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Changes in nominal rigidities in Poland - a regime switching DSGE perspective

Pawel Baranowski and Zbigniew Kuchta

No 5306955, Proceedings of International Academic Conferences from International Institute of Social and Economic Sciences

Abstract: We estimate a dynamic stochastic general equilibrium model that allows for regimes Markov switching (MS-DSGE). Existing MS-DSGE papers for the United States focus on changes in monetary policy or shocks volatility, contributing the debate on the Great Moderation and/or Volcker disinflation. However, Poland which here serves as an example of a transition country, faced a wider range of structural changes, including long disinflation, EU accession or tax changes. The model identifies high and low rigidity regimes,with the timing consistent with menu cost explanation of nominal rigidities. Estimated timing of the regimes captures the European Union accession and indirect tax changes. The Bayesian model comparison results suggest that model with switching in both analyzed rigidities is strongly favored by the data in comparison with switching only in prices or in wages. Moreover, we find significant evidence in support of independent Markov chains.

Keywords: nominal rigidities; Markov switching DSGE models; bayesian model comparison (search for similar items in EconPapers)
JEL-codes: C11 E31 J30 (search for similar items in EconPapers)
Pages: 1 page
Date: 2016-11
New Economics Papers: this item is included in nep-dge, nep-eec, nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
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Published in Proceedings of the Proceedings of the 26th and the 27th International Academic Conference (Istanbul, Prague), Nov 2016, pages 3-3

Downloads: (external link)
https://iises.net/proceedings/27th-international-a ... =53&iid=003&rid=6955 First version, 2016

Related works:
Working Paper: Changes in nominal rigidities in Poland – a regime switching DSGE perspective (2016) Downloads
Working Paper: Changes in nominal rigidities in Poland – a regime switching DSGE perspective (2015) Downloads
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