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From r* to monetary policy stance: Evidence from Poland

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  • Patryk Kołbyko

    (Doctoral School of Social Sciences, Maria Curie-Skłodowska University in Lublin, Poland)

Abstract

This paper estimates Poland’s time-varying natural real interest rate and natural-rate gap over 2010Q1–2025Q1 and examines how a natural-rate-gap innovation propagates in a Structural Vector Error Correction (SVEC) framework. The measurement stage uses a Laubach-Williams-type state-space model disciplined by an ex ante real policy rate constructed from survey-based inflation expectations. The transmission stage embeds the estimated gap in a cointegrated macro-financial system covering activity, inflation, the real effective exchange rate, the term spread, debt-service costs and the natural-rate gap, with domestic and external controls. The estimated natural rate declines around the pandemic period and rises sharply during the post-pandemic tightening episode. Robustness analysis based on alternative expectations measures, GDP/GVA activity indicators, moderate calibration variants and one-sided filtering preserves the main cyclical profile, while highly flexible natural-rate specifications behave as diagnostic stress tests. SVEC results indicate bounded and weakly estimated transmission: statistically informative responses are sparse, CPI provides the clearest limited nominal evidence, and forecast-error-variance contributions remain small for most macro-financial variables. The natural-rate gap is therefore informative for monetary-stance assessment, but not a standalone explanation of Polish macroeconomic fluctuations.

Suggested Citation

  • Patryk Kołbyko, 2026. "From r* to monetary policy stance: Evidence from Poland," Research Papers in Economics and Finance, Poznań University of Economics and Business, vol. 10(1), pages 117-151, October.
    • Handle: RePEc:jbl:ref000:v:10:y:2026:i:1:id:3013
    DOI: 10.18559/ref.2026.1.3013
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    3. Robert Barsky & Alejandro Justiniano & Leonardo Melosi, 2014. "The Natural Rate of Interest and Its Usefulness for Monetary Policy," American Economic Review, American Economic Association, vol. 104(5), pages 37-43, May.
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