Assessing Structural Convergence between Romanian Economy and Euro Area: A Bayesian Approach

Alexie Alupoaiei () and Ana-Maria Sandica ()
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Alexie Alupoaiei: Bucharest Academy of Economic Studies

International Journal of Academic Research in Accounting, Finance and Management Sciences, 2013, vol. 3, issue 3, 372-383

Abstract: In this paper we involved a study of structural convergence between Romanian and Euro Zone econ- omies from the view point of synchronization in responses to shocks. For this purpose we called a Bayesian framework in which we estimated a time-varying parameters VAR model. For the identifi- cation of structural shocks we started from semi-structural VAR in which we incorporated the stan- dard predictions of DSGE literature for a New-Keynesian model. For several purposes mentioned in the paper, we used two versions of data, replacing GDP and GDP deflator from a standard approach with consumption and its deflator. In this paper we were mainly interested for the response of inter- est variables to a monetary shock for policy purposes and in a second timeframe for the responses to other types of shocks.

Keywords: Business Cycles; consumption; sign restriction convergence; Minnesota Prior; VAR; Gibbs Sampling; Bayesian econometrics (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:hur:ijaraf:v:3:y:2013:i:3:p:372-383

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