The Role of Domestic and External Shocks in Poland: Results from an Agnostic Estimation Procedure

23 Pages Posted: 23 Nov 2013

See all articles by Michal Andrle

Michal Andrle

International Monetary Fund (IMF)

Roberto Garcia-Saltos

International Monetary Fund (IMF)

Giang Ho

International Monetary Fund (IMF)

Date Written: October 2013

Abstract

This paper discusses interlinkages between Poland and the euro zone using a simple and agnostic econometric approach. Specifically, we estimate a trend-cycle VAR model using data for real and nominal variables, imposing powerful but uncontroversial assumptions that allow us to identify how external factors affect the evolution of business cycles in Poland in the period 1999-2012. Our results suggest that developments in the euro zone can explain about 50 percent of poland’s output and interest rate business cycle variance and about 25 percent of the variance of inflation.

Keywords: External shocks, Poland, Business cycles, Inflation, Interest rates, Exchange rates, Economic models, euro zone, trend-cycle VAR, monetary policy, inflation target, price level, inflation targeting regime, monetary policy transmission mechanism, monetary economics, price inflation, monetary authority, nominal interest rate, monetary fund, national bank, monetary policy regime, inflation rate, price stability, nominal variables, monetary transmission, effects of inflation, real interest rate, monetary transmission mechanism, central bank, measure of inflation, real variables, monetary policy decisions, inflation deviation

JEL Classification: E00, E32, E37

Suggested Citation

Andrle, Michal and Garcia-Saltos, Roberto and Ho, Giang, The Role of Domestic and External Shocks in Poland: Results from an Agnostic Estimation Procedure (October 2013). IMF Working Paper No. 13/220, Available at SSRN: https://ssrn.com/abstract=2358491

Michal Andrle (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Roberto Garcia-Saltos

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

Giang Ho

International Monetary Fund (IMF)

700 19th Street, N.W.
Washington, DC 20431
United States

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