Modelling Inflation Using Markov Switching Models : Case of Poland, 1992-2005

• Autorzy: Piotr Białowolski , Piotr Zwiernik , Dawid Żochowski
• Języki publikacji: FR

Abstrakty

EN

We investigate inflation in Poland in the period of economic transition by examining the potential application of Markov Switching Models to model the inflation generating process in Poland. The time horizon of analysis was limited to the period between March 1992 and October 2005 defined as the process of disinflation, i.e. the process of continued decrease in inflation rates following the economic transition period in early 1990s which was accompanied by a high level of inflation. According to the Ball-Friedman hypothesis, variation of inflation during periods of high inflation can be unstable. Indeed, the results show that non-linear models significantly improve the description of inflation generating process in Poland. Apart from univariate Markov Models, we also use a model that incorporates inflation expectations measured by Future Inflation Indicator (FII). We find that the model, where lagged values of FII are included as exogenous variables is significantly better in modelling inflation than simple univariate Markov Model. (original abstract)

Słowa kluczowe

EN

Information indicator; Inflation rates; Markov models; Political and systemic transformations

PL

Wskaźnik informacyjny; Stopa inflacji; Modele Markowa; Przekształcenia ustrojowo-systemowe

• Czasopismo: Prace i Materiały Instytutu Rozwoju Gospodarczego / Szkoła Główna Handlowa
• Rocznik: 2011
• Numer: nr 86 Business Surveys, Business Cycles. Polish Contribution to the 30th CIRET Conference
• Strony: 185--199

Twórcy

autor

Piotr Białowolski

• Warsaw School of Economics, Poland

autor

Piotr Zwiernik

autor

Dawid Żochowski

• Warsaw School of Economics, Poland

Bibliografia

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