Jan Przystupa

The Exchange Rate in the Monetary Transmission Mechanism

The UIP equation estimated for Poland shows that the reaction of the nominal exchange rate of zloty to the expected changes of the future interest rates (appreciation) has been almost twice as high as the exchange rate reaction to disparity changes (depreciation). If the budget deficit and foreign direct investments simultaneously increase and trade balance improves, then, to reverse the appreciation, the fall of the interest rate disparity should be almost threefold higher than the changes in the dynamics of fundamentals. Transmission of the exchange rate changes to the import price seems to be similar in Poland and in the EU countries: pass-through effect is equal to 0.7. But exchange rate pass-through to the producer and consumer prices is higher in Poland than in the EU - is equal to 0.5 and 0.3 respectively.

Structural Econometric Models in Forecasting Inflation at the National Bank of Poland

The paper presents the procedure and two structural macroeconometric models used at the National Bank of Poland for producing regular quarterly inflation projections. One of the models is a small macroeconomic model based on the New Keynesian Phillips curve, the IS curve and the exchange rate equation based on uncovered interest parity with risk factors. The other, more disaggregated model, explicitly focuses on the supply side and separates the steady state from short-term adjustments.

Monetary Policy Transmission Disturbances During the Financial Crisis

The aim of this paper is to show the implications of the current financial crisis for the monetary transmission mechanism (MTM) and its effectiveness in Poland, which is an inflation-targeting emerging market economy. MTM depends on monetary policy, but also on structural features of the economy. Financial crisis can affect both. Our results based on Polish data suggest a change in the monetary policy rule and a significant drop in overall monetary policy effectiveness. Unlike disturbances in the interest rate pass-through, which reflect an increased perception of risk and result from the financial crisis, the more pronounced role of credit market imperfections and the weakening of the exchange rate channel can be viewed as typical phenomena in the current phase of the business cycle. However, the magnitude of the crisis, the likely changes in the regulatory framework, and adjustments in macroeconomic policies can result in the deeper evolution of the MTM.

Modelling Less Developed Emerging Markets: The Case of Monetary Transmission in Tunisia

Our paper is a case study devoted to a country which belongs to a group of less developed EMEs (LDEMEs), not depending on natural resources. In spite of many features which distinguish such countries from developed market economies, they are frequently modelled basing on assumptions which are better-suited for mature economies, e.g. New Keynesian DSGE models. From the point of view of monetary transmission analysis, the most important distortions which make LDEMEs special are: underdeveloped shallow financial markets, uncompetitive labour market, informal economy, weak institutions, problematic central bank independence, state ownership and controls, especially of prices and in the financial sector. In the paper we propose a complex way of proceeding in modelling the LDMEs, starting from the stylized facts and assessment of a distance of the modelled economy from theoretical assumptions and pointing at the most problematic sectors, through structural VARs providing reactions to shocks with a relatively small number of assumptions, to a suite of structural models, estimated with classical and Bayesian methods, to have a range of possible reactions. We show that to be applicable, the standard NK models need to be adjusted with specific features of LDEMEs.

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.