Do long-term interest rates drive GDP and inflation in small open economies? Evidence from Poland

Wesołowski, Grzegorz

doi:10.1080/00036846.2018.1489507

Cited by 8 publications

(4 citation statements)

References 51 publications

(66 reference statements)

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“…The impact of interest rates on the real GDP is in line with expectations. The influence of interest rates on GDP was evidenced by Wesołowski (2018) and Simionescu et al (2017), among others. Higher (lower) growth of real GDP is related to higher (lower) interest rates in the same time period to decrease/accelerate consumer inflation.…”

Section: Panel Data Modelsmentioning

confidence: 99%

Macroeconomic performance of countries across monetary policy regimes from 2000 to 2017

Ryczkowski

Ręklewski

2020

Economic Research-Ekonomska Istraživanja

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The goal of the article is to compare macroeconomic performance of 27 advanced and emerging OECD countries through the lens of their monetary policy frameworks. We find no advantage of the euro area countries and countries whose central banks follow a dual mandate in inflation and output stabilisation as compared to full-fledged inflation targeters including strongly inflationaverse central banks. The study contributes to the unresolved discussion on optimal monetary policy after the Great Recession. The novelty relies on employing a synthetic median-based measure adjusted for initial macroeconomic conditions. The failure to account for the initial conditions leads to underestimation of performance of countries with an originally unfavourable economic situation. We verify the results with panel data models using macroeconomic variables of key importance for monetary policy after the Great Recession. Overall, the study suggests that assigning a special role to money or output in a monetary policy strategy is not required for successful macroeconomic performance.

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Section: Panel Data Modelsmentioning

confidence: 99%

Macroeconomic performance of countries across monetary policy regimes from 2000 to 2017

Ryczkowski

Ręklewski

2020

Economic Research-Ekonomska Istraživanja

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“…The authors Rossi and Gunardi (2018) tried to analyze the ideas of the theory of market efficiency with a special emphasis on the stock markets of selected European countries and the more specific impact of monetary indicators such as long-term interest rates and the impact of inflation on the GDP of mainly small open economies is also investigated by Wesolowski (2018).…”

Section: Literature Reviewmentioning

confidence: 99%

Changes in the Sectoral Structures of the Economy and the Stock Market and the Impact of the Covid-19 Pandemic on Accelerating These Processes

Chovancová¹,

Matušovič²,

Gachová³

2022

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The arrival of Industry 4.0 has brought to the forefront the demand for changes in the structure of the economy measured by GDP. This trend is being picked up more quickly by the stock market, which also signals how and where the economy should go in the future. The arrival of the Covid 19 pandemic also showed the need for restructuring of economies with the use of inteneration, digitization and robotization, which will bring stability to the economy even in times of negative development or stronger economic growth. These changes have been implemented in the last decade in several, especially developed, countries of the world. The aim of this paper is to show the extent to which countries with a small economic dimension within the EU, such as Finland, Ireland, Austria and the Czech Republic, are able to implement these processes. The aim is to quantify in detail the sectoral structure of GDP and the relevant stock indices, especially with regard to the current situation caused by the Covid-19 pandemic.

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“…They explain these changes by the search-for-yield behaviour of foreign investors. Using an estimated DSGE model, Wesołowski (2018) presents the outcomes of a term structure decomposition and shows that term premium shocks have a significant impact on GDP in Poland, but their role in driving inflation is limited. In a recent contribution, Dec (2021) provides a detailed investigation into the Polish sovereign bond market taking into account its limited liquidity and discusses specific properties of this market.…”

Section: Related Literaturementioning

confidence: 99%

Long-term sovereign interest rates in Czechia, Hungary and Poland: a comparative assessment with an affine term structure model

Janus

2022

Statistics in Transition New Series

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This paper provides a comparative evaluation of the behaviour of long-term sovereign yields in Czechia, Hungary and Poland from 2001 to 2019. An affine term structure model developed by Adrian, Crump and Moench (2013) is used as an empirical framework for the decomposition of the bond yields into term premium and risk-neutral components. We document a substantial compression in term premia which started in Central European economies around 2013 and played a decisive role in the changes that occurred in 10-year sovereign yields. This pattern, however, was more prevalent in Czechia and Poland than in Hungary. We show that long-term rates in all three economies remained higher than in Germany due to relatively large risk-neutral components. Nevertheless, cross-country correlations became increasingly dependent on term premium dynamics, both among Central European economies and between each of them and Germany. These results are robust to bias-correction in the baseline models and interpreted in the light of the general interest rates decline in the global economy. Potential policy implications are also discussed.

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Do long-term interest rates drive GDP and inflation in small open economies? Evidence from Poland

Cited by 8 publications

References 51 publications

Macroeconomic performance of countries across monetary policy regimes from 2000 to 2017

Macroeconomic performance of countries across monetary policy regimes from 2000 to 2017

Changes in the Sectoral Structures of the Economy and the Stock Market and the Impact of the Covid-19 Pandemic on Accelerating These Processes

Long-term sovereign interest rates in Czechia, Hungary and Poland: a comparative assessment with an affine term structure model

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