VAR-ing Monetary Policy in Poland

Wojciech Maliszewski

No 188, CASE Network Studies and Analyses from CASE-Center for Social and Economic Research

Abstract: The paper makes an attempt to estimate the effects of monetary policy shocks on the economy. We estimate four variables VAR system with industrial production, CPI, money market rate and exchange rate. Two policy indicators: money market interest rate and exchange rate are assumed to be contemporaneously influenced by monetary policy shocks. The identification of the shocks is obtained by assigning weights to these two variables in the short run monetary condition index. The response functions generated by the small VAR system have reasonable shapes and economic interpretations: monetary policy shock seems to affect inflation and output relatively quickly. Granger causality tests reveals that although money market rate has limited predictive power in forecasting industrial production and CPI, the predictive power of exchange rate is very significant for the CPI. Decomposition of variance of the forecasted variables is consistent with these results: monetary policy shocks have significant contribution to the forecast variance of CPI.

Keywords: Monetary Policy; Poland; VAR (search for similar items in EconPapers)
Pages: 24 Pages
Date: 1999
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
https://case-research.eu/upload/publikacja_plik/SA188.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sec:cnstan:0188

Access Statistics for this paper

More papers in CASE Network Studies and Analyses from CASE-Center for Social and Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by Marta Kowerko ().