SOEPL 2009 - An Estimated Dynamic Stochastic General Equilibrium Model for Policy Analysis and Forecasting

Grabek, Grzegorz; Kłos, Bohdan; Koloch, Grzegorz

doi:10.2139/ssrn.1816139

Cited by 13 publications

(11 citation statements)

References 69 publications

(61 reference statements)

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“…Interest rate smoothing is stronger in Poland; however, in Romania, the central bank is marginally more aggressive with respect to inflation. This behavior is again in opposition to Grigoraș (2010) and Grabek et al (2011), who obtained …”

Section: Resultscontrasting

confidence: 73%

A small New Keynesian model to analyze business cycle dynamics in Poland and Romania

Nalban

2015

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In this paper, we derive a small textbook New Keynesian DSGE model to evaluate Polish and Romanian business cycles during the 2003-2014 period. Given the similarities between the two economies, we use an identical calibration procedure for certain coefficients and marginal prior distributions for the others, rendering the resulting cross-country differences as primarily data-driven. The estimated structural coefficients for the two countries have comparable values, implying similar qualitative macroeconomic transmission mechanisms. However, the Romanian shocks display much more variability, and the impulse response functions have similar shapes but deeper trajectories. The model-simulated theoretical moments for the output growth, the inflation rate and the nominal interest rate (means, standard deviations and cross-correlations) are close to their actual data counterparts, demonstrating the models' ability to match and replicate statistical properties of the observed variables. Shock decompositions of the output and the inflation rate revealed the driving forces of the business cycles; demand shocks explain much of the GDP growth dynamics (persistent positive contributions before the crisis and negative thereafter), whereas prices were also driven by supply and monetary policy shocks, the latter being more important for Poland. Introduction

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Section: Resultscontrasting

confidence: 73%

A small New Keynesian model to analyze business cycle dynamics in Poland and Romania

Nalban

2015

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“…Calvo probabilities are generally higher in the eurozone than in Poland, both in price and wage setting, indicating more stickiness in the eurozone. The results provided by Kolasa (2009) are consistent with ours only with respect to wage stickiness (Polish labour market is generally characterized as less rigid in the literature, but product market not necessarily, see also Grabek et al, 2011), but the micro-literature based on ECB's Wage Dynamics Network Project (see, Druant et al, 2009) seems to point that the frequency of price and wage changes is higher in Poland than in the average of eurozone economies. 20 The degree of price indexation to past inflation is similar in both economies in case of setting prices to foreign markets and in the wage setting, but the indexation is more pronounced in Poland in case of pricing to local markets, which is in line with the results of Kolasa (2009).…”

supporting

confidence: 80%

“…20 Also the results by Przystupa and Wro´bel (2009) on exchange rate pass-through show that Polish companies respond much faster to exchange rate movements than the eurozone ones, pointing to less price stickiness in case of Poland. 21 The estimates for the Polish economy are in line with the results obtained in Grabek et al (2011) and the ones for the eurozone -with Smets and Wouters (2003). economies, we compared the theoretical moments generated by the model against the moments of the data, see Table 3.…”

Section: Model's Data Fitsupporting

confidence: 62%

The business cycle implications of the euro adoption in Poland

Gradzewicz

Makarski

2013

Applied Economics

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This article analyses the macroeconomic impact of the loss of autonomous monetary policy after the euro adoption in Poland. Using a two-country Dynamic Stochastic General Equilibrium (DSGE) model with sticky prices and wages, we find that the euro adoption will have a noticeable impact on the magnitude of economic fluctuations. In particular, the volatility of output, interest rate, consumption and employment is expected to increase while the volatility of inflation should decrease. Also, in order to quantify the effect of the euro adoption, we compute the welfare effect of this monetary policy change. Our findings suggest that the welfare cost is not large. JEL Classification: E52; E58; F41; F33

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“…A companion paper, Andrle and others (2013), uses a structural model to investigate the role of external shocks for Poland and reaches similar conclusions to our VAR analysis -foreign shocks explain roughly 50 percent of the cyclical volatility in output. Recently, an estimated DSGE model for Poland by Grabek, Klos, and Koloch (2009) attributes to foreign shocks only up to 15 percent of the output volatility and 15-57 percent to interest rate volatility. Further, Demchuk and others (2012) analyze monetary policy transmission in Poland using a structural VAR, but ignores completely the effect of foreign variables.…”

Section: Relationship To the Existing Literaturementioning

confidence: 99%

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

Andrle

Garcia-Saltos²,

Ho³

2013

IMF Working Papers

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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.

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SOEPL 2009 - An Estimated Dynamic Stochastic General Equilibrium Model for Policy Analysis and Forecasting

Abstract: Warsaw 2011 N a t i o n a l B a n k o f P o l a n d 2 Design: Oliwka s.c.

Cited by 13 publications

References 69 publications

A small New Keynesian model to analyze business cycle dynamics in Poland and Romania

A small New Keynesian model to analyze business cycle dynamics in Poland and Romania

The business cycle implications of the euro adoption in Poland

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

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