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Asymmetric effects in the Polish monetary policy rule

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  • Sznajderska, Anna

Abstract

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 nonlinearities in the Phillips curve. Threshold models are applied and two cases of unknown and known threshold values are investigated. Our results show that the Polish central bank responds more strongly to the level inflation when the level of inflation is relatively high. We find very weak evidence that the level of inflation reacts more strongly to the output gap when the output gap is relatively high. Thus, the asymmetries in the monetary policy rule seem to indicate asymmetric preferences of the central bank.

Suggested Citation

  • Sznajderska, Anna, 2014. "Asymmetric effects in the Polish monetary policy rule," Economic Modelling, Elsevier, vol. 36(C), pages 547-556.
  • Handle: RePEc:eee:ecmode:v:36:y:2014:i:c:p:547-556
    DOI: 10.1016/j.econmod.2013.09.045
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    Citations

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    Cited by:

    1. Tomasz Łyziak, 2016. "Do inflation expectations matter in a stylised New Keynesian model? The case of Poland," NBP Working Papers 234, Narodowy Bank Polski, Economic Research Department.
    2. repec:bla:sajeco:v:85:y:2017:i:1:p:28-51 is not listed on IDEAS
    3. repec:prg:jnlpep:v:2017:y:2017:i:5:id:631:p:523-541 is not listed on IDEAS
    4. Ahmet Benlialper & Hasan Cömert & Nadir Öcal, 2017. "Asymmetric Exchange Rate Policy in Inflation Targeting Developing Countries," ERC Working Papers 1702, ERC - Economic Research Center, Middle East Technical University, revised Feb 2017.
    5. repec:pal:compes:v:59:y:2017:i:4:d:10.1057_s41294-017-0035-3 is not listed on IDEAS
    6. repec:eee:ecmode:v:68:y:2018:i:c:p:32-40 is not listed on IDEAS
    7. Apergis, Nicholas & Christou, Christina, 2015. "The behaviour of the bank lending channel when interest rates approach the zero lower bound: Evidence from quantile regressions," Economic Modelling, Elsevier, vol. 49(C), pages 296-307.

    More about this item

    Keywords

    Nonlinear Taylor rule; Nonlinear Phillips curve; Asymmetries; Threshold models;

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)

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