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Sztywność płac nominalnych w modelach DSGE małej skali. Analiza empiryczna dla Polski

Listed author(s):
  • Zbigniew Kuchta

Celem pracy jest empiryczna weryfikacja założenia o istnieniu sztywności płac nominalnych w modelach DSGE, estymowanych dla gospodarki polskiej. Weryfikacja ta została dokonana dzięki bayesowskiemu porównaniu modelu lepkich cen z modelem lepkich cen i płac, a także z ich rozszerzeniami na przypadek indeksacji. Podstawę porównania stanowiły kwartalne dane z lat 1995–2011, na podstawie których oszacowano każdy z analizowanych modeli. Następnie, dla każdego z nich obliczono gęstość brzegową oraz odniesiono je do siebie uzyskując czynnik Bayesa. Uzyskane wyniki dowodzą, że model lepkich płac i cen charakteryzuje się najlepszym dopasowaniem do analizowanej próby. Założenie indeksacji nie wpływało istotnie na dopasowanie modelu do danych zarówno w przypadku modelu o doskonale elastycznych, jak i lepkich płacach nominalnych. Ponadto porównanie funkcji reakcji na impuls pokazało, że model o lepkich cenach i płacach nominalnych implikuje inne, niż model lepkich cen, funkcje reakcji na impuls. Jednocześnie otrzymane oszacowania parametrów były w znacznym stopniu determinowane przez założenie sztywności nominalnej płac.

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File URL: http://gospodarkanarodowa.sgh.waw.pl/p/gospodarka_narodowa_2014_06_02.pdf
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Article provided by Warsaw School of Economics in its journal Gospodarka Narodowa.

Volume (Year): (2014)
Issue (Month): 6 ()
Pages: 31-56

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Handle: RePEc:sgh:gosnar:y:2014:i:6:p:31-56
Contact details of provider: Postal:
Al. Niepodleglosci 162, 02-554 Warszawa

Phone: + (48)(22) 49 12 51
Fax: + (48)(22) 49 53 12
Web page: http://gospodarkanarodowa.sgh.waw.pl/
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