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An Analysis Of Domestic And External Shocks On Romanian Economy Using A Dsge Model

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Author Info
Caraiani, Petre () (Institute for Economic Forecasting, Romanian Academy, Bucharest)

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Abstract

In this paper, I study the impact of the domestic and external shocks on the Romanian economy. I use an open economy DSGE model and estimate it for the Romanian economy using Bayesian techniques. The impact of the domestic shocks is moderate but not persistent. The Euro Area demand and interest rate shocks have a moderate impact on the domestic output. The Euro Area supply and interest rate shocks have significant and persistent impacts on the domestic inflation. I also perform a long-run variance decomposition of the domestic variables.

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File URL: http://www.ipe.ro/rjef/rjef3_08/rjef3_08_6.pdf
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Publisher Info
Article provided by Institute for Economic Forecasting in its journal Romanian Journal for Economic Forecasting.

Volume (Year): 5 (2008)
Issue (Month): 3 (September)
Pages: 100-114
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Handle: RePEc:rjr:romjef:v:5:y:2008:i:3:p:100-114

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Related research
Keywords: DSGE models; small open economy; Romania; Euro Area; monetary policy.;

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Find related papers by JEL classification:
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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  1. Caraiani, Petre, 2007. "An Estimated New Keynesian Model for Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 4(4), pages 114-123, December. [Downloadable!]
  2. Clarida, Richard & Galí, Jordi & Gertler, Mark, 1999. "The Science of Monetary Policy: A New Keynesian Perspective," CEPR Discussion Papers 2139, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  3. Obstfeld, Maurice & Rogoff, Kenneth, 1995. "Exchange Rate Dynamics Redux," Journal of Political Economy, University of Chicago Press, vol. 103(3), pages 624-60, June. [Downloadable!] (restricted)
    Other versions:
  4. Thomas Lubik & Frank Schorfheide, 2003. "Do Central Banks Respond to Exchange Rate Movements? A Structural Investigation," Economics Working Paper Archive 505, The Johns Hopkins University,Department of Economics. [Downloadable!]
    Other versions:
  5. Pau Rabanal & Juan Francisco Rubio-Ramirez, 2003. "Comparing New Keynesian models in the Euro area: a Bayesian approach," Working Paper 2003-30, Federal Reserve Bank of Atlanta. [Downloadable!]
    Other versions:
  6. Pelinescu, Elena & Dospinescu, Andrei Silviu, 2005. "Impulse Analyses Of The Romanian Inflation," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 2(4), pages 5-24.
  7. Buncic, Daniel & Melecky, Martin, 2007. "An estimated New Keynesian policy model for Australia," MPRA Paper 4138, University Library of Munich, Germany. [Downloadable!]
    Other versions:
  8. Scutaru, Cornelia & Stanica, Cristian Nicolae, 2005. "Output Gap And Shocks Dynamics. The Case Of Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 2(4), pages 25-43.
  9. Obstfeld, Maurice & Rogoff, Kenneth, 2000. "New directions for stochastic open economy models," Journal of International Economics, Elsevier, vol. 50(1), pages 117-153, February. [Downloadable!] (restricted)
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  10. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias, 2007. "Evaluating An Estimated New Keynesian Small Open Economy Model," Working Paper Series 203, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
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  11. Rabanal, Pau & Rubio-Ramirez, Juan F., 2005. "Comparing New Keynesian models of the business cycle: A Bayesian approach," Journal of Monetary Economics, Elsevier, vol. 52(6), pages 1151-1166, September. [Downloadable!] (restricted)
  12. Albu, Lucian Liviu, 2001. "Evolution Of Inflation-Unemployment Relationship In The Perspective Of Romania’S Accession To Eu," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 5-23, December.
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