Monetary Policy Transmission Mechanism in Romania - a Bayesian VAR Approach

Authors

  • Andreea Roşoiu The Bucharest University of Economic Studies
  • Iulia Roşoiu The Bucharest University of Economic Studies

Keywords:

Bayesian VAR approach, Gibbs Sampler, monetary policy, Monte Carlo integration, Romania

Abstract

The transmission of monetary policy to the economy is a subject of major importance for central banks and without a good knowledge of it, central banks cannot achieve the goal of high and sustainable economic growth in the long run. For this reason, an analysis of the monetary policy transmission mechanism in Romania is undergone, by using Bayesian VAR approach with multiple types of priors, over the period 1998Q1-2012Q3. Based on the priors used, both analytical and Gibbs sampler results are obtained. The shape of the impulse responses functions vary depending on the type of prior being used and even though the response to shocks is not high, they do not exhibit puzzles and reflect the high volatility given by the current economic crisis.

Author Biographies

Andreea Roşoiu, The Bucharest University of Economic Studies

Faculty of Finance, Insurance, Banks and Stock Exchanges

Iulia Roşoiu, The Bucharest University of Economic Studies

Faculty of Finance, Insurance, Banks and Stock Exchanges

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Published

2014-02-01

How to Cite

Roşoiu, A., & Roşoiu, I. (2014). Monetary Policy Transmission Mechanism in Romania - a Bayesian VAR Approach. International Journal of Economic Practices and Theories, 4(2), 199-205. Retrieved from http://ijept.eu/index.php/ijept/article/view/Monetary_Policy_Transmission_Mechanism_in_Romania_a_Bayesian_V

Issue

Vol. 4 No. 2 (2014): Special issue on Marketing and Business Development

Section

Articles

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