Results found: 2

Search results

Search:
in the keywords: macroeconometrics

Sort By:

Limit search:

Application of the vector-autoregression VAR model in the analysis of unemployment hysteresis in the context of Okun’s Law

100%

Kołbyko P.

Research Papers in Economics and Finance

2022

vol. 6

issue 2

68-85

Unemployment is an important macroeconomic issue both in theoretical terms and for economic reality. On the theoretical ground, the unemployment rate, which is a measure of the share of unemployed units of the labour supply in the economy, determines the output gap at a certain adjustment parameter determined by the marginal productivity of labour. One of the causes of rising or persistent unemployment in the economy is the phenomenon of unemployment hysteresis, which occurs as a result of changes in the marginal disutility of labour, the strength of the wage bargain and other exogenous conditions arising in previous periods. The purpose of the study conducted in the following paper is to investigate the phenomenon of hysteresis in the labour market by analysing the significance of the impact of the unemployment rate in previous periods. In addition, the work aims to study Okun’s Law as an effect of production dynamics on the unemployment rate. The study of the dependence was carried out through the estimation of a macroeconometric time series model-vector-autoregression (VAR) on the example of statistical data for Poland obtained from Statistics Poland (Stat.gov.pl) and complied raports about national accounts in the quarterly sequence for the years 2015–2021. The period of the study was arbitrarily selected with the observation of business cycle fluctuations in the above time frame. Empirical analysis of selected structural parameters through estimation of the vector-autore- gression model showed a significant influence of the time series in the formation of the unemployment rate, which confirms the influence of the analysed phenomenon of hysteresis in the labour market. In addition, the vector-autoregression model for inter- val forecasting through the use of dynamic prediction proved to be a posteriori accurate forecasting model of the unemployment rate in the Polish economy.

Monetary determinants of output dynamics in the light of the structural vector-autoregressive SVAR model: a Keynesian approach

100%

Kołbyko P. N.

Studies in Risk and Sustainable Development

2024

issue 398

1-19

PURPOSE: The purpose of the following paper is to analyze and empirically verify the monetary theory of business cycles as a mechanism for the interaction of the dynamics of production and money supply based on the example of the Polish economy. In order to identify and mitigate the risk of economic fluctuations as a function of the response of the central bank, it is necessary to conduct an extensive analysis of the indirect mechanism of transmission of monetary impulses on production in the economy. DESIGN/METHOD: Empirical analysis was carried out by estimating a macroeconometric time series model taking into account the inductive information based on the Keynesian theory the structural vector-autoregressive SVAR model. The stochastic process included in the study was based on statistical data of Poland, which were obtained from the cyclical reports: ‘Preliminary estimate of gross domestic product’ and ‘Quarterly accounts of gross domestic product in 2017-2021’, Poland’s Central Statistical Office and the National Bank of Poland's databases for the time interval of 2007.Q1-2022.Q2. RESULTS/FINDINGS: The applied empirical analysis positively verified the existence of an indirect monetary impulse transmission mechanism in Poland’s economy. The obtained research has positively verified the compatibility of the monetary theory of the business cycle in terms of the Keynesian theory with the macroeconomic reality in Poland. The results of the research justify the measures to mitigate the risk of economic instability and impose a requirement for discretionary policy by the National Bank of Poland. ORIGINALITY/VALUE: The following work addresses an important element of the macroeconomic analysis, specifically the monetary theory of the business cycle. The originality of the work stems from the empirical attempt to verify the monetary theory of the business cycle taking into account the indirect mechanism of transmission of monetary impulses on the grounds of the statistical data from the Polish economy.

Refine search results

1 Research Papers in Economics and Finance

1 Studies in Risk and Sustainable Development

1 Kołbyko P.

1 Kołbyko P. N.

1 2024

1 2023

Search results

Application of the vector-autoregression VAR model in the analysis of unemployment hysteresis in the context of Okun’s Law

Monetary determinants of output dynamics in the light of the structural vector-autoregressive SVAR model: a Keynesian approach