IMF Working Papers

A Model-Based Analysis of Spillovers: The Case of Poland and the Euro Area

By Michal Andrle, Roberto Garcia-Saltos, Giang Ho

October 17, 2014

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Michal Andrle, Roberto Garcia-Saltos, and Giang Ho. A Model-Based Analysis of Spillovers: The Case of Poland and the Euro Area, (USA: International Monetary Fund, 2014) accessed November 2, 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 studies economic and financial spillovers from the euro area to Poland in a two-country semi-structural model. The model incorporates various channels of macrofinancial linkages and cross-border spillovers. We parameterize the model through an extensive calibration process, and provide a wide range of model properties and evaluation exercises. Simulation results suggest a prominent role of foreign demand shocks (euro area and global) in driving Poland’s output, inflation and interest rate dynamics, particularly in recent years. Our model also has the capability for medium-term conditional forecasting and policy analysis.

Subject: Exchange rates, Financial services, Foreign exchange, Inflation, Inflation targeting, Monetary policy, Prices, Real exchange rates, Real interest rates

Keywords: Core inflation, Cost-push shock, Cost-push shock moves output, Demand shock, Euro area, Euro area economy, Europe, Exchange rates, Global, Inflation, Inflation decomposition, Inflation dynamics, Inflation process, Inflation targeting, Inflation variance, Interbank market premium, Interest rate, Monetary policy, Nominal rate, Output gap, Poland, Real exchange rates, Real interest rates, Semi-structural model, Spillovers, Steady-state inflation, WP

Publication Details

  • Pages:

    50

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

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  • Series:

    Working Paper No. 2014/186

  • Stock No:

    WPIEA2014186

  • ISBN:

    9781498381819

  • ISSN:

    1018-5941