The Role of Domestic and External Shocks in Poland: Results from an Agnostic Estimation Procedure
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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.
Series:
Working Paper No. 2013/220
Subject:
Econometric analysis Exchange rates Foreign exchange Inflation Inflation targeting Monetary policy Prices Real exchange rates Vector autoregression
English
Publication Date:
October 29, 2013
ISBN/ISSN:
9781484337172/1018-5941
Stock No:
WPIEA2013220
Pages:
22
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