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

  • Alexie Alupoaiei

    ()

    (Bucharest Academy of Economic Studies)

  • Ana-Maria Sandica

    ()

    (Bucharest Academy of Economic Studies)

Registered author(s):

    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.

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    Article provided by Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences in its journal International Journal of Academic Research in Accounting, Finance and Management Sciences.

    Volume (Year): 3 (2013)
    Issue (Month): 3 (July)
    Pages: 372-383

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    Handle: RePEc:hur:ijaraf:v:3:y:2013:i:3:p:372-383
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    1. Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
    2. Renee Fry & Adrian Pagan, 2007. "Some Issues in Using Sign Restrictions for Identifying Structural VARs," NCER Working Paper Series 14, National Centre for Econometric Research.
    3. Banbura, Marta & Giannone, Domenico & Reichlin, Lucrezia, 2007. "Bayesian VARs with Large Panels," CEPR Discussion Papers 6326, C.E.P.R. Discussion Papers.
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