A Model-Based Analysis of Spillovers: The Case of Poland and the Euro Area

Michal Andrle, Roberto Garcia-Saltos and Giang Ho

No 2014/186, IMF Working Papers from International Monetary Fund

Abstract: This paper studies economic and financial spillovers from the euro area to Poland in a two-country semi-structural model. The model incorporates various channels of macrofinancial linkages and cross-border spillovers. We parameterize the model through an extensive calibration process, and provide a wide range of model properties and evaluation exercises. Simulation results suggest a prominent role of foreign demand shocks (euro area and global) in driving Poland’s output, inflation and interest rate dynamics, particularly in recent years. Our model also has the capability for medium-term conditional forecasting and policy analysis.

Keywords: WP; demand shock; core inflation; monetary policy; interest rate; Poland; Euro area; semi-structural model; spillovers; output gap; interbank market premium; cost-push shock; inflation dynamics; nominal rate; Euro area economy; inflation process; cost-push shock moves output; inflation variance; steady-state inflation; inflation decomposition; Inflation; Real exchange rates; Real interest rates; Exchange rates; Inflation targeting; Global; Europe (search for similar items in EconPapers)
Pages: 50
Date: 2014-10-17
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Citations: View citations in EconPapers (5)

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