Empirical Model of the Exchange Rate Policy in Poland 1995-2002

Robert Kelm ()
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Robert Kelm: University of Lodz, Poland

Chapter 10 in Acta Universitatis Lodziensis. Folia Oeconomica nr 177/2004 - Forecasting and Decision-Making in Financial Markets, 2004, vol. 177, pp 153-167 from University of Lodz

Abstract: The paper concerns the structural vector equilibrium correction model linking money supply, producers' prices, foreign reserves and exchange rate in Poland during transition period. Due to the shortage of the data estimates obtained by means of Johansen procedure lead to uninterpretable profiles of impulse responses. Much more interesting conclusions can be drawn from a system based on a priori economic-theory long-run assumptions, i.e. Fisher equation, LM function and extended PPP equation. Empirical results obtained within "multidimensional" Engle-Granger procedure indicate restrictive anti-inflationary policy of the Polish central bank during transition.

Keywords: ERM2; Exchange rates modelling; Cointegration analysis; Simulation (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2004:n:177:ch:10:foe

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