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The Impact of Monetaru Policy on the Romanian Economy

Author

Listed:
  • Dedu, Vasile

    () (Bucharest Academy of Economic Studies)

  • Stoica, Tiberiu

    () (Bucharest Academy of Economic Studies)

Abstract

Most of the research papers revealing the monetary policy transmission mechanism in Romania focused on VAR, Structural VAR or Dynamic Stochastic General Equilibrium (DSGE) models. Our paper brings new empirical evidence regarding the impact of NBR’s monetary policy shocks on the real economy, as we use a factor-augmented vector autoregression (FAVAR). Previous research papers generally showed the impact of a monetary policy shock on the GDP, inflation, the money supply and the exchange rate. Our paper also indicates the effect of a monetary policy shock on other macroeconomic variables regarding different sectors of the economy, labor market and the foreign trade sector.

Suggested Citation

  • Dedu, Vasile & Stoica, Tiberiu, 2014. "The Impact of Monetaru Policy on the Romanian Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 71-86, June.
  • Handle: RePEc:rjr:romjef:v::y:2014:i:2:p:71-86
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    File URL: http://www.ipe.ro/rjef/rjef2_14/rjef2_2014p71-86.pdf
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    References listed on IDEAS

    as
    1. Banerjee, Anindya & Marcellino, Massimiliano, 2008. "Factor-augmented Error Correction Models," CEPR Discussion Papers 6707, C.E.P.R. Discussion Papers.
    2. Pelinescu, Elena, 2012. "Transmission Mechanism of Monetary Policy in Romania. Insights into the Economic Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 5-21, September.
    3. Ahmadi, Pooyan Amir & Ritschl, Albrecht, 2009. "Depression Econometrics: A FAVAR Model of Monetary Policy During the Great Depression," CEPR Discussion Papers 7546, C.E.P.R. Discussion Papers.
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    5. Caraiani, Petre, 2010. "Forecasting Romanian GDP Using a BVAR Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 76-87, December.
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    12. Rudebusch, Glenn D, 1998. "Do Measures of Monetary Policy in a VAR Make Sense? A Reply," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 943-948, November.
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    15. Carlo Migliardo, 2010. "Monetary Policy Transmission in Italy: A BVAR Analysis with Sign Restriction," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 4(2), pages 139-167, June.
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    Citations

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    Cited by:

    1. Bogdan IFTIMIE & Simona-Mihaela CHIRU, 2016. "Macroeconomic Performances Under Inflation Targeting. The Case Of Romania," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(3), pages 193-209.

    More about this item

    Keywords

    monetary policy; Bayesian estimation; FAVAR.;

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General

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