IMF Working Papers

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

By Michal Andrle, Roberto Garcia-Saltos, Giang Ho

October 29, 2013

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Michal Andrle, Roberto Garcia-Saltos, and Giang Ho. The Role of Domestic and External Shocks in Poland: Results from an Agnostic Estimation Procedure, (USA: International Monetary Fund, 2013) accessed November 21, 2024
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Econometric analysis, Exchange rates, Foreign exchange, Inflation, Inflation targeting, Monetary policy, Prices, Real exchange rates, Vector autoregression

Keywords: Business-cycle fluctuation, Eastern Europe, Euro zone, Euro zone economy, Euro zone variable, Exchange rates, External shocks, Headline consumer price inflation, Inflation, Inflation regime, Inflation target, Inflation targeting, Inflation variable, Interest rate, Modeling inflation deviation, Open economy, Poland, Price level, Real exchange rates, Transmission mechanism, Trend-cycle VAR, VAR model, Vector autoregression, WP

Publication Details

  • Pages:

    22

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2013/220

  • Stock No:

    WPIEA2013220

  • ISBN:

    9781484337172

  • ISSN:

    1018-5941

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