Are Central Banks In CEE Countries Concerned About The Burden Of Public Debt?

• Authors: Joanna Mackiewicz-Łyziak

Title variants

Czy banki centralne w krajach Europy Środkowej reagują na dług publiczny?

• Languages of publication: EN

Abstracts

EN

The aim of this study is to analyze the monetary policy rules in the Czech Republic, Hungary and Poland, with public debt as an additional explanatory variable. We estimate linear rules by the GMM estimation and non-linear rules, using the Markov-switching model. Our findings suggest that in the Czech Republic and Poland the monetary authorities respond to growing public debt by lowering interest rates, while in Hungary the opposite may be observed. Moreover, we distinguish between passive and active monetary policy regimes and find that the degree of interest rate smoothing is lower and the response of the central banks to inflation and/or output gap is stronger in an active regime. In the passive regime, the output gap seems to be statistically insignificant.

PL

Celem badania jest analiza reguł polityki pieniężnej w Czechach, Polsce i na Węgrzech, z długiem jako dodatkową zmienną objaśniającą. Estymowana jest liniowa reguła przy użyciu Uogólnionej Metody Momentów oraz reguła nieliniowa przy użyciu modelu przełącznikowego Markova. Wyniki badania sugerują, że w Czechach i Polsce władze monetarne reagowały na rosnący dług obniżaniem stóp procentowych, podczas gdy na Węgrzech reakcja była odwrotna. Ponadto, wyróżniamy pasywny i aktywny reżim polityki pieniężnej, przy czym reżim aktywny charakteryzuje się niższym stopniem wygładzania stóp procentowych i silniejszą reakcją banku centralnego na inflację i/lub lukę produktową. W reżimie pasywnym luka produktowa okazuje się być statystycznie nieistotna.

Keywords

EN

monetary policy; general government debt; Taylor rule; regime switching

PL

polityka pieniężna; dług publiczny; reguła Taylora; zmiana reżimu; polityka pieniężna; dług publiczny; reguła Taylora; zmiana reżimu

• Publisher: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
• Journal: Comparative Economic Research. Central and Eastern Europe
• Year: 2017
• Volume: 20
• Issue: 1
• Pages: 35-51

Dates

published

2017-03-09

Contributors

author

Joanna Mackiewicz-Łyziak

• Warsaw University, Faculty of Economic Sciences

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Identifiers

DOI

10.1515/cer-2017-0003