Polish Stabilization: What can we learn from the I(2) Cointegration Analysis?

Vostroknutova, Ekaterina

doi:10.1023/b:ecop.0000012311.52328.9a

Cited by 2 publications

(1 citation statement)

References 25 publications

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“…13 Vostroknutova (2003) concludes that during the transition period, many variables that are normally I(1) come closer to I(2) processes for considerable periods of time. More precisely, based on monthly data from 1991:5 to 1999:12 for Poland, the unit root hypothesis cannot be rejected for the first differences of consumer prices index, nominal exchange rate, nominal money stock, nominal wage rate and, marginally, for industrial price index.…”

Section: The Var Specificationmentioning

confidence: 98%

Monetary Policy Transmission Mechanisms in the CEECs: How Important are the Differences with the Euro Area?

Creel

Levasseur²

2005

SSRN Journal

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We use a structural VAR model with short-term restrictions to investigate the relative importance of interest rate, exchange rate and credit channels in the monetary policy transmission (MPT) for the Czech Republic, Hungary and Poland over 1993:1-2004:3. Main results are as follows. First, in the three countries, following a positive shock on the interest rate, prices increase instead of decreasing, due to the immediate depreciation of the nominal exchange rate. The results thus exhibit an "exchange rate" puzzle conducing to the appearance of a "price-puzzle". Second, none channel is very powerful for the MPT in the three countries. Nevertheless, the exchange rate and the interest rate channels play a growing role over the recent period in Poland, compared with the same channels in the Czech Republic and Hungary. As nominal exchange rate fluctuations allow for greater real shocks dampening in Poland, the cost of entering EMU may be more costly for this country than for the Czech Republic or Hungary. * We are grateful to Benoît Usciati for his able research assistance. The usual disclaimer applies.

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Section: The Var Specificationmentioning

confidence: 98%

Monetary Policy Transmission Mechanisms in the CEECs: How Important are the Differences with the Euro Area?

Creel

Levasseur²

2005

SSRN Journal

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Human activities and global warming: a cointegration analysis

Liu

Rodrı́guez

2005

Environmental Modelling & Software

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Using econometric tools for selecting I(1) and I(2) trends, we found the existence of static long-run steady-state and dynamic long-run steady-state relations between temperature and radiative forcing of solar irradiance and a set of three greenhouse gases series. Estimates of the adjustment coefficients indicate that temperature series is error correcting around 5e65% of the disequilibria each year, depending on the type of long-run relation. The estimates of the I(1) and I(2) trends indicate that they are driven by linear combinations of the three greenhouse gases and their loadings indicate strong impact on the temperature series. The equilibrium temperature change for a doubling of carbon dioxide is between 2.15 and 3.4 (C, which is in agreement with past literature and the report of the IPCC in 2001 using 15 different general circulation models.

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Polish Stabilization: What can we learn from the I(2) Cointegration Analysis?

Cited by 2 publications

References 25 publications

Monetary Policy Transmission Mechanisms in the CEECs: How Important are the Differences with the Euro Area?

Monetary Policy Transmission Mechanisms in the CEECs: How Important are the Differences with the Euro Area?

Human activities and global warming: a cointegration analysis

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