Money and prices in the Polish economy. Seasonal cointegration approach
The paper presents the analysis of the long run causality behaviour between money and prices in the Polish economy during the transition period. The study makes use of the monetary inflation model known as the P-star model, originally developed by the FED economists at the end of 80-ties. The research on the relationship between money and prices in the Polish economy carried out to date indicates that some variables (GDP, prices) show the irregular seasonal pattern. For this reason we propose to analyse the long run relationship between money and prices in the Polish economy by means of seasonal cointegration, developed by Hylleberg, Engle, Granger and You in the beginning of 90-ties. The main hypothesis has been verified positively. The results of the research give the evidence that there exists a long-run causality relationship between money and prices (long-run cointegration relationship), which follows the assumptions of the P-star inflation model. The results also indicate that there are no seasonal cointegrating relationships in the P-star inflation model, which can be interpreted as the money demand equations. This means that the quality of the inflation forecasts cannot be improved by applying the additional seasonal cointegrating relationships to this model.
|Date of creation:||22 May 2005|
|Contact details of provider:|| Postal: 02-513 Warszawa, ul. Madalinskiego 6/8|
Phone: + (48)(22) 49 12 51
Fax: + (48)(22) 49 53 12
Web page: http://www.sgh.waw.pl/instytuty/zes
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lee, Hahn Shik, 1992. "Maximum likelihood inference on cointegration and seasonal cointegration," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 1-47.
- Franses, Philip Hans & Kunst, Robert M., 1995.
"On the role of seasonal intercepts in seasonal cointegration,"
15, Institute for Advanced Studies.
- Franses, Philip Hans & Kunst, Robert M, 1999. " On the Role of Seasonal Intercepts in Seasonal Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(3), pages 409-433, August.
- Franses, Ph.H.B.F. & Kunst, R.M., 1998. "On the role of seasonal intercepts in seasonal cointegration," Econometric Institute Research Papers EI 9820, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Ghysels,Eric & Osborn,Denise R., 2001.
"The Econometric Analysis of Seasonal Time Series,"
Cambridge University Press, number 9780521562607, October.
- MacKinnon, James G, 1996.
"Numerical Distribution Functions for Unit Root and Cointegration Tests,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 11(6), pages 601-618, Nov.-Dec..
- James G. MacKinnon, 1995. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Working Papers 918, Queen's University, Department of Economics.
- Lars E. O. Svensson, 2000.
"Does the P* Model Provide Any Rationale for Monetary Targeting?,"
German Economic Review,
Verein für Socialpolitik, vol. 1(1), pages 69-81, 02.
- Svensson, L.E.O., 1999. "Does the P* Model Provide any Rationale for Monetary Targeting," Papers 671, Stockholm - International Economic Studies.
- Svensson, Lars E O, 1999. "Does the P* Model Provide Any Rationale for Monetary Targeting?," CEPR Discussion Papers 2198, C.E.P.R. Discussion Papers.
- Svensson, Lars, 1999. "Does the P* Model provide Any Rationale for Monetary Targeting?," Seminar Papers 671, Stockholm University, Institute for International Economic Studies.
- Lars E.O. Svensson, 2000. "Does the P* Model Provide Any Rationale for Monetary Targeting?," NBER Working Papers 7178, National Bureau of Economic Research, Inc.
- Cubadda, Gianluca & Omtzigt, Pieter, 2005.
"Small-sample improvements in the statistical analysis of seasonally cointegrated systems,"
Computational Statistics & Data Analysis,
Elsevier, vol. 49(2), pages 333-348, April.
- Cubadda, Gianluca & Omtzigt, Pieter, 2003. "Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems," Economics & Statistics Discussion Papers esdp03012, University of Molise, Dept. EGSeI.
- Engle, Robert F & Granger, Clive W J, 1987.
"Co-integration and Error Correction: Representation, Estimation, and Testing,"
Econometric Society, vol. 55(2), pages 251-276, March.
- Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
- Barassi, Marco R. & Caporale, Guglielmo Maria & Hall, Stephen G., 2005. "Interest rate linkages: a Kalman filter approach to detecting structural change," Economic Modelling, Elsevier, vol. 22(2), pages 253-284, March.
- Greenslade, Jennifer V. & Hall, Stephen G. & Henry, S. G. Brian, 2002. "On the identification of cointegrated systems in small samples: a modelling strategy with an application to UK wages and prices," Journal of Economic Dynamics and Control, Elsevier, vol. 26(9-10), pages 1517-1537, August.
When requesting a correction, please mention this item's handle: RePEc:wse:wpaper:20. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marcin Owczarczuk)
If references are entirely missing, you can add them using this form.