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Var Analysis Of The Transmission Mechanism Of Monetary Policy In Romania

Author

Listed:
  • Zina CIORAN

    (Faculty of Economics and Business Administration, "Alexandru Ioan Cuza" University, Iasi, Romania)

Abstract

The purpose of this article is to evaluate the efficiency of the monetary policy impulses transmission on inflation and unemployment in Romania, through the interest rate channel and to show the role played by interest rate in the transmission mechanism of monetary policy impulses. I have also revised a variable’s response to the shocks of another variable VAR analysis. VAR analysis on Romania during 2005 - 2013 shows that an interest rate shock can explain the movement in inflation and unemployment rates. We find that there are significant changes in the interest rate based on the inflation rate, and vice versa, due to the relationship of co-integration between variables.

Suggested Citation

  • Zina CIORAN, 2015. "Var Analysis Of The Transmission Mechanism Of Monetary Policy In Romania," SEA - Practical Application of Science, Romanian Foundation for Business Intelligence, Editorial Department, issue 7, pages 153-164, April.
    • Handle: RePEc:cmj:seapas:y:2015:i:7:p:153-164
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    References listed on IDEAS

    as
    1. Minea, Alexandru & Rault, Christophe, 2011. "External monetary shocks and monetary integration: Evidence from the Bulgarian currency board," Economic Modelling, Elsevier, vol. 28(5), pages 2271-2281, September.
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    More about this item

    Keywords

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    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search

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