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

Author(s): Ana-Maria SANDICA, Alexie ALUPOAIEI

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 identification of structural shocks we started from semi-structural VAR in which we incorporated the standard 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 interest variables to a monetary shock for policy purposes and in a second timeframe for the responses to other types of shocks.

Business Cycles, consumption, sign restriction convergence, Minnesota Prior, VAR, Gibbs Sampling, Bayesian econometrics

Full Text: PDF DOI: 10.6007/IJARAFMS/v3-i3/247     Pages: [372-383]