Abstract:

The main object of the research is to analyze and identify the behavior of the macroeconomic data, such as: GDP, consumption, investment and trade balance. Given the vulnerabilities at the beginning and during the recent global economic and financial crisis, there is an increased interest to identify the models that can explain the main features of the macroeconomic data. Moreover, due to the importance of the uncertainty in modelling the monetary policy and to the increasing attention that central banks should pay to the anticipation of the future macroeconomic conditions, another objective of the research is to identify the significant shocks that influence the macroeconomic environment, such as: preference shocks, country-premium shocks and productivity shock.