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Polish Stabilization: What can we learn from the I(2) Cointegration Analysis?

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  • Ekaterina Vostroknutova

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Abstract

This paper investigates an array of nominal systems for the Polish economy, of domestic price level, import prices, exchange rates, money stock, nominal wages, and real output, and conducts I(1) and I(2) cointegration analyses. Post-stabilization monthly data are used, 1991:5-1999:12. A test for the presence of a price-wage spiral is performed, and the stabilization package is compared to its realization. The long-run homogeneity hypothesis, the impact of monetary and incomes policies, and of external sector variables on long and medium run price development are studied. It is found that in Poland, contrary to some earlier studies, the external sector is not important for the long run price development. On the contrary, very strong evidence is found of the cost-push inflation. Copyright Kluwer Academic Publishers 2003

Suggested Citation

  • Ekaterina Vostroknutova, 2003. "Polish Stabilization: What can we learn from the I(2) Cointegration Analysis?," Economic Change and Restructuring, Springer, vol. 36(2), pages 177-198, June.
  • Handle: RePEc:kap:ecopln:v:36:y:2003:i:2:p:177-198 DOI: 10.1023/B:ECOP.0000012311.52328.9a
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    References listed on IDEAS

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    1. Enev, Tihomir & Koford, Kenneth, 2000. "The Effect of Incomes Policies on Inflation in Bulgaria and Poland," Economic Change and Restructuring, Springer, pages 141-169.
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    6. Peter Christoffersen & Torsten Sløk & Robert Wescott, 2001. "Is inflation targeting feasible in Poland?," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 9(1), pages 153-174, March.
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    Cited by:

    1. Jérôme Creel* & Sandrine Levasseur, 2007. "Monetary Policy Transmission Mechanisms in the CEECs: How Important are the Differences with the Euro Area?," The IUP Journal of Monetary Economics, IUP Publications, vol. 0(1), pages 30-59, February.
    2. repec:spo:wpecon:info:hdl:2441/2976 is not listed on IDEAS
    3. Lena Malesevic-Perovic, 2009. "Cointegration Approach to Analysing Inflation in Croatia," Financial Theory and Practice, Institute of Public Finance, vol. 33(2), pages 201-218.

    More about this item

    Keywords

    cointegration; I(2); incomes policy; monetary policy; Poland; stabilization;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E63 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy
    • E64 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Incomes Policy; Price Policy

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