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On asymmetric effects in a monetary policy rule. The case of Poland

  • Anna Sznajderska

    (National Bank of Poland)

Asymmetric effects in a monetary policy rule could appear due to asymmetric preferences of the central bank or/and due to nonlinearities in the economic system. It might be suspected that monetary authorities are more aggressive to the inflation rate when it is above its target level than when it is below. It also seems probable that monetary authorities have different preferences and react more strongly when the level of economic activity is low than when it is high. 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 the nonlinearities in the Phillips curve. Threshold models are applied and two cases of unknown and known threshold value are investigated.

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File URL: http://www.nbp.pl/publikacje/materialy_i_studia/125_en.pdf
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Paper provided by National Bank of Poland, Economic Institute in its series National Bank of Poland Working Papers with number 125.

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Length: 34
Date of creation: 2012
Date of revision:
Handle: RePEc:nbp:nbpmis:125
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Web page: http://www.nbp.pl/Homen.aspx?f=/en/publikacje/materialy_i_studia/informacja_en.html

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  1. Borek Vasicek, 2010. "Is Monetary Policy in New Members States Asymmetric?," William Davidson Institute Working Papers Series wp1005, William Davidson Institute at the University of Michigan.
  2. Anna Sznajderska, 2012. "On the empirical evidence of asymmetry effects in the interest rate pass-through in Poland," National Bank of Poland Working Papers 114, National Bank of Poland, Economic Institute.
  3. Paolo Surico, 2003. "Asymmetric Reaction Functions for the Euro Area," Oxford Review of Economic Policy, Oxford University Press, vol. 19(1), pages 44-57.
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