Theoretical and Applied Economics
No. 4 / 2024 (641), Winter
Assessing the impact of energy and macroeconomic shocks on the Romanian economy: a Bayesian VAR approach
Bucharest University of Economic Studies, Romania
Andrei Costin NEACȘU
Bucharest University of Economic Studies, Romania
Georgiana PLEȘA
Bucharest University of Economic Studies, Romania
Georgian Dănuț MIHAI
Bucharest University of Economic Studies, Romania
Abstract. This paper investigates the impact of both energy prices and macroeconomic variables on the Romanian economy using a Vector Autoregressive model (VAR), estimated using Bayesian inferences. Romania, a small emerging economy, has suffered considerable shocks in recent years, including the outbreak of the pandemic crisis, energy prices liberalization and the ongoing war in Ukraine. These shocks have increased the risk premium (through the exchange rate transmission channel), causing macroeconomic instability. The analysis investigates the transmission mechanism of both demand and supply shocks, with a focus on energy prices (oil and gas), inflation, economic growth, interest rate, real exchange rate and a sentiment indicator. Two separate models (including the oil price and, respectively, the gas price) show different dynamics in the responses of the Romanian macroeconomic variables.
Contents
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