Zastosowanie procedury Johansena do analizy sprzężenia inflacyjnego w gospodarce polskiej

• Autorzy: Michał Majsterek

Warianty tytułu

The Application of the Johansen Procedure in an Analysis of the Inflation Feedback in Polish Economy

• Języki publikacji: PL

Abstrakty

EN

The prime merits of the Johansen approach in contrast to the traditional two-level Engel-Granger procedure are: the possibility of estimating the whole co-integrating space and not a single random parameter vector, lesser sensitivity to the so-called small sample bias, and more extensive interpretation possibilities. The Johansen procedure was applied in an analysis of the inflation feedback in the Polish economy during a transformation period (from January 1990 to February 1995). Estimation made it possible to obtain a co-integrative space composed of four vectors. The estimated weights, which are elements of the adaptation matrix (informing about short-term relations between variables), permitted a delineation of long-term dependencies. The author confirms the existence of an inflation loop in the Polish economy, while the determination of long-term multipliers made it feasible to "split" the impact of prime variables, creating inflation feedback, into initial impulses produced by variables which in structural models are treated as exogenous. Furthermore, the study proves that the mechanism described with the assistance of the Phillips curve acts only during a brief period of time. (original abstract)

Słowa kluczowe

PL

Kointegracja; Modele wielorównaniowe; Inflacja; Zmienna objaśniająca

EN

Cointegration; Multi-equation models; Inflation; Exogenous variable

• Czasopismo: Przegląd Statystyczny
• Rocznik: 1998
• Tom: 45
• Numer: z. 1
• Strony: 113--130

Twórcy

autor

Michał Majsterek

• Uniwersytet Łódzki

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