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The Role of Domestic and External Shocks in Poland :, Results from an Agnostic Estimation Procedure, Michal Andrle, Roberto Garcia-Saltos, Giang Ho

Abstract
This paper discusses interlinkages between Poland and the euro zone using a simple and agnostic econometric approach. Specifically, we estimate a trend-cycle VAR model using data for real and nominal variables, imposing powerful but uncontroversial assumptions that allow us to identify how external factors affect the evolution of business cycles in Poland in the period 1999-2012. Our results suggest that developments in the euro zone can explain about 50 percent of poland’s output and interest rate business cycle variance and about 25 percent of the variance of inflation
Table Of Contents
Cover; Contents; I. Introduction; II. The Model; A. Motivation; B. Econometric Specification; C. Relationship to the Existing Literature; III. Data and Estimation; A. Data and Data Transformation; B. Estimation Procedure; Figures; 1. Stylized Facts - Poland and the Euro Zone; IV. Results; A. The Role of Domestic and External Shocks; 2. FEVD - Home and External Shocks (relative contribution), T = 2012Q2; B. Forecasting with trend-cycle VARs; 3. Counterfactual Simulation: Only External Shocks; 4. Conditional In-Sample Forecasts (8 quarters ahead); C. A Look into Structural Identification Issues
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (23 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781484370377

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