The Macroeconomic Effects of the Taylor Rule Deviations in Central and Eastern European Countries

• Authors: Viktor Shevchuk

Title variants

PL

Efekty makroekonomiczne odchyleń od reguły Taylora w gospodarkach Europy Środkowej i Wschodniej

Abstracts

PL

Wykorzystując dane kwartalne z lat 2002-2021, standardową regułę Taylora oszacowano dla czterech krajów Europy Środkowej i Wschodniej (Czech, Węgier, Polski i Rumunii). Posługując się modelem SVAR, otrzymano, że we wszystkich krajach EŚW zaniżony poziom stopy procentowej banku centralnego względem stopy na podstawie reguły Taylora jest spowodowany przez lukę dochodu oraz inflację. Jednocześnie odchylenia od reguły Taylora mają zróżnicowany wpływ na inne zmienne endogeniczne. Ponadto stwierdzono, że deprecjacja kursu walutowego przeważnie powoduje cykliczny spadek dochodu oraz przyspieszenie inflacji, cykliczny boom jest inflacyjny (z wyjątkiem Rumunii), a także wskazano, jak efekty inflacyjne względem dochodu różnią się w przekroju poszczególnych krajów EŚW.

EN

A standard Taylor rule was estimated for several Central and Eastern European (CEE) countries (Czechia, Hungary, Poland, Romania) based on quarterly data over the 2002-2021 period. The SVAR model indicates, for all CEE countries, that the level of central bank policy rate below the Taylor rule implied rate is caused by both output gap and inflation, with the Taylor rule deviations having heterogeneous effects on other endogenous variables. Among other results, the depreciation of the exchange rate is contractionary and inflationary, the output gap is inflationary (except for Romania), while inflationary effects on output are different across the CEE countries.

Keywords

EN

Taylor rule; output; inflation; exchange rate; SVAR

PL

reguła Taylora; dochód; inflacja; kurs walutowy; SVAR

• Publisher: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
• Journal: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
• Year: 2002
• Volume: 67
• Issue: 4
• Pages: 132-142

Dates

published

2023

Contributors

author

Viktor Shevchuk

• Politechnika Krakowska

References

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Identifiers

DOI

10.15611/pn.2023.4.12

Biblioteka Nauki

22618308