The New Macroeconometric Model of the Polish Economy

Budnik, Katarzyna; Greszta, Michał; Hulej, Michal; Kolasa, Marcin; Murawski, Karol; Rot, Michal; Rybaczyk, Bartosz; Tarnicka, Magdalena

doi:10.2139/ssrn.1752088

Cited by 11 publications

(9 citation statements)

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“…In Poland, the National Central Bank of Poland (NBP) uses the structural macroeconometric model NECMOD in order to produce a coherent scenario, employing a broad selection of macrofinancial variables (Budnik et al, 2009). The projected financial position of the banking sector is examined on the basis of two scenarios which span a three-year horizon: a reference scenario and a shock scenario.…”

Section: Adverse Scenario Development and Simulationmentioning

confidence: 99%

Forecasting the Net Interest Margin and Loan Loss Provision Ratio of Banks in Various Economic Scenarios: Evidence from Poland

Borsuk¹

2019

RJMF

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The aim of stress-testing is to test the resilience of the banking sector to negative developments on the financial markets and in the real economy. One of the key issues in stress-testing is the translation of various scenarios into bank-level risk parameters and the determination of their impact on banks' profitability or loss-bearing capacity. This paper has two objectives. The first is to identify key macroeconomic determinants of the loan loss provision ratio and net interest margin. The second is to show how satellite models can be applied in stress-testing exercises to determine the impact of macroeconomic outcomes on banks. We contribute to the empirical literature by defining macroeconomic determinants for credit risk on the basis of three different credit portfolios (consumer, mortgage, and corporate) for banks operating in Poland. Our estimation results suggest that economic growth, the labour market, and market interest rates have a significant influence on the net interest margin and loan loss provision ratio.

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Section: Adverse Scenario Development and Simulationmentioning

confidence: 99%

Forecasting the Net Interest Margin and Loan Loss Provision Ratio of Banks in Various Economic Scenarios: Evidence from Poland

Borsuk¹

2019

RJMF

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“…1. real Gdp, 2. output gap calculated from a production function of a structural macroeconometric model for the Polish economy (Budnik et al, 2009), 3. output gap published by the EC (interpolated to quarterly series), 1 The approach presented here is similar to the one found in ECB (2016) and Alvarez and Urtasun (2013). However, in the Ecb report a much smaller set of variables is considered for the Polish economy and the equations are estimated using Ols disregarding the potential endogeneity problems.…”

Section: Specification Of the Econometric Modelmentioning

confidence: 99%

Linking Excessive Disinflation and Output Movements in an Emerging, Small Open Economy -- A Hybrid New Keynesian Phillips Curve Perspective

Szafranek

2016

SSRN Journal

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“…Initially the bank was disclosing only inflation and GDP forecasts, while in the meantime the forecast release has been extended by a broader set of key macroeconomic variables. The forecasts are derived using the macroeconometric model (N)ECMOD (see Budnik et al, 2009). The forecasts cover the current and two consecutive years, which results in a varying length of the forecast horizon: from 8 to 12 quarters.…”

Section: Data and Model 21 Nbp Forecastsmentioning

confidence: 99%

Do Central Bank Forecasts Matter for Professional Forecasters?

Kotłowski

2015

SSRN Journal

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This paper examines to what extent public information provided by the central bank affects the forecasts formulated by professional forecasters. We investigated empirically whether disclosing GDP and inflation forecasts by Narodowy Bank Polski (the central bank of Poland) reduced the disagreement in professional forecasters' expectations. The results only partially support the hypothesis on the coordinating role of the central bank existing in the literature. The main finding is that by publishing its projection of future GDP growth, the central bank was reducing the dispersion of one-year-ahead GDP forecasts. Our study indicates that the role of the central bank in reducing the forecasts dispersion was strengthening over time. We also found using non-linear STR models that the extent to which the projection release affected the dispersion of GDP forecasts varied over the business cycle. By disclosing its own projection the central bank reduced the disagreement among the forecasters the most in the periods when the economy moved from one phase of the business cycle to another. On the other hand, the release of CPI projection by NBP affected neither the cross-sectional dispersion nor the level of forecasts formulated by professional forecasters.

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The New Macroeconometric Model of the Polish Economy

Cited by 11 publications

References 0 publications

Forecasting the Net Interest Margin and Loan Loss Provision Ratio of Banks in Various Economic Scenarios: Evidence from Poland

Forecasting the Net Interest Margin and Loan Loss Provision Ratio of Banks in Various Economic Scenarios: Evidence from Poland

Linking Excessive Disinflation and Output Movements in an Emerging, Small Open Economy -- A Hybrid New Keynesian Phillips Curve Perspective

Do Central Bank Forecasts Matter for Professional Forecasters?

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