Analiza wpływu zmian kursu walutowego na inflację w Polsce za pomocą modelu VECM

• Authors: Malczyk Krzysztof

Title variants

EN

Exchange Rate Pass-Through to Inflation in Poland: VECM Analysis

• Languages of publication: PL

Abstracts

EN

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.

Keywords

PL

kurs walutowy; inflacja; polityka pieniężna; wektorowy model korekty błędu

EN

exchange rate; inflation; monetary policy; Vector Error Correction Model

• Publisher: Uniwersytet Andrzeja Frycza Modrzewskiego w Krakowie
• Journal: Folia Oeconomica Cracoviensia
• Year: 2011
• Volume: 52
• Pages: 19-47

Contributors

author

Malczyk Krzysztof