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On asymmetric effects in a monetary policy rule. The case of Poland

Anna Sznajderska ()

No 125, NBP Working Papers from Narodowy Bank Polski, Economic Research Department

Abstract: Asymmetric effects in a monetary policy rule could appear due to asymmetric preferences of the central bank or/and due to nonlinearities in the economic system. It might be suspected that monetary authorities are more aggressive to the inflation rate when it is above its target level than when it is below. It also seems probable that monetary authorities have different preferences and react more strongly when the level of economic activity is low than when it is high. 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 the nonlinearities in the Phillips curve. Threshold models are applied and two cases of unknown and known threshold value are investigated.

Keywords: nonlinear Taylor rule; nonlinear Phillips curve; asymmetries; threshold models (search for similar items in EconPapers)
JEL-codes: E52 E58 E30 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac, nep-mon and nep-tra
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpmis:125

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