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

  • Caraiani, Petre


    (Institute for Economic Forecasting, Romanian Academy, Bucharest)

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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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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  1. 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.
  2. Thomas Lubik & Frank Schorfheide, 2006. "A Bayesian Look at the New Open Economy Macroeconomics," NBER Chapters, in: NBER Macroeconomics Annual 2005, Volume 20, pages 313-382 National Bureau of Economic Research, Inc.
  3. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias, 2008. "Evaluating an estimated new Keynesian small open economy model," Journal of Economic Dynamics and Control, Elsevier, vol. 32(8), pages 2690-2721, August.
  4. Buncic, Daniel & Melecky, Martin, 2007. "An estimated New Keynesian policy model for Australia," MPRA Paper 4138, University Library of Munich, Germany.
  5. Jordi Galí & Tommaso Monacelli, 2003. "Monetary Policy and Exchange Rate Volatility in a Small Open Economy," Working Papers 11, Barcelona Graduate School of Economics.
  6. Obstfeld, Maurice & Rogoff, Kenneth, 1999. "New Directions for Stochastic Open Economy Models," Center for International and Development Economics Research, Working Paper Series qt5pf7g8sh, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
  7. Richard Clarida & Jordi Gali & Mark Gertler, 1999. "The Science of Monetary Policy: A New Keynesian Perspective," NBER Working Papers 7147, National Bureau of Economic Research, Inc.
  8. 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.
  9. Obstfeld, Maurice & Rogoff, Kenneth, 1995. "Exchange Rate Dynamics Redux," Journal of Political Economy, University of Chicago Press, vol. 103(3), pages 624-60, June.
  10. 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.
  11. 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.
  12. Pau Rabanal & Juan Francisco Rubio-Ramirez, 2003. "Comparing New Keynesian models in the Euro area: a Bayesian approach," FRB Atlanta Working Paper No. 2003-30, Federal Reserve Bank of Atlanta.
  13. Lubik, Thomas A. & Schorfheide, Frank, 2007. "Do central banks respond to exchange rate movements? A structural investigation," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1069-1087, May.
  14. Monacelli, Tommaso, 2003. "Monetary policy in a low pass-through environment," Working Paper Series 0227, European Central Bank.
  15. 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.
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