In this study we test the dynamic interaction between private sector wages and public sector wages in Romania, for the timeframe 2000-2011, using monthly data. The results show that private sector wages have a leadership role in relation to the public sector. We also verified the existence of indirect links between the wages in the two sectors through other variables such as labor productivity, consumer price index, size of the public sector and public sector spending. Evidence show that there are no indirect effects of this type. First, state sector wages are closely related to the size of public sector and to the public sector spending, variables which do not interact with private sector wages. Second, we found that private sector wages are strongly related to the consumer price index and labor productivity, variables which do not affect the wage evolution in the public sector.