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Author
Shevchuk Viktor (Cracow University of Technology)
Title
The Macroeconomic Effects of the Taylor Rule Deviations in Central and Eastern European Countries
Efekty makroekonomiczne odchyleń od reguły Taylora w gospodarkach Europy Środkowej i Wschodniej
Source
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu, 2023, nr 4 (67), s. 132-142, tab., rys., bibliogr. 22 poz.
Research Papers of Wrocław University of Economics
Keyword
Inflacja, Kurs walutowy, Reguła Taylora
Inflation, Exchange rates, Taylor rule
Note
JEL Classification: C30, E31, E52
streszcz., summ.
Country
Europa Środkowo-Wschodnia
Central and Eastern Europe
Abstract
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.(abstrakt oryginalny)

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.(original abstract)
Accessibility
The Main Library of the Wroclaw University of Economics
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Bibliography
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ISSN
1899-3192
Language
eng
URI / DOI
http://dx.doi.org/10.15611/pn.2023.4.12
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