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Reakcja polityki pieniężnej na wydarzenia giełdowe

Listed author(s):
  • Łukasz Goczek
  • Karol Partyka

Celem artykułu jest analiza reakcji polityki pieniężnej Narodowego Banku Polskiego na wydarzenia giełdowe. W badaniu empirycznym wykorzystano ramy teoretyczne reguły Taylora w celu ustalenia czy zmiany polityki monetarnej w Polsce wykazują oznaki przeciwdziałania fluktuacjom giełdowym niewynikającym ze stabilizacji inflacji i luki popytowej. W trakcie badań oszacowano serię bayesowsko uśrednianych modeli wektorowej korekty błędem (VECM) przy użyciu danych miesięcznych dla lat 2001–2015. Uzyskane wyniki pozwalają argumentować, że polityka pieniężna istotnie reaguje na wzrosty na rynku giełdowym w celu amortyzacji ich wpływu na gospodarkę. Efekt ten zaobserwowano zarówno dla nominalnych, jak i realnych stóp procentowych. Tym samym polityka Narodowego Banku Polskiego ma empirycznie obserwowalny charakter opierania się wiatrowi.

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File URL: http://gospodarkanarodowa.sgh.waw.pl/p/gospodarka_narodowa_2016_05_02.pdf
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Article provided by Warsaw School of Economics in its journal Gospodarka Narodowa.

Volume (Year): (2016)
Issue (Month): 5 ()
Pages: 27-50

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Handle: RePEc:sgh:gosnar:y:2016:i:5:p:27-50
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Al. Niepodleglosci 162, 02-554 Warszawa

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