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Identification of financial and macroeconomic shocks in a VAR model of the Polish economy. A stability analysis

100%
Ulrichs M.
Economics and Business Review
|
2018
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vol. 4(18)
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issue 1
29-43
EN
Dynamic macroeconomic models (both VAR and DSGE) currently play a very significant role in macroeconomic modelling. But these types of models rarely take into account the impact of financial markets on the behaviour of economies, they are rather more focused on the monetary transmission mechanism. The financial crisis of 2007-2008 highlighted the impact of the financial market on the macroeconomy. In this context macroprudential policy and financial stability analysis has gained a stronger meaning. The main aim of the paper is to estimate a model that simultaneously explains the dynamics of macroeconomic and financial variables and to assess whether the identified relationships are stable over time. Therefore, based on the estimated empirical structural vector autoregression model explaining the interactions between the real economy, the financial system and monetary policy in Poland, financial and macroeconomic shocks were identified. It was shown that the impulse reaction functions changed after the financial crisis. On the basis of Markov‑Switching vector autoregression model probabilities of transitions between states of the economy and the regime-dependent impulse reaction functions were estimated.
2
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Impulse Response Functions in the Dynamic Stochastic General Equilibrium Vector Autoregression Model

88%
Wróbel-Rotter R.
Central European Journal of Economic Modelling and Econometrics
|
2016
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issue 2
3
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Reakcja detalicznych cen paliw na zmiany cen hurtowych PKNOrlen i Lotos

63%
Waściński T. H., Przekota G., Sobczak L. M.
Metody Ilościowe w Badaniach Ekonomicznych
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2010
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vol. 11
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issue 2
273-280
PL
W artykule podjęto próbę określenia siły i kierunku wpływu hurtowych cen paliw koncernów PKNOrlen i Lotos na ceny detaliczne. Analizę przeprowadzono dla średnich tygodniowych hurtowych cen paliw koncernów Orlen i Lotos oraz cen detalicznych na wybranych stacjach. Otrzymane wyniki wskazują na silny wpływ cen hurtowych na ceny detaliczne, chociaż w krótkim okresie przyrosty cen hurtowych Orlen silniej niż przyrosty cen Lotos wpływają na przyrosty cen detalicznych, a reakcja przyrostów cen detalicznych na zmiany przyrostów cen hurtowych najsilniejsza jest w drugim tygodniu po zaistnieniu impulsu.
EN
In this article an attempt was made to determine the strength and direction of the impact of the PKNOrlen and Lotos wholesale fuel prices to retail prices. The analysis was performed for the average weekly wholesale price of fuel groups Orlen and Lotos, and retail prices on selected stations in the years 2004-2008. Correlation analysis was used here and the tools associated with the VAR model. The results indicate strong influence of the wholesale prices into retail prices. But in the short-term differences in wholesale prices Orlen increases stronger than differences in wholesale prices Lotos affect the retail price differences. Retail prices respond with a two-week delay to changes in wholesale prices.
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