dc.contributor.author | Górajski, Mariusz | |
dc.date.accessioned | 2016-02-06T13:52:06Z | |
dc.date.available | 2016-02-06T13:52:06Z | |
dc.date.issued | 2016-01 | |
dc.identifier.uri | http://hdl.handle.net/11089/16882 | |
dc.description.abstract | Estimates of the generalised Taylor rule suggest that monetary policy in Poland can
be characterized as having reacted in a moderate fashion to output and in
ation gaps and are
strongly dependent on the lagged interest rate. Moreover, as for the majority of central banks the
short-term rate paths are smooth and only gradual changes can be observed. Optimal monetary
policy models in the linear-quadratic framework produce high variability of interest rates, and are
hence inconsistent with the data. One can obtain gradual behaviour of optimal monetary policy
by adding an interest rate smoothing term to the central bank objective. This heuristic procedure
has not much substantiation in the central bank's targets and raises the question: What are the
rational reasons for the gradual movements in the monetary policy instrument?
In this paper we determine optimal monetary polices in a VAR model of the Polish economy
with parameter uncertainty. By incorporating a proper structure of multiplicative uncertainty in
the linear-quadratic model of the Polish economy we nd a data consistent robust monetary policy
rule. Thus proving that parameter uncertainty can be the rationale for "timid" movements in the
short-interest rate dynamics. Finally, we show that there is trade o between parameter uncertainty
and the interest rate smoothing incentive. | pl_PL |
dc.publisher | Faculty of Economics and Sociology of the University of Lodz | pl_PL |
dc.relation.ispartofseries | Lodz Economics Working Papers;1/2016 | |
dc.rights | Uznanie autorstwa-Użycie niekomercyjne-Bez utworów zależnych 3.0 Polska | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/pl/ | * |
dc.subject | Optimal Monetary Policy | pl_PL |
dc.subject | Parameter Uncertainty | pl_PL |
dc.subject | the Brainard conservatism principle | pl_PL |
dc.subject | Interest rate smoothing | pl_PL |
dc.subject | SVAR model | pl_PL |
dc.title | Robust Monetary Policy In A Linear Model Of The Polish Economy: Is The Uncertainty In The Model Responsible For The Interest Rate Smoothing Effect? | pl_PL |
dc.contributor.authorAffiliation | Faculty of Economics and Sociology, University of Lodz | pl_PL |
dc.references | Amman, H. M. and Kendrick, D. A. (2003). Mitigation of the Lucas critique with stochastic control methods. Journal of Economic Dynamics and Control, 27(11):2035-2057. | pl_PL |
dc.references | Baranowski, P., Górajski, M., Malaczewski, M., and Szafrański, G. (2013). Inflation in Poland under state-dependent pricing. Technical report, Aboa Centre for Economics. | pl_PL |
dc.references | Barlevy, G. (2011). Robustness and macroeconomic policy. Annu. Rev. Econ., 3(1):1-24. | pl_PL |
dc.references | Batini, N. and Haldane, A. (1999). Forward-looking rules for monetary policy. In Monetary policy rules, pages 157-202. University of Chicago Press. | pl_PL |
dc.references | Bernanke, B. S. and Blinder, A. S. (1992). The federal funds rate and the channels of monetary transmission. The American Economic Review, pages 901-921 | pl_PL |
dc.references | Blinder, A. S. (1999). Central banking in theory and practice. Mit press. | pl_PL |
dc.references | Bogusz, D., Górajski, M., and Ulrichs, M. (2015a). Optymalne strategie polityki pieniężnej dla Polski uwzględniające wrażliwość banku na ryzyko nieosiągnięcia założonego celu. Materiały i Studia NBP, 317. | pl_PL |
dc.references | Bogusz, D., Górajski, M., and Ulrichs, M. (2015b). Strict vs flexible inflation targeting in the optimal monetary policy model for Poland. Przegląd Statystyczny, 62(4):379-396. | pl_PL |
dc.references | Brainard, W. C. (1967). Uncertainty and the effectiveness of policy. The American Economic Review Vol. 57, No. 2, pages 411-425. | pl_PL |
dc.references | Chow, G. C. et al. (1975). Analysis and control of dynamic economic systems. Wiley. | pl_PL |
dc.references | DeGroot, M., Bracha, C., and Czakański, M. (1981). Optymalne decyzje statystyczne. Państwowe Wydawnictwo Naukowe. | pl_PL |
dc.references | Easley, D. and Kiefer, N. M. (1988). Controlling a stochastic process with unknown parameters. Econometrica: Journal of the Econometric Society, pages 1045-1064. | pl_PL |
dc.references | Estrella, A. and Mishkin, F. S. (1999). Rethinking the role of nairu in monetary policy: implications of model formulation and uncertainty. In Monetary Policy Rules, pages 405-436. University of Chicago Press. | pl_PL |
dc.references | Gali, J. (2009). Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework. Princeton University Press. | pl_PL |
dc.references | Giannoni, M. P. (2002). Does model uncertainty justify caution? robust optimal monetary policy in a forward-looking model. Macroeconomic Dynamics, 6(01):111-144. | pl_PL |
dc.references | Giannoni, M. P. (2007). Robust optimal monetary policy in a forward-looking model with parameter and shock uncertainty. Journal of Applied Econometrics, 22(1):179-213. | pl_PL |
dc.references | Goodfriend, M. (1987). Interest rate smoothing and price level trend-stationarity. Journal of Monetary Economics, 19(3):335-348. | pl_PL |
dc.references | Goodhart, C. (1999). Central bankers and uncertainty. In PROCEEDINGS-BRITISH ACADEMY, volume 101, pages 229-272. OXFORD UNIVERSITY PRESS INC. | pl_PL |
dc.references | Greenspan, A. (2004). Risk and uncertainty in monetary policy. American Economic Review, pages 33-40. | pl_PL |
dc.references | Hansen, L. P. and Sargent, T. J. (2008). Robustness. Princeton University Press. | pl_PL |
dc.references | Judge, G. G., Hill, R., Griths, W., Lutkepohl, H., and Lee, T.-C. (1988). Introduction to the Theory and Practice of Econometrics. | pl_PL |
dc.references | Kendrick, D. A. (2005). Stochastic control for economic models: past, present and the paths ahead. Journal of Economic Dynamics and Control, 29(1):3-30. | pl_PL |
dc.references | Kiefer, N. M. and Nyarko, Y. (1989). Optimal control of an unknown linear process with learning. International Economic Review, pages 571-586. | pl_PL |
dc.references | Lucas Jr, R. E. (1976). Econometric policy evaluation: A critique. In Carnegie-Rochester conference series on public policy, volume 1, pages 19-46. Elsevier. | pl_PL |
dc.references | Lutkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. | pl_PL |
dc.references | Milo, W., Bogusz, D., Górajski, M., and Ulrichs, M. (2013). Notes on some optimal monetary policy rules: the case of Poland. Acta Universitatis Lodziensis. Folia Oeconomica, Financial Markets and Macroprudential Policy, 295:59-77. | pl_PL |
dc.references | Onatski, A. and Stock, J. H. (2002). Robust monetary policy under model uncertainty in a small model of the us economy. Macroeconomic Dynamics, 6(01):85-110. | pl_PL |
dc.references | Onatski, A. and Williams, N. (2003). Modeling model uncertainty. Journal of the European Economic Association, 1(5):1087-1122. | pl_PL |
dc.references | Peersman, G. and Smets, F. (1999). The Taylor rule: a useful monetary policy benchmark for the euro area? International Finance, 2(1):85-116. | pl_PL |
dc.references | Polito, V. and Wickens, M. (2012). Optimal monetary policy using an unrestricted VAR. Journal of Applied Econometrics, 27(4):525-553. | pl_PL |
dc.references | Poole, W. (1998). A policymaker confronts uncertainty. Federal Reserve Bank of St. Louis Review, 80(September/October 1998). | pl_PL |
dc.references | Prescott, E. C. (1972). The multi-period control problem under uncertainty. Econometrica: Journal of the Econometric Society, pages 1043-1058. | pl_PL |
dc.references | Rudebusch, G. D. (2001). Is the fed too timid? Monetary policy in an uncertain world. Review of Economics and Statistics, 83(2):203-217. | pl_PL |
dc.references | Sack, B. (2000). Does the fed act gradually? A VAR analysis. Journal of Monetary Economics, 46(1):229-256. | pl_PL |
dc.references | Salmon, C. and Martin, B. (1999). Should uncertain monetary policymakers do less. Monetary Policy Under Uncertainty. Reserve Bank of New Zealand. | pl_PL |
dc.references | Simon, H. A. (1956). Dynamic programming under uncertainty with a quadratic criterion function. Econometrica, Journal of the Econometric Society, pages 74-81. | pl_PL |
dc.references | Sims, C. A. (1986). Are forecasting models usable for policy analysis? Federal Reserve Bank of Minneapolis Quarterly Review, 10(1):2-16. | pl_PL |
dc.references | Smets, F. (2002). Output gap uncertainty: does it matter for the taylor rule? Empirical Economics, 27(1):113-129. | pl_PL |
dc.references | Soderstrom, U. (1999). Should central banks be more aggressive? Technical report, Sveriges Riksbank Working Paper Series. | pl_PL |
dc.references | Soderstrom, U. (2002). Monetary policy with uncertain parameters. The Scandinavian Journal of Economics, 104(1):125-145. | pl_PL |
dc.references | Svensson, L. E. (1999). Inflation targeting: some extensions. The Scandinavian Journal of Economics, 101(3):337-361. | pl_PL |
dc.references | Theil, H. (1957). A note on certainty equivalence in dynamic planning. Econometrica: Journal of the Econometric Society, pages 346-349. | pl_PL |
dc.references | Theil, H. (1961). Economic forecast and policy, vol. xv of contributions to economic analysis. | pl_PL |
dc.references | Tinbergen, J. (1952). On the theory of economic policy. | pl_PL |
dc.references | Whittle, P. (1996). Optimal control: basics and beyond. John Wiley & Sons, Inc. | pl_PL |
dc.references | Wieland, V. (2000). Monetary policy, parameter uncertainty and optimal learning. Journal of Monetary Economics, 46(1):199-228. | pl_PL |
dc.references | Woodford, M. (2003a). Interest and prices. Princeton University. | pl_PL |
dc.references | Woodford, M. (2003b). Optimal interest-rate smoothing. The Review of Economic Studies, 70(4):861-886. | pl_PL |
dc.references | Woodford, M. and Walsh, C. E. (2005). Interest and prices: Foundations of a theory of monetary policy. | pl_PL |
dc.references | Zabczyk, J. (1996). Chance and decision. Stochastic Control in Discrete Time, Quaderni, Scuola Normale Superiore, Pisa. | pl_PL |
dc.references | Zellner, A. (1996). An introduction to Bayesian inference in econometrics. | pl_PL |