying period = a + B1 Industry type+ B2 Company size + B3 Gearing + B4 leverage + B5 Earnings quality + B6 Earnings management + B7 Electronic disclosure ε

Since:- Delaying period: - Is measured by the number of days between the end of

fiscal year and publishing of the financial reporting. Company size: - It measured by the natural Log for the total assets in the end

of fiscal year. Gearing: - Is measured by debts to investment capital ratio in the end of fiscal

year. Leverage: - Identifying the positives and negatives of leverage by comparison

rate of return on stockholder equity with rate of return on the investment capital, and this variable is measured by using a Dumpy variable, since this variable takes zero in the case of the leverage negatives and one in the case of the leverage positives.

Earnings quality: - Is measured by net operating cash flows to net income ratio.

Earnings management: - Using the Eigel indicator to earnings management, the company is considered from the companies which use the earnings management if the indicator is less that or equal one, if the indicator is more than one, the company don’t use the earnings management.

Electronic disclosure: - Is measured by using a dummy variable, since this variable take zero in non-electronic disclosure case and one in the case of the electronic disclosure.

B1: B7 are constants of the mathematical relationship of the imposed variable.


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3.2. Study sampling and community:- The study community represent in the listed companies in the securities

market in Egypt through the timeliness from 1998. To 2007, this timeliness causers the application of the Egyptian accounting standards approved by the minstrel decision no. (503)of 1997 and it’s modifications and its replacement by the news accounting standards by the decision No.(243) of 2006, in addition to the international principals application for the corporate governance and there is a study sampling is selected by depending on the following standards:-

1. The providing of the annual financial reporting. 2. The providing of the dates of the annual financial reporting. 3. The application of the international corporate governance principals with

ratio 50% at least. 4. The absence of taking decisions from the securities market management by

stopping the dealing on the companies stocks through the study period. And the companies which didn’t complete their financial reporting during the

study period, have been excluded, including the listed companies recently in Cairo and Alex. Stock exchange.

The information of financial reporting of companies Is determined by the following dates:-

1. The date of sending copy of the annual audited financial reporting to the disclosures management in the stock exchange.

2. The date of sending a copy of the annual audited financial reporting to the tax authorities.

3. The date of the public association meeting of the contributors to discuss the annual audited financial reporting.

4. The date of publishing annual audited financial reporting on journalizes 5. The date of spreading the audited financial reporting on the international

information wide. And in the case of no possibility of Accessing the date of the financial

reporting, it is used the date of the audit report that printed on the financial reporting to determine the timeliness of the financial reporting as came in the study of Abdulla, 1996.

It is resulted, by the application of the previous standards; a sampling of 83 companies contributed on the different economic section, like the most important the financial section as Banks, insurance companies and the securities companies, the Non-financial section like the industrial, service, real estate and agricultural companies and table (1) schedule showed the data of the test study sampling.


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Table (1) Sample characteristics of the companies

Source:- The disclosure management, Cairo stock exchange 2007. 3.3. Methodology:- To achieve the research goals and test of its hypothesis, the researcher made

the fallowing:- 1. The researcher gat the dates of the financial reporting corporate. By the

disclosure management in the stock exchange, and the public association site of the financial market in Egypt, and the information centre site and support of the decision of the ministry assembly dates is made in the number of daily news papers, and it is measured the variable of the disclosure timeliness of the companies which are the study sampling by the following equation:-

The disclosure timeliness (by days) = the date of publishing financial reporting – the date of ending financial year

2. The Assets , the stock holder’s equity, long term liabilities, capital investment, the net operating cash flows, net income and Revenues of the companies from their annual financial reporting through the timeliness from 1999 to 2007 and enter this data to the computer as a variables, than the financial relations and ratios are entered to the computer to took over the computer account, and addition of the following accounted variables the rate of investment capital ,the rate of return on stock holder’s Equity and earnings management factor and net operating cash flows and the natural log of the assets.

3. Using the internet tools through to Egypt all sites of the companies in the securities market which are used electronic disclosure.

4. It is entered to the computer, the accounted, volume for the Delay variables, (variable of type equal one for the financial sector and equal zero for

variable Number % type Banks 120 14.5

Insurance companies 30 3.6 Financial service companies 70 8.4 220 26.5 The industrial companies 280 33.7 Real estate companies 100 12 Services companies 170 20.5 Agricultural companies 60 7.8 610 73.5 total 830 100

Electronic Disclosure (ED)

Electronic disclosures 256 30.9 Non- Electronic disclosures 574 69.1 total 830 100

Leverage Positives of leverage 670 80.7 Relative of leverage 160 19.3 total 830 100


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non- financial sector), and electronic disclosure variable (ED) equal one for the electronic report and zero in the absence of electronic report.

5. Using the computer program (SPSS). In the account of the description statistics and the account of the correlation factor between the study variables of the delay period, company type, company size, gearing, leverage, earnings quality and electronic report.

3.4. Results of study and testing of hypotheses:- 3.4.1. The relation between industry type and the timeliness of corporate

the financial reporting: The timeliness of corporate the financial reporting according to the type of

the industry for the companies sampling of study during the period from 1998 to 2007 as the following:

1- The financial sector companies is quicker in publishing its financial reporting about the non financial sector companies as the mean of the delaying period financial sector companies reaches 68.9 days during the period of the study, whereas the mean reaches 108.4 days in the non financial sector companies during the same period.

2- In financial sector, financial services companies is quicker in publishing its financial reporting as the mean of the delaying period for it reaches 57 days ,but the mean for banks reaches 72 days and 74 days in insurance companies during the same period.

3- In non financial sector, services companies is quicker in publishing its financial reporting as the mean of the delaying period for it reaches 78 days ,but the mean for industrial companies reaches 88 days and 95 days in Real estate companies during the same period.

In order to test the firstly hypothesis that is related to the effect of industry type on the timeliness, an analysis of one-way ANOVA discrepancy is performed by using Test (F) on a significant level that is less than 5% as in the following table:

Table (2) Results of testing the effect of industry type on the timeliness

Sector Number of

observations Mean S.D Test (F)

F value Sig. Financial sector 220 68.9 33.7 8.36 000 Non - financial sector 610 108.4 38.9

Table (2) shows that (F) that calculated is greater than (F) that scheduled, this

means refusal of the hypothesis that are equivalent average to the two groups that shows the non-existence of an significant differences between the average of the timeliness of corporate the financial reporting between the companies of financial sector and the companies that are affiliated to the non financial sector,


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consequently refusing the firstly hypothesis, this mean that there is an effect of industry type on the timeliness of Corporate financial reporting of the companies listed at the Egyptian stock exchange during the period from 1998 to 2007.

3.4.2. The relation between the company size and the timeliness of

corporate financial reporting: Table (4) shows the timeliness of corporate financial reporting according to

of the company size on study sampling during the period from 1998 to 2007.

Table (3) Descriptive Statistics for company size on the timeliness

Large -size

companies Small-size companies

total

No. of observations 142 688 830 S.D 72 106 98 maximum 42 38 39 minimum 85 112 109 65 87 84

Table(3) shows that the big-size companies is faster in publishing their repots

than small-size companies , as the mean delaying period in the Large -size companies reaches 72 days, whereas this mean reaches 106 days in Small-size companies during the same period.

In order to test the second hypothesis that is related to the effect of the company size on the timeliness of corporate financial reporting, an analysis of one-way ANOVA discrepancy is performed by using Test (F) on a significant level that is less than 5% as in the following table:

Table (4) Results of testing the effect of company size on the timeliness

Sample size No. of


F value Sig. Big-size companies 142 72 42 12.5 000 small-size companies 688 106 38

Table (4) shows that (F) that calculated is bigger than (F) that scheduled, this

means the refusal of the hypothesis of arithmetic averages of the two group that shows the non-existence of significant discrepancies between the mean of the timeliness of corporate financial reporting between big-size companies and small-size companies. Consequently, the refusal of the second hypothesis and this means the existence of an effect of company size on the timeliness of corporate financial reporting for companies listed in Egyptian stock exchange within period from 1998 to 2007.


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3.4.3. The relation between gearing and the timeliness of corporate financial reporting:

Table (5) shows that the effect of gearing on the timeliness of corporate financial reporting of company sampling of this study during the period from 1998 to 2007.

Table (5) Descriptive Statistics for company gearing

Companies depend

on debit Companied depend

equity total

No. of observation 230 600 830 Mean 122 105 114 S.D 63.9 42.5 38 maximum 158 142 125 minimum 98 85 87

Table (5 shows that the companies that depend upon owner equity in financing investment capital is quicker in publishing financial reporting about the companies that depend upon debit in financing investment capital as the mean of delaying period of financial reporting in the companies that depend upon debit reaches 122 days, whereas the mean reaches 108.4 days in the companies that depend upon the owner equity during the same period.

In order to test the third hypothesis that is related to the effect of gearing on the timeliness of corporate financial reporting, an analysis of the one – way ANOVA is conducted by using test (F) on a significant level that is less than 5% as in the following table:

Table (6) The results of testing the effect of gearing on the timeliness

Sample size Number of


F value Sig. Companies depend on debit 230 122 36.9 7.65 000 Companies depend on Equity 600 105 42.5

Table (6) shows that (F) that calculated is bigger that (F) that scheduled, this

means the refusal of the hypothesis of arithmetic means of the two group that shows the non-existence of significant discrepancies between the mean of the timeliness of corporate financial reporting between the companies that depend upon the owner equity less than depending upon debit, Consequently, the refusal of the fourth hypothesis and this means the existence of an effect of debit on the timeliness of corporate the financial reporting of companies listed in the Egyptian stock exchange within the period from 1998 to 2007.


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3.4.4 The relation between the leverage and the timeliness of corporate financial reporting:

Table (7) shows the effect of the positives or negatives of leverage in the timeliness of corporate financial reporting of companies sampling of study during the period from 1998 to 2007.

Table (7) Descriptive Statistics for company leverage

leverage Positives leverage Negatives total No. of observation 589 241 830 Mean 78 116 96 S.D 36.5 48.5 40.5 maximum 105 165 116 minimum 65 98 82

Table (7) shows that the companies that achieve positives of leverage is quicker in publishing financial reporting than the companies that suffer the negatives of the leverage as the mean of delaying period about the financial reporting in the companies that achieve the positive the leverage reaches 78 days, whereas this mean reaches 116 days in the companies that suffer the negatives of the leverage during the same period.

To test the fourth hypothesis that is related to the effect of the positives or negatives of the leverage on the timeliness of corporate financial reporting, an analysis of one-way ANOVA is conducted by using test (F) in significant level that is less than 5% as in the following table:

Table (8)

The results of testing the effect of the leverage on the timeliness

No. of observations

Mean S.D Test (F) F value

6.58 Sig. 000

leverage Positives 589 87 36.5 leverage Negatives 241 116 48.5

Table (8) shows that (F) that calculated if bigger than (F) that scheduled, this means the refusal of the hypothesis of arithmetic means of the two group that shows the non-existence of significant discrepancies between the mean of the timeliness of corporate the financial reporting between the companies that achieves the positives of the leverage and the companies that suffer the negatives of the leverage, Consequently, the refusal of the fifth hypothesis and this means the existence of an effect of leverage on the timeliness of corporate the financial reporting companies listed in Egyptian stock exchange within the period from 1998 to 2007.


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3.4.5 The relation between Earnings quality and the timeliness of corporate financial reporting:

Table (9) shows the effect of the Earnings quality on the timeliness of corporate the financial reporting by depending upon the ratio of the net operating cash flows to net operating income for the companies sampling of the study during the period from 1998 to 2007.

Table (9) Descriptive Statistics for Earnings quality

Bad news about

earnings Bad news about

earnings total

No. of observation 256 574 830 Mean 140 65 106 S.D 58.6 35.6 39.8 maximum 178 104 165 minimum 102 58 88 Table (9) shows that the companies that have good news about earnings is

quicker in publishing financial reporting than the companies that have the bad news about the earnings quality as the mean of disclosure about financial reporting in the companies that have an information about the quality of earnings reaches 65 days during the period of study, whereas the mean reaches 140 days in the companies that have bad information about quality of earnings during the same period.

To test the fifth hypothesis that is related to the effect of the quality of earnings on the timeliness of corporate financial reporting, an analysis of one – way ANOVA is conducted by using Test (F) on a significant level as in the following table:

Table (10) Results of testing the effect of Earnings quality on the timeliness

Earnings quality No. of


F value Sig. Bad news about earnings quality

256 140 58.6 12.8 000

Good news about earnings quality

574 65 35.6

Table (10) shows that (F) that calculated is bigger than (F) that scheduled, this means the refusal of the hypothesis of arithmetic means of the two group that shows the non-existence of significant discrepancies between the mean of the timeliness of corporate the financial reporting between the companies that have good news about the earnings ability in generating the operating cash flows and the companies that have bad news about the earnings ability in generating the monetary operating flows, Consequently, the refusal of the sixth hypothesis and this means the existence of an effect of earnings quality on the timeliness of


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corporate financial reporting of companies listed in Egyptian stock exchange within the period from 1998 to 2007.

3.4.6. The relation between the Earnings management and the timeliness of

corporate financial reporting: Table (11) shows the effect of Earnings management on the timeliness of

corporate financial reporting according to Earnings management factor for the companies sampling of this study during the period from 1998 to 2007.

Table (11) Descriptive Statistics for Earnings management

Earnings

management Non-Earnings management

total

No. of observation 314 516 830 Mean 111 96 99 S.D 35 45.6 42.5 maximum 176 108 112 minimum 96 59 78

Table (11) shows that the companies that follow the methods of profits

management is quicker in announcing its financial reporting about the companies that do not perform the process of Earnings management, as the mean of timeliness financial reporting in the financial sector reaches 67.9 days, whereas the mean reaches 108.4 days in the non-financial sector during the same period.

To test sixth hypothesis by the effect of earnings management on the timeliness of corporate financial reporting, an analysis of one-way ANOVA is conducted by using test (F) on a significant level that is less than 5% as in the following table:

Table (12) Results of testing the effect of Earnings management on timeliness

No. of


F value Sig. Companies perform the process of Earnings management

314 111 53 10.82 000

Companies do not of Earnings management

516 96 45.6

Table (12) shows that (F) that calculated is bigger than (F) that scheduled, this means the refusal of the hypothesis of arithmetic means of the two group that shows the non-existence of significant discrepancies between the mean of the timeliness of corporate financial reporting between the companies that perform the earnings management and the companies that do not perform the earnings management, Consequently, the refusal of the seventh hypothesis and this means the existence of an effect of earnings management on the timeliness of corporate


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the financial reporting of companies listed in Egyptian stock exchange within the period from 1998 to 2007.

3.4.7. The relation between electronic disclosure and the timeliness of

corporate financial reporting: Table (13) shows the effect of electronic disclosure on the timeliness of

corporate financial reporting of companies sampling of this study during the period from 1998 to 2007.

Table (13) Descriptive Statistics for Earnings management

Electronic

disclosure Non-electronic

disclosure total

No. of observation 256 574 830 Mean 75 82 80 S.D 32 38 36.7 maximum 111 119 114 minimum 62 70 75

Table (13) shows that the companies that performs electronic disclosure,

have issued its financial reporting quicker than the companies that do not perform the electronic financial disclosure as the mean of the timeliness of announcing the financial reporting in the case of the electronic disclosure reaches 75days during the timeliness of the study, whereas the mean reaches 82days in the case of the non disclosure during the same period.

To test the seventh hypothesis that is related to the effect of the electronic disclosure on the timeliness of corporate financial reporting, an analysis of One-Way ANOVA is conducted by using test (F) on a significant level that is less than 5% as in the following table:

Table (14) Results of testing the effect of the electronic disclosure on the timeliness

Number of


F value Sig. electronic disclosure 256 75 32 9.14 000 Non- electronic disclosure 574 82 38

Table (14) shows that (F) that calculated is less than (F) that scheduled, this means the acceptance of the hypothesis of the equivalence of the means of the timeliness of announcing the two groups that shows the non-existence of significant discrepancies between the mean of the timeliness of corporate the financial reporting between the companies that perform the electronic disclosure and the companies that do not perform the electronic disclosure, Consequently,


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accepting the eighth hypothesis and this means the non-existence of an effect of electronic disclosure on the timeliness of corporate financial reporting of companies listed in Egyptian stock exchange within the timeliness from 1998 to 2007. This is due to the fact that the legal requirements to publish the financial reporting and it are not affected by presenting the service of electronic disclosure at least till the date of completing the research.

4. Multiple regressions analysis: To identify the type of relation between the factors that affect on the

timeliness of corporate financial reporting and the mean of disclosure period, spearman's correlation coefficient on the significant level is calculated and it reaches 5% concerning the relation between the variables of the study for the total of the study subjects, it shows the following:

1- There is a reversal relation between the timeliness of corporate financial reporting and the level of governance, the size of the company, and the existence of profits, earnings management and the positives of the leverage. This shows the decrease in the timeliness of corporate the financial reporting of the companies that have higher governance level and the biggest companies and the companies that achieve the positives of the leverage, the companies in which there is an increase in the ratio of net operating cash flows / net income and the companies that perform the electronic disclosure.

2- The existence of direct correlation between the timeliness of corporate financial reporting and the negatives of leverage, earnings management, number of observations on audit report.

This points out to the increase in the timeliness of corporate financial reporting for the companies that suffer from the negatives of the leverage and the companies that have auditing reporting with observations

The model of multiple linear regression prospects the possibility of delaying the issuance of financial reporting as the following:

Delaying Period = a + β1 Industry type + β2 Company size + β2 Gearing + β4 Leverage + β5 Earnings Quality +β6 Earnings management +

β7electronic disclosure + ε Table (15) shows the results of applying this equation considering the

variable of the timeliness of corporate the financial reporting as the variable that is affiliated as function in the group of illustrated variables:


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Table (15) The estimators and the significance of multiple linear regression of the timeliness

of corporate financial reporting

Variables Beta T value P value Constant 78.35 8.51 000

Type -7.09 -3.586 0.572 C size -3.16 -2.31 0.105

G -0.17 3.184 0.011 Lev. -14.8 2.576 0.030 QE -28.4 0.902 0.391 EM -0.895 -2.43 0.243 QE -28.4 0.902 0.391 EM -0.895 -2.43 0.243 ED 0.0009 1.312 0.222

This table shows the following: 1- The variable factor of industry type is negative. This means that there is a

static prove at level 5%. This result coincides with the opinion that indicates that the companies that work in the financial sector corporate the financial reporting faster than the companies that work in the other activities. It also supports the validity of the second hypothesis as there is an effect for the industry type on the timeliness of corporate the financial reporting.

2- The variable factor of company size is negative, it means that there is a static prove at level 5%, this result traces back to the availability of the material and human factors in the big companies. This helps in preparing and publishing its financial reporting. This result supports the validity of the third hypothesis as there is a reversal relation between the company size and the of corporate the financial reporting.

3- The variable factor of the gearing is positive, it means that there is a static prove at level 5%. This result traces back that depending upon loaned capital in financing leads to difficulties in preparing and publishing the financial reporting. This result also supports the validity of the fourth hypothesis as there is a direct relation between the debt and the timeliness of corporate the financial reporting.

4- The variable factor of leverage is negative. It means that there is a static relation at level 5%. This result traces back to the sish of the companies to disclosure the financial information in case of increasing revenue ratio on the properties than the revenue ratio on investment. It also supports the validity of the fifth hypothesis between the positives of the financial leverage and the timeliness of corporate the financial reporting.

5- The variable factor of QE is negative. This means that there is a static prove at level 5%. This result traces back to the wish of the companies to disclosure about its financial information in case of increasing the ratio of total monetary inflows to the total of income. This result supports the validity of the


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sixth hypothesis because of the existence of reversal relation between the QE and the timeliness of corporate the financial reporting.

6- Variable factor of EM is negative. It means that there is a static prove at level 5%. This traces back to the wish of the companies to disclosure about the financial information in case of making EM before discovering this and achieving the objectives of EM. It also supports the validity of the seventh hypothesis as there is a reversal relation between EM and the timeliness of issuing the financial reporting.

7- Variable factor of ED is positive, but the relation is non significant at level 5%. This means the non-existence of an effect for ED on the timeliness of corporate the financial reporting of the joint stock companies that are listed in the Egyptian market of the securities during the period from 1998 to 2007. this traces back to the fact that the legal requirements of publishing the financial reporting are fixed and are not affected by offering the service of ED at least till the end of completing the search.

According to P-Value, the most significant variables of explanation of the timeliness of corporate the financial reporting is the QE, the governance level, the positives of leverage, the type of AR and the industry type.

5. Conclusion and recommendations: This study aims to determine the factors that affect the timeliness of

corporate annual financial reporting for the companies listed on the Egyptian stock exchange in the period from 1998 to 2007, and this is the period that witnesses applying international principles of the companies governance in the companies listed on the stock exchange of Cairo and Alex, and issuing the Egyptian Accounting standards by the ministerial decision number (243) of 2006 by testing of relationship between the timeliness of corporate financial reporting and the following variables:

• Industry type • Company size • Company Gearing • Company leverage • Electronic disclosure • Earnings quality • Earnings management The researcher selected a sample formed from 83 companies from the listed

companies on Egyptian stock exchange through the period from 1998. to 2007, he depended on the descriptive statistics and multiple linear regression analysis

The search stranded to the following results:- 1. the reduction of the period of announcing the reporting in the companies of

the financial sector about the non-financial sector companies, the disclosure period


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Average reaches 80 days in 1998 in the first group, and in the same year, it reaches 154 days in 2007 in the first group, while the Average of reduction reaches 79 days in the second group.

2. The big companies are quicker in announcing about their financial reporting than the small companies, the average of the period of announcing about the financial reporting in the financial sector reaches 72 days during the period of the study. While this average reaches 106 days in the non-financial sector during the same period.

3. The companies which depend on the property in financing their investment capital is more quicker in announcing about their financial reporting than the companies which depend on the debt in financing their investment capital, the average of the disclosure period about the financial reporting in the companies which depend on the debt reaches 108.4 days in the companies which depend on the property during the same period.

4. The companies which achieve the leverage positives are quicker in announcing about their financial reporting than the companies which suffer from the leverage positives. The average of the disclosure period about the financial reporting reaches 78 days during the period of the study, while it reaches 116 days in the companies which suffer from the leverage negatives.

5. The companies which have good news about the earnings are quicker in the announcing about their financial reporting than the companies which have bad news about the earnings quality. In the companies which have information about the earnings quality, the average of the disclosure period about their financial reporting reaches 65 days during the period of the study, while this average reaches 140 days in the companies which have bad information about the earnings quality during the same period:

6. The companies which follow the earnings management styles are quicker in announcing about their financial reporting than the companies which don't make the profits management processes. The average of the disclosure period about the financial reporting in the financial sector reaches 68.9 days during the same period. While this average reaches 68.9 during the period of the study, while this average reaches 108.4 days in the non-financial sector during the same period.

7. The companies which have a site on the internet and make the electronic financial disclosures, corporate their financial reporting faster than the companies which don't make the electronic financial disclosure. Thus the average of the disclosure period about the financial reporting in the case of the electronic disclosure reaches 75 days during the period of the study, while this average reaches 82 day in the absence of the electronic disclosure during the same period.

8. There is a reversal relation between the corporate financial reporting period and company size, earnings quality, electronic disclosure and leverage positives. These show the reduction of the financial reporting corporate period for the


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companies which have a higher governance level, companies which have a bigger size for the companies which achieve the leverage positives, companies which raise in it the ratio of net operating cash flows to net operating income, and the companies which make the electronic disclosure.

9. there is a relation between timeliness of the financial reporting period and all the leverage negatives, number of the reservations of the accounts audit report and this refers to the raising of the financial reporting corporate period for the companies which suffer from the leverage negatives, the companies which make the profits management processes, and the companies which have Audit reporting and reservations.

10. the most important signification illustrative variables for the financial reporting corporate period are referenced in the earnings quality, governance level, leverage positives, audit report pattern and the industry type according to testing of the signification of the several descending model

From the search results, the researcher recommends with the modification of the Egyptian companies law, to use in the companies listed on Egyptian stock exchange by disclosure about their financial reporting during 3 months from the end of financial year instead of 6 months in order to provide the suitable timeliness, and making many search in this filed depending on other methodology and by using other variables in addition to the study of the relation between timeliness of periodical financial reporting and Egyptian company Characteristics.

REFERENCES:

1. Aloke G. & Martien L., (2007) "Timeliness and Mon dated Disclosures on internal controls under Section 404", AICPA, New York;

2. Cheng F. Fah, (2006), "Timeliness of Annual Report Releases in Relation to the Direction and Magnitude of Earnings and Share Price Revaluation: the case of Malaysia" Survey Academic Journal, March;

3. Denis Cormier & Isabelle Martinez,(2006), "The association between Management Earnings Forecasts, Earnings Management and Stock Valuation: Evidence from French IPO's, The International Journal of Accounting, and VoL . 4 , PP. 209 – 236;

4. David Alexander and others, (2007) "International Financial reporting Analysis ", Third Edition, High Hebron House, London;

5. Dogan M, and others, (2007) "Is Timeliness of Financial reporting Related to Firm performance? An Examination on Israel Listed companies", International Research Journal of Finance and economics, Issue 12;

6. Financial Accounting Standards Board,(2006)," Conceptual Framework for Financial reporting "Objective of Financial reporting and Qualitative characteristics of Decision useful financial reporting" FAS, Financial Accounting Series, No. 1260 – 001, FASB, July 6;


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7. International Chamber of Commerce, (2005), "Improving the Quality of Financial Business Reporting" ICC, November, 2;

8. International Accounting Standards Board, (2006), International Financial reporting Standards , " A practical guide ", IASB, Landon;

9. Leventis S. Weetman,(2004), "Timeliness of Financial reporting: Applicability of disclosure theories in an emerging Capital market ", Accounting and Business Research, vol. 34, No.1;

10. Marty Batler & Others, (2007) "The effect of Reporting Frequency The timeliness of earnings: the case of voluntary and Mandatory interim Reporting", Goizueta Business School, Emory university, Clifton Road, Atlanta;

11. Ministry of investment, ministerial decree no. 243 of 2006 by issuing the Egyptian accounting standards, Cairo;

12. Ray B.& Lakshmanon S.,(2004) "Earnings quality in U.K. private Firms, comparative Loss Recognition Timeliness", Landon Business School, December;

13. Schwartz K.B, (1996) "The association between auditor changes and reporting lags", Contemporary Accounting Research, No. 13, pp. 353-370;

14. Sieegar, Sylvia V. & Sidharta U., (2008) "Type of Earnings Management and the effect of ownership structure, firm size and corporate governance practices: evidence from Indonesia, The International Journal of Accounting , and VoL.43,PP. 1 –27;

15. Waresul K. and others, (2006) "The effect of Regulation on timeliness of corporate financial reporting: Evidence from Bangladesh", Journal of Accounting, Auditing Governmental, vol. No.1.

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Anul VI, Nr.3(23), Septembrie 2011

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