Anna Sznajderska

Combining Monetary and Fiscal Policy in an SVAR for a Small Open Economy

This paper combines a monetary structural vector-autoregression (SVAR) with a fiscal SVAR for Poland. Fiscal foresight, in the form of implementation lags, is accounted for with respect to both discretionary government spending and tax changes. We demonstrate the importance of combining monetary and fiscal transmission mechanisms. However, ignoring fiscal foresight has no statistically significant effects. We calculate an initial government spending multiplier of 0.14, which later peaks at 0.48. The tax multiplier is close to zero. We also find that monetary policy in Poland transmits mainly through the real sector, that is through real GDP and the real exchange rate.

On the Empirical Evidence of Asymmetry Effects in the Interest Rate Pass-Through in Poland

This paper empirically examines the potential asymmetries in the interest rate pass-through in Poland. We investigate the chosen retail interest rates in commercial banks on deposits and loans denominated in the Polish currency. It is considered whether their adjustment to changes in interbank rates is asymmetric in the long term as well as in the short term. We test for asymmetric cointegration using threshold autoregressive models and momentum-threshold autoregressive models. Next, if it is possible applying the threshold error correction models, we search for asymmetries associated with the direction of change in the money market rate, the level of the economic activity, the level of liquidity in the banking sector, the central bank’s credibility and the economic agents’ expectations. Finally, we test whether using the asymmetric models improves the quality of forecasts of retail bank interest rates.

The role of China in the world economy: evidence from a global VAR model

ABSTRACT Since the 1980s, China has experienced very high economic growth, and its share in global trade has increased rapidly. Currently, however, the Chinese economy is rebalancing, and its growth is slowing. This paper investigates the spillover effects on other countries of a negative demand shock and negative stock price shock in the Chinese economy. We apply a global vector autoregressive model, which enables us to model international linkages between countries. Our results show that a one per cent negative China GDP shock reduces global growth by 0.22% in the short run. We find that GDP shock affects emerging economies more strongly than advanced economies. We also show that a stock price shock affects only emerging economies and does not affect advanced economies.

Money in Monetary Policy: Information Variable? Channel of Monetary Transmission? What is its Role in Poland?

The paper provides an overview of the literature on the role of monetary aggregates for conducting monetary policy and attempts to assess the role of these aggregates in the Polish monetary policy. We compare theoretical and empirical arguments which justify or undermine the need for usage of monetary aggregates by central banks, as well as arguments indicating related problems. We describe the most important areas of the discussion on the role of money in monetary policy. We present studies on the information content of money and the use of that information in the Polish central banks monetary policy between 1998 and 2011.

On Asymmetric Effects in a Monetary Policy Rule: The Case of Poland

Asymmetric effects in a monetary policy rule could appear due to asymmetric preferences of the central bank or/and due to nonlinearities in the economic system. It might be suspected that monetary authorities are more aggressive to the inflation rate when it is above its target level than when it is below. It also seems probable that monetary authorities have different preferences and react more strongly when the level of economic activity is low than when it is high. In this paper we investigate whether the reaction function of the National Bank of Poland (NBP) is asymmetric according to the level of inflation gap and the level of output gap. Moreover, we test whether these asymmetries might possibly stem from the nonlinearities in the Phillips curve. Threshold models are applied and two cases of unknown and known threshold value are investigated.