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

Reaction functions of the Polish central bankers. A logit approach

Contents:

Author Info

  • Jacek Kotlowski

    ()
    (Department of Applied Econometrics, Warsaw School of Economics)

Abstract

Paper presents the analysis of individual reactions functions of Polish Monetary Policy Council (MPC) members in the years 2004–2005. In the period under study the Polish central bank (National Bank of Poland) used the bias in the monetary policy as an indicator of future interest rate movements and a change of bias without a change in the short-term interest rate resulted in shifts of the yield curve comparable to those which accompanied changes in the short-term interest rate. For that reason as a monetary policy instrument in the reaction functions we use a qualitative variable, which expresses the direction of change in the restrictiveness of the monetary policy proposed by the given member of the MPC (the change of bias and/or change of central bank short-term interest rate). Taking into account the qualitative nature of the dependent variable, we employ the ordered logit model, where several variants of the reaction functions are tested. The results of the research indicate that the majority of the Polish MPC members acted forward looking rather then backward looking. The classical Taylor’s backward looking reaction function has been rejected by the data for most MPC members. Moreover the substitution of the lagged inflation by the future inflation improved the quality of the all considered models. On the other hand in the forward looking reaction function with the inflation expectations formulated for 12 months ahead the variable expressing the expectations has been significant in 6 out of 7 individual functions. The research has been completed by the sensitivity analysis of the behaviour of the MPC members against changes in the current and future inflation and changes in the output gap.

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://kolegia.sgh.waw.pl/pl/KAE/struktura/IE/struktura/ZES/Documents/Working_Papers/aewp01-05.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Department of Applied Econometrics, Warsaw School of Economics in its series Working Papers with number 18.

as in new window
Length: 27 pages
Date of creation: 22 May 2005
Date of revision:
Handle: RePEc:wse:wpaper:18

Contact details of provider:
Postal: 02-513 Warszawa, ul. Madalinskiego 6/8
Phone: + (48)(22) 49 12 51
Fax: + (48)(22) 49 53 12
Email:
Web page: http://www.sgh.waw.pl/instytuty/zes
More information through EDIRC

Related research

Keywords: Monetary policy; policy rules; reaction function; ordered logit model;

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. John B. Taylor, 2001. "The Role of the Exchange Rate in Monetary-Policy Rules," American Economic Review, American Economic Association, vol. 91(2), pages 263-267, May.
  2. Clarida, Richard & Galí, Jordi & Gertler, Mark, 1997. "Monetary Policy Rules in Practice: Some International Evidence," CEPR Discussion Papers 1750, C.E.P.R. Discussion Papers.
  3. Svensson, Lars E. O., 1998. "Inflation targeting as a monetary policy rule," CFS Working Paper Series 1998/16, Center for Financial Studies (CFS).
  4. Fok, D. & Franses, Ph.H.B.F. & Cramer, J.S., 1999. "Ordered logit analysis for selectively sampled data," Econometric Institute Research Papers EI 9933/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  5. repec:fth:erroem:9933/a is not listed on IDEAS
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Alexander Jung & Gergely Kiss, 2012. "Voting by monetary policy committees: evidence from the CEE inflation-targeting countries," MNB Working Papers 2012/2, Magyar Nemzeti Bank (the central bank of Hungary).

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:wse:wpaper:18. 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: (Marcin Owczarczuk).

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.