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

Michal Andrle, Roberto Garcia-Saltos and Giang Ho

No 2013/220, IMF Working Papers from International Monetary Fund

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: WP; inflation target; euro zone; open economy; interest rate; Poland; trend-cycle VAR; external shocks; euro zone economy; VAR model; modeling inflation deviation; inflation variable; transmission mechanism; headline consumer price inflation; euro zone variable; business-cycle fluctuation; inflation regime; price level; Inflation targeting; Inflation; Vector autoregression; Real exchange rates; Exchange rates; Eastern Europe (search for similar items in EconPapers)
Pages: 22
Date: 2013-10-29
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=41018 (application/pdf)

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:imf:imfwpa:2013/220

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Akshay Modi ().