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A Model-Based Analysis of Spillovers: The Case of Poland and the Euro Area
Author: Michal Andrle, Mr. Roberto Garcia-Saltos, and Giang Ho
Series:
IMF Working Papers
Volume/Issue:
Volume 2014: Issue 186
Language:
English
Publication Date:
17 Oct 2014
DOI:
https://doi.org/10.5089/9781498381819.001
ISBN:
9781498381819
ISSN:
1018-5941
Pages:
50
Keywords:
WP; demand shock; core inflation; monetary policy; interest rate; Poland; Euro area; semi-structural model; spillovers; output gap; interbank market premium; cost-push shock; inflation dynamics; nominal rate; Euro area economy; inflation process; cost-push shock moves output; inflation variance; steady-state inflation; inflation decomposition; Inflation; Real exchange rates; Real interest rates; Exchange rates; Inflation targeting; Global; Europe
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IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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This paper studies economic and financial spillovers from the euro area to Poland in a two-country semi-structural model. The model incorporates various channels of macrofinancial linkages and cross-border spillovers. We parameterize the model through an extensive calibration process, and provide a wide range of model properties and evaluation exercises. Simulation results suggest a prominent role of foreign demand shocks (euro area and global) in driving Poland’s output, inflation and interest rate dynamics, particularly in recent years. Our model also has the capability for medium-term conditional forecasting and policy analysis.
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund