Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2017.1305798
The relationship between gross domestic product and monetary variables in Romania. A Bayesian approach
Mihaela Simionescu
Jenica Popescu
Victoria Firescu
Sažetak
For establishing the suitable monetary policy it is essential to know
if there is a relevant relationship in practice between gross domestic
product (G.D.P.) variations and monetary variables. The purpose
of this study is to analyse the causality between output variation
and money aggregate in Romania for quarterly data in the period
2000:Q1–2015:Q2. Moreover the impact on G.D.P. growth of other
variables connected with money demand is assessed using Bayesian
techniques. The results indicated a bidirectional relationship between
G.D.P. variations and rate of real money demand in the mentioned
period. The Granger causality test combined with stochastic search
variable selection indicated that active interest rate and discount
rata mostly explained G.D.P. variations. According to results based
on Bayesian regime-switching models, contrary to expectations, the
interest rate increases continued to generate higher output variations,
the consumption being the engine of economic growth in Romania.
In periods of economic recession, the lower interest rate stimulated
the recovery of the economy.
Ključne riječi
G.D.P.; Gibbs sampling algorithm; posterior mean; Bayesian model; regimeswitching model
Hrčak ID:
180830
URI
Datum izdavanja:
1.12.2017.
Posjeta: 989 *