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Asymmetric effects in the Polish monetary policy rule

Anna Sznajderska

Economic Modelling, 2014, vol. 36, issue C, 547-556

Abstract: In this paper we investigate whether the reaction function of the National Bank of Poland (NBP) is asymmetric according to the level of inflation gap and the level of output gap. Moreover, we test whether these asymmetries might possibly stem from nonlinearities in the Phillips curve. Threshold models are applied and two cases of unknown and known threshold values are investigated. Our results show that the Polish central bank responds more strongly to the level inflation when the level of inflation is relatively high. We find very weak evidence that the level of inflation reacts more strongly to the output gap when the output gap is relatively high. Thus, the asymmetries in the monetary policy rule seem to indicate asymmetric preferences of the central bank.

Keywords: Nonlinear Taylor rule; Nonlinear Phillips curve; Asymmetries; Threshold models (search for similar items in EconPapers)
JEL-codes: E30 E52 E58 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:36:y:2014:i:c:p:547-556

DOI: 10.1016/j.econmod.2013.09.045

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