Sztywność płac nominalnych w modelach DSGE małej skali. Analiza empiryczna dla Polski

• Autorzy: Zbigniew Kuchta

Warianty tytułu

Nominal wage rigidities in small-scale DSGE models: an empirical analysis for the Polish economy

• Języki publikacji: PL

Abstrakty

Celem pracy jest empiryczna weryfikacja założenia o istnieniu sztywności płac nominalnych w modelach DSGE, estymowanych dla gospodarki polskiej. Weryfikacja ta została dokonana dzięki bayesowskiemu porównaniu modelu lepkich cen z modelem lepkich cen i płac, a także z ich rozszerzeniami na przypadek indeksacji. Podstawę porównania stanowiły kwartalne dane z lat 1995-2011, na podstawie których oszacowano każdy z analizowanych modeli. Następnie, dla każdego z nich obliczono gęstość brzegową oraz odniesiono je do siebie uzyskując czynnik Bayesa. Uzyskane wyniki dowodzą, że model lepkich płac i cen charakteryzuje się najlepszym dopasowaniem do analizowanej próby. Założenie indeksacji nie wpływało istotnie na dopasowanie modelu do danych zarówno w przypadku modelu o doskonale elastycznych, jak i lepkich płacach nominalnych. Ponadto porównanie funkcji reakcji na impuls pokazało, że model o lepkich cenach i płacach nominalnych implikuje inne, niż model lepkich cen, funkcje reakcji na impuls. Jednocześnie otrzymane oszacowania parametrów były w znacznym stopniu determinowane przez założenie sztywności nominalnej płac. (abstrakt oryginalny)

EN

The paper examines the empirical importance of the assumption of "sticky wages" in small-scale dynamic stochastic general equilibrium (DSGE) models estimated for the Polish economy. The evaluation is based on a Bayesian comparison between the baseline "sticky price" model and a model of price and wage rigidities. The comparison includes extensions of these models to account for the case of price and wage indexation. The analysis consists of two steps. In the first step, each model is estimated using quarterly data for the Polish economy from 1995 to 2011. In the second step, the "marginal data density" is calculated for each model and so-called Bayes factors are obtained. The results suggest that the best fit to the sample is observed in the case of the model with wage and price rigidities. Moreover, price and wage indexation mechanisms seem to have an insignificant impact on how the model fits the data, the author says. A comparison of impulse response functions shows that there are significant differences between the baseline model and the model with sticky prices and wages. Moreover, the estimates of structural parameters were strongly affected by the introduction of wage rigidities, the author says. (original abstract)

Słowa kluczowe

PL

Model dynamicznej stochastycznej równowagi ogólnej; Sztywność płac; Płace nominalne; Płace; Ceny; Równowaga ogólna; Dynamika cen; Modele bayesowskie; Indeksacja płac; Obliczeniowy model równowagi ogólnej; Czynnik Bayesa

EN

Dynamic Stochastic General Equilibrium (DSGE); Wage rigidity; Nominal wages; Wages; Prices; General equilibrium; Price dynamics; Bayesian models; Wage indexation; Computable General Equilibrium model (CGE); Bayes factor

• Czasopismo: Gospodarka Narodowa
• Rocznik: 2014
• Numer: nr 6
• Strony: 31--56

Twórcy

autor

Zbigniew Kuchta

• Uniwersytet Łódzki

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