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Assessing the impact of energy and macroeconomic shocks on the Romanian economy: a Bayesian VAR approach

Author

Listed:
  • Alexandru George NEACȘU

    (Bucharest University of Economic Studies, Romania)

  • Andrei Costin NEACȘU

    (Bucharest University of Economic Studies, Romania)

  • Georgiana PLEȘA

    (Bucharest University of Economic Studies, Romania)

  • Georgian Dănuț MIHAI

    (Bucharest University of Economic Studies, Romania)

Abstract

This paper investigates the impact of both energy prices and macroeconomic variables on the Romanian economy using a Vector Autoregressive model (VAR), estimated using Bayesian inferences. Romania, a small emerging economy, has suffered considerable shocks in recent years, including the outbreak of the pandemic crisis, energy prices liberalization and the ongoing war in Ukraine. These shocks have increased the risk premium (through the exchange rate transmission channel), causing macroeconomic instability. The analysis investigates the transmission mechanism of both demand and supply shocks, with a focus on energy prices (oil and gas), inflation, economic growth, interest rate, real exchange rate and a sentiment indicator. Two separate models (including the oil price and, respectively, the gas price) show different dynamics in the responses of the Romanian macroeconomic variables.

Suggested Citation

  • Alexandru George NEACȘU & Andrei Costin NEACȘU & Georgiana PLEȘA & Georgian Dănuț MIHAI, 2024. "Assessing the impact of energy and macroeconomic shocks on the Romanian economy: a Bayesian VAR approach," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(641), W), pages 109-118, Winter.
    • Handle: RePEc:agr:journl:v:xxxi:y:2024:i:4(641):p:109-118
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