Advanced Search
MyIDEAS: Login to save this paper or follow this series

Combining monetary and fiscal policy in an SVAR for a small open economy

Contents:

Author Info

Abstract

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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.nbp.pl/publikacje/materialy_i_studia/168_en.pdf
Download Restriction: no

Bibliographic Info

Paper provided by National Bank of Poland, Economic Institute in its series National Bank of Poland Working Papers with number 168.

as in new window
Length: 46
Date of creation: 2013
Date of revision:
Handle: RePEc:nbp:nbpmis:168

Contact details of provider:
Postal: 00-919 Warszawa ul. Świętokrzyska 11/21
Phone: (0-22) 653 10 00
Fax: (0-22) 620 85 18
Web page: http://www.nbp.pl/Homen.aspx?f=en/publikacje/materialy_i_studia/informacja_en.html
More information through EDIRC

Related research

Keywords: Structural vector autoregressions; monetary and fiscal policy; fiscal foresight; narrative approach;

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Ramey, Valerie A. & Shapiro, Matthew D., 1998. "Costly capital reallocation and the effects of government spending," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 48(1), pages 145-194, June.
  2. Giannone, Domenico & Reichlin, Lucrezia, 2006. "Does information help recovering structural shocks from past observations?," Working Paper Series, European Central Bank 0632, European Central Bank.
  3. Valerie A. Ramey, 2009. "Identifying Government Spending Shocks: It's All in the Timing," NBER Working Papers 15464, National Bureau of Economic Research, Inc.
  4. Favero, Carlo A., 2001. "Applied Macroeconometrics," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198296850, October.
  5. Barbara Rossi & Sarah Zubairy, 2011. "What is the Importance of Monetary and Fiscal Shocks in Explaining US Macroeconomic Fluctuations?," Working Papers, Duke University, Department of Economics 11-02, Duke University, Department of Economics.
  6. Tomas Havranek & Marek Rusnak, 2013. "Transmission Lags of Monetary Policy: A Meta-Analysis," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 9(4), pages 39-76, December.
  7. Roberto Perotti, 2004. "Estimating the effects of fiscal policy in OECD countries," Working Papers 276, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  8. Ewa Wrobel & Tomasz Lyziak & Jan Przystupa, 2008. "Monetary Policy Transmission in Poland: a Study of the Importance of Interest Rate and Credit Channels," SUERF Studies, SUERF - The European Money and Finance Forum, SUERF - The European Money and Finance Forum, number 2008/1 edited by Morten Balling, July.
  9. Lawrence J. Christiano & Martin Eichenbaum & Robert Vigfusson, 2006. "Assessing structural VARs," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 866, Board of Governors of the Federal Reserve System (U.S.).
    • Lawrence J. Christiano & Martin Eichenbaum & Robert Vigfusson, 2007. "Assessing Structural VARs," NBER Chapters, in: NBER Macroeconomics Annual 2006, Volume 21, pages 1-106 National Bureau of Economic Research, Inc.
  10. Carlo Favero & Francesco Giavazzi, 2012. "Measuring Tax Multipliers: The Narrative Method in Fiscal VARs," American Economic Journal: Economic Policy, American Economic Association, vol. 4(2), pages 69-94, May.
  11. Thomas J. Sargent & Neil Wallace, 1981. "Some unpleasant monetarist arithmetic," Quarterly Review, Federal Reserve Bank of Minneapolis, Federal Reserve Bank of Minneapolis, issue Fall.
  12. Alfred A Haug & Christie Smith, 2007. "Local linear impulse responses for a small open economy," Reserve Bank of New Zealand Discussion Paper Series DP2007/09, Reserve Bank of New Zealand.
  13. Gavin, William T. & Kemme, David M., 2009. "Using extraneous information to analyze monetary policy in transition economies," Journal of International Money and Finance, Elsevier, Elsevier, vol. 28(5), pages 868-879, September.
  14. Adam Elbourne & Jakob de Haan, 2009. "Modeling Monetary Policy Transmission in Acceding Countries: Vector Autoregression Versus Structural Vector Autoregression," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., M.E. Sharpe, Inc., vol. 45(2), pages 4-20, March.
  15. Peter C.B. Phillips, 1995. "Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1102, Cowles Foundation for Research in Economics, Yale University.
  16. Mehrotra, Aaron & Crespo Cuaresma, Jesús & Eller, Markus, 2011. "The Economic transmission of fiscal policy shocks from Western to Eastern Europe," BOFIT Discussion Papers, Bank of Finland, Institute for Economies in Transition 12/2011, Bank of Finland, Institute for Economies in Transition.
  17. Alessio Anzuini & Aviram Levy, 2007. "Monetary policy shocks in the new EU members: a VAR approach," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 39(9), pages 1147-1161.
  18. Georgiadis, Georgios, 2014. "Towards an explanation of cross-country asymmetries in monetary transmission," Journal of Macroeconomics, Elsevier, Elsevier, vol. 39(PA), pages 66-84.
  19. Valerie A. Ramey, 2011. "Can Government Purchases Stimulate the Economy?," Journal of Economic Literature, American Economic Association, vol. 49(3), pages 673-85, September.
  20. Lin, Jin-Lung & Tsay, Ruey S, 1996. "Co-integration Constraint and Forecasting: An Empirical Examination," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 11(5), pages 519-38, Sept.-Oct.
  21. Haug, Alfred A, 1996. "Blanchard's Model of Consumption: An Empirical Study," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 14(2), pages 169-77, April.
  22. repec:onb:oenbwp:y:2011:i:2:b:1 is not listed on IDEAS
  23. Tomasz Åyziak & Jan Przystupa & Ewa Wróbel, 2008. "Monetary Policy Transmission Poland: A study of the importance of interest rate and credit channels," Chapters in SUERF Studies, SUERF - The European Money and Finance Forum, SUERF - The European Money and Finance Forum.
  24. Gilles Mourre & George-Marian Isbasoiu & Dario Paternoster & Matteo Salto, 2013. "The cyclically-adjusted budget balance used in the EU fiscal framework: an update," European Economy - Economic Papers, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission 478, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission.
  25. Elbourne, Adam & de Haan, Jakob, 2006. "Financial structure and monetary policy transmission in transition countries," Journal of Comparative Economics, Elsevier, vol. 34(1), pages 1-23, March.
  26. Ilzetzki, Ethan, 2011. "Fiscal policy and debt dynamics in developing countries," Policy Research Working Paper Series 5666, The World Bank.
  27. Nathalie Girouard & Christophe André, 2005. "Measuring Cyclically-adjusted Budget Balances for OECD Countries," OECD Economics Department Working Papers 434, OECD Publishing.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:nbp:nbpmis:168. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ewa Szymecka).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.