PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
Czasopismo
2018 | nr 3 | 191--216
Tytuł artykułu

How Far Does Monetary Policy Reach? : Evidence from Factor-Augmented Vector Autoregressions for Poland

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
This study applies factor-augmented vector autoregressions to identify the effects of monetary policy shocks in a small, open, emerging market economy. It uses data on 132 variables for Poland, 'compressing' them to either structural (having an economic interpretation) or economically uninterpretable factors, also known as diffusion indices. The tightening of monetary policy is found to have broad, contractionary effects. Among other things, production, employment, job offers, prices, loans and stock prices decrease, unemployment and non-performing loans increase. As one of extensions, the effects of changes in global and foreign factors are investigated. Domestic prices are found to respond to global prices of commodities and foreign prices. Domestic production and interest rates - to their foreign counterparts. (original abstract)
Czasopismo
Rocznik
Numer
Strony
191--216
Opis fizyczny
Twórcy
  • Warsaw School of Economics, Poland
Bibliografia
  • Amir-Ahmadi P., Uhlig H. (2015), Sign restrictions in Bayesian FaVARs with an application to monetary policy shocks , NBER Working Papers, 21738, National Bureau of Economic Research.
  • Andrle M., Garcia-Saltos R., Ho G. (2013), The role of domestic and external shocks in Poland. Results from an agnostic estimation procedure, IMF Working Papers, 13/220, International Monetary Fund.
  • Anzuini A., Levy A. (2007), Monetary policy shocks in the new EU members: a VAR approach, Applied Economics , 39(9), 1147-1161.
  • Arratibel O., Michaelis H. (2013), The impact of monetary policy and exchange rate shocks in Poland: evidence from a time-varying VAR , Munich Discussion Papers in Economics, 2013-36, Department of Economics, University of Munich.
  • Auer R., Borio C., Filardo A. (2017), The globalisation of inflation: the growing importance of global value chains , BIS Working Paper, 602, Bank for International Settlements.
  • Balabanova Z., Brüggemann R. (2017), External information and monetary policy transmission in new EU member states: results from FAVAR models, Macroeconomic Dynamics , 21(2), 311-335.
  • Barakchian S.M., Crowe C. (2013), Monetary policy matters: evidence from new shocks data, Journal of Monetary Economics , 60(8), 950-966.
  • Baranowski P., Leszczyńska A., Szafrański G. (2010), Krótkookresowe prognozowanie in flacji z użyciem modeli czynnikowych, Bank i Kredyt , 41(4), 23-44.
  • Belviso F., Milani F. (2006), Structural factor-augmented VARs (SFAVARs) and the effects of monetary policy, The B.E. Journal of Macroeconomics , 6(3), 1-46.
  • Benkovskis K., Bessonovs A., Feldkircher M., Wörz J. (2011), The transmission of euro area monetary shocks to the Czech Republic, Poland and Hungary: evidence from a FAVAR model, Focus on European Economic Integration , (3), 8-36.
  • Bernanke B. (2004), Gradualism , Speech 540, Board of Governors of the Federal Reserve System, https://www.federalreserve.gov/boarddocs/speeches/2004/200405202/default.htm.
  • Bernanke B., Boivin J. (2003), Monetary policy in a data-rich environment, Journal of Monetary Economics , 50(3), 525-546.
  • Bernanke B.S., Boivin J., Eliasz P. (2005), Measuring the effects of monetary policy: a Factor-Augmented Vector Autoregressive (FAVAR) approach, The Quarterly Journal of Economics , 120(1), 387-422.
  • Bishop J., Tulip P. (2017), Anticipatory monetary policy and the 'price puzzle' , RBA Research Discussion Papers, 2017-02, Reserve Bank of Australia.
  • Bogusz D., Górajski M., Ulrichs M. (2015), Optymalne strategie polityki pieniężnej dla Polski uwzględniające wrażliwość banku na ryzyko nieosiągnięcia założonego celu , Materiały i Studia, 317, Narodowy Bank Polski.
  • Borio C., Hofmann B. (2017), Is monetary policy less effective when interest rates are persistently low? , BIS Working Paper, 628, Bank for International Settlements.
  • Brzoza-Brzezina M., Kotłowski J. (2009), Bezwzględna stopa inflacji w gospodarce polskiej, Gospodarka Narodowa , 9(217), 1-21.
  • Bystrov V. (2014), A factor-augmented model of markup on mortgage loans in Poland, Bank i Kredyt, 45(6), 491-512.
  • Canova F. (2007), Methods for Applied Macroeconomic Research , Princeton University Press.
  • Creel J., Levasseur S. (2007), Monetary policy transmission mechanisms in the CEECs: How important are the differences with the euro area?, The IUP Journal of Monetary Economics, 5(1), 30 -59.
  • Darvas Z. (2013), Monetary transmission in three central European economies: evidence from time- -varying coefficient vector autoregressions, Empirica , 40(2), 363-390.
  • DeJong D., Nankervis J., Savin N., Whiteman C. (1992), The power problems of unit root tests in time series with autoregressive errors, Journal of Econometrics , 5(1-3), 323-343.
  • Demchuk O., Łyziak T., Przystupa J., Sznajderska A., Wróbel E. (2012), Monetary policy transmission mechanism in Poland. What do we know in 2011? , NBP Working Paper, 116, Narodowy Bank Polski.
  • Dornbusch R. (1976), Expectations and exchange rate dynamics, Journal of Political Economy , 84, 1161-1176.
  • Dybka P., Olesiński B., Pękała P., Torój A. (2017), To SVAR or to SVEC? On the transmission of capital buffer shocks to the real economy, Bank i Kredyt , 48(2), 119-148.
  • Enders W. (2015), Applied Econometric Time Series , John Wiley & Sons.
  • Gajewski P. (2015), Regionalne zróżnicowanie efektów impulsu polityki pieniężnej w Polsce, Gospodarka Narodowa , 4, 27-47.
  • Galí J. (2015), Monetary Policy, Inflation, and the Business Cycle: an Introduction to the New Keynesian Framework and Its Applications , Princeton University Press.
  • Gavin W., Kemme D. (2009), Using extraneous information to analyze monetary policy in transition economies, Journal of International Money and Finance , 28(5), 868-879.
  • Goczek L., Mycielska D. (2013), Gotowi na euro? Badanie empiryczne faktycznej swobody polskiej polityki pieniężnej, Bank i Kredyt , 45(3), 267-290.
  • Goczek L., Partyka K. (2016), Reakcja polityki pieniężnej na wydarzenia giełdowe, Gospodarka Narodowa , 5, 27-50.
  • Górajski M., Ulrichs M. (2016), Optymalne wrażliwe na ryzyko strategie polityki pieniężnej dla Polski, Bank i Kredyt , 47(1), 1-32.
  • Gupta R., Jurgilas M., Kabundi A. (2010), The effect of monetary policy on real house price growth in South Africa: a factor-augmented vector autoregression (FAVAR) approach, Economic Modelling , 2 7, 31 5 - 3 2 3 .
  • Gürkaynak R., Sack B., Swanson E. (2005), Do actions speak louder than words? The response of asset prices to monetary policy actions and statements, International Journal of Central Banking , 1(1), 55-93.
  • Hałka A., Kotłowski J. (2013), Does domestic output gap matter for inflation in a small open economy? , NBP Working Paper, 152, Narodowy Bank Polski.
  • Hałka A., Kotłowski J. (2016), Global or domestic? Which shocks drive inflation in European small open economies? , NBP Working Paper, 232, Narodowy Bank Polski.
  • Hałka A., Szafranek K. (2016), Whose in flation is it anyway? In flation spillovers between the euro area and small open economies, Eastern European Economics , 54(2), 109-132.
  • Hałka A., Szafrański G. (2015), What common factors are driving inflation in CEE countries? , NBP Working Paper, 225, Narodowy Bank Polski.
  • Haug A., Jędrzejowicz T., Sznajderska A. (2013), Combining monetary and fiscal policy in an SVAR for a small open economy , NBP Working Paper, 168, Narodowy Bank Polski.
  • Jarociński M. (2010), Responses to monetary policy shocks in the east and the west of Europe: a comparison, Journal of Applied Econometrics , 25(5), 833-868.
  • Kapuściński M. (2017), Monetary policy and financial asset prices in Poland, Bank i Kredyt , 48(3), 263-294.
  • Kapuściński M., Kocięcki A., Kowalczyk H., Łyziak T., Przystupa J., Stanisławska E., Sznajderska A., Wróbel E. (2016), Monetary policy transmission mechanism in Poland. What do we know in 2015? , NBP Working Paper, 249, Narodowy Bank Polski.
  • Kapuściński M., Łyziak T., Przystupa J., Stanisławska E., Sznajderska A., Wróbel E. (2014), Monetary policy transmission mechanism in Poland. What do we know in 2013? , NBP Working Paper, 180, Narodowy Bank Polski.
  • Leszkiewicz-Kędzior K. (2015), Wpływ cen paliw na procesy inflacyjne w polskiej gospodarce, Bank i Kredyt , 46(4), 357-392.
  • Liu P., Mumtaz H., Theophilopoulou A. (2014), The transmission of international shocks to the UK. Estimates based on a time-varying factor augmented VAR, Journal of International Money and Finance , 46(C), 1-15.
  • Łyziak T., Przystupa J., Stanisławska E., Wróbel E. (2011), Monetary policy transmission disturbances during the financial crisis, Eastern European Economics , 49(5), 75-96.
  • Łyziak T., Przystupa J., Wróbel E. (2008), Monetary policy transmission in Poland: a study of the importance of interest rate and credit channels , SUERF - The European Money and Finance Forum.
  • Miranda-Agrippino S., Ricco G. (2017), The transmission of monetary policy shocks , Bank of England Working Papers, 657.
  • Ouliaris S., Pagan A., Restrepo J. (2016), Quantitative macroeconomic modeling with structural vector autoregressions - an EViews implementation , IHS Global.
  • Pawłowska M., Wróbel E. (2002), Monetary transmission in Poland: some evidence on interest rate and credit channels , NBP Working Paper, 24, Narodowy Bank Polski.
  • Peersman G., Smets F. (2001), The monetary transmission mechanism in the euro area: more evidence from VAR analysis , Working Paper Series, 0091, European Central Bank.
  • Postek Ł. (2011), Nieliniowy model mechanizmu transmisji monetarnej w Polsce w latach 1999-2009 . Podejście empiryczne , Materiały i Studia, 253, Narodowy Bank Polski.
  • Romer C., Romer D. (2004), A new measure of monetary shocks: derivation and implications, American Economic Review , 94(4), 1055-1084.
  • Rosoiu A. (2015a), Monetary policy and factor-augmented VAR model, Procedia Economics and Finance , 32, 400-407.
  • Rosoiu A. (2015b), Monetary policy and time varying parameter vector autoregression model, Procedia Economics and Finance, 32, 496-502.
  • Rudebusch G. (1998), Do measures of monetary policy in a VAR make sense?, International Economic Review , 39(4), 907-931.
  • Serwa D., Wdowiński P. (2016), Macro-financial linkages in the Polish economy: combined impulse-response functions in SVAR models , NBP Working Paper, 246, Narodowy Bank Polski.
  • Sims C. (1992), Interpreting the macroeconomic time series facts: the effects of monetary policy, European Economic Review , 36, 975-1000.
  • Socha R. (2014), Asymetria relacji cen paliw płynnych w Polsce i cen ropy naftowej, Gospodarka Narodowa , 5, 133-160.
  • Stock J., Watson M. (2002), Macroeconomic forecasting using diffusion indexes, Journal of Business & Economic Statistics , 20(2), 147-162.
  • Szafranek K. (2017a), Bagged artificial neural networks in forecasting inflation: an extensive comparison with current modelling frameworks , NBP Working Paper, 262, Narodowy Bank Polski.
  • Szafranek K. (2017b), Flattening of the New Keynesian Phillips curve: evidence for an emerging, small open economy, Economic Modelling , 63, 334-348.
  • Szafranek K., Hałka A. (2017), Determinants of low inflation in an emerging, small open economy. A comparison of aggregated and disaggregated approaches , NBP Working Paper, 267, Narodowy Bank Polski.
  • Szafrański G. (2011), Krótkoterminowe prognozy polskiej inflacji w oparciu o wskaźniki wyprzedzające , Materiały i Studia, 263, Narodowy Bank Polski.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171524113

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.