Analiza wpływu zmian kursu walutowego na inflację w Polsce za pomocą modelu VECM
Ładowanie...
Data wydania
2011
Autorzy
Tytuł czasopisma
ISSN
0071-674X
eISSN
Tytuł tomu
ISBN
eISBN
Wydawca
Oficyna Wydawnicza AFM
Abstrakt
This paper applies Vector Error Correction (VEC) methodology to investigate effects of exchange
rate shocks to inflation and price setting processes in Poland, since National Bank of Poland (NBP)
have adopted inflation targeting policy and floating exchange rate regime in 1998. The size and the
speed of the pass-through at different stage of pricing chain (import prices, producer prices, consumer
prices) is measured by impulse response function (IRF). In addition, the relative importance
of the exchange rate shocks using forecast errors variance decompositions from the estimated
VECM is investigated. The results are interpreted in the context of NBP's conduct of monetary
policy, in the prospect of euro area accession.
Opis
Tematy
Słowa kluczowe
exchange rate, inflation, monetary policy, Vector Error Correction Model kurs walutowy, inflacja, polityka pieniężna, wektorowy model korekty błędu
Źródło
Folia Oeconomica Cracoviensia 2011, Vol. LII, s. 19-47.