Prague Economic Papers 2014, 23(3):269-289 | DOI: 10.18267/j.pep.484
The Reaction Function of Three Central Banks of Visegrad Group
- University of Economics, Prague, nám. W. Churchilla 4, 130 67 Prague 3, Czech Republic (arlt@vse.cz; mandel@vse.cz).
The aim of our paper is to formulate and empirically verify the simple backward looking econometric model of the monetary policy rule, which would be able to describe the development of monetary policy rate, namely only on the basis of statistically measured and at the given time available information. We focus on the Czech National Bank, the National Bank of Poland and the Magyar Nemzeti Bank in the period of January 1999 to April 2012. In the present paper we discuss some methodological problems associated with the ex-post empirical verification of the central bank's monetary policy rule. We construct an empirical model of the monetary policy rule, justify the choice and the inclusion of explanatory variables, analyse the statistical properties of time series, and verify the alternative forms of econometric models. Our analysis showed that the development of monetary policy rate in the reporting period can be explained by the past and present development of four explanatory variables: yearly inflation rate, exchange rate, ECB main refinancing rate and growth rate of M2. The annualized inflation rate proved to be statistically insignificant in the model. We find interesting that the statistical quality of the estimated model was further increased after a six-month lag of the annual inflation rate added to the model.
Klíčová slova: Visegrad Group, repo rate, monetary policy rules, econometric model, cointegration, annual inflation rate
JEL classification: C12, C22, E43, E47, E52
Zveřejněno: 1. leden 2014 Zobrazit citaci
Reference
- Andrews, D. W. K. (1991), "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation." Econometrica, Vol. 59, No. 3, pp. 817-858.
Přejít k původnímu zdroji...
- Andrews, D. W. K, Monahan, J. CH. (1992), "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator." Econometrica, Vol. 60, No. 4, pp. 953-966.
Přejít k původnímu zdroji...
- Arlt, J., Arltová, M. (2009), Ekonomické časové řady. Praha: Professional Publishing.
- Arlt, J., Bašta, M. (2008), "Time Series of Monthly and Yearly Inflation Rates and Their Properties". (in Czech) Politická ekonomie, Vol. 56, No. 4, pp. 536-556.
- Arlt, J., Bašta, M. (2010), "The Problem of the Yearly Inflation Rate and Its Implications for the Monetary Policy of the Czech National Bank." Prague Economic Papers, Vol. 19, No. 2, pp. 99-117.
Přejít k původnímu zdroji...
- Arlt, J., Mandel, M. (2012), "Is It Possible to Predict the CNB Repo Rate on the Basis of the BackwardLooking Monetary Rule?" (in Czech) Politická ekonomie, Vol. 60, No. 4, pp. 484-504.
- Beneš, J., Hlédik, T., Kumhof, M., Vávra, D. (2005), "An Economy in Transition and DSGE: What the Czech National Bank's New Projection Model Needs." CNB Working Paper, 2005, No. 12.
- Budnik, K., Kolasa, M., Hulej, M., Greszta, M., Murawski, K., Rot. M., Tarnicka, M., Rybaczyk, B. (2008). NECMOD. National Bank of Poland, June 2008.
- Brada, J., Brůna, K. (2004), "An Analysis of PRIBOR Interest Rates Sensitivity to Changes in Czech National Bank Repo Rate." (in Czech) Politická ekonomie, Vol. 52, No. 5, pp. 601-621.
- Chinn, M. D., Meredith, G. (2004), "Monetary Policy and Long-Horizon Uncovered Interest Parity." IMF Staff Papers, Vol. 51, No. 3, 2004.
- Den Haan, W. J., Levin, A. (1997), "A Practitioner's Guide to Robust Covariance Matrix Estimation." In Maddala, G. S., Rao, C. R. (eds.), Handbook of Statistics Vol. 15, Robust Inference, pp. 291-341. Amsterdam: North-Holland.
Přejít k původnímu zdroji...
- Dědek, O. (2004), "Four Reflections on Practising Inflation Targeting in the Czech Republic." Politická ekonomie, Vol. 52, No. 2, pp. 147-170.
Přejít k původnímu zdroji...
- Durčáková, J., Mandel, M., Tomšík, V. (2005), "Puzzle in the Theory of Uncovered Interest Rate Parity-Empirical Verification for Transitive Countries." Finance India, 2005, Vol. 19, No. 2, pp. 449-464.
- Frommel, M., Schobert, V. (2006), "Monetary Policy Rules in Central and Eastern Europe." Deutsche Bundesbank Discussion Paper, 2006, No. 341.
- Hlédik, T. (2004), "Quantifying the Second-Round Effects of Supply-Side Shocks on Inflation." Prague Economic Papers, Vol. 13, No. 2, pp. 125-141.
Přejít k původnímu zdroji...
- Horváth, A., Kober, C., Szilagyi, K. (2011), "The Magyar Nemzeti Bank´s Monetary Policy Model." MNB Bulletin, June 2011.
- Horváth, R. (2008), "Asymmetric Monetary Policy in the Czech Republic?" Czech Journal of Economics and Finance, Vol. 58, No. 9-10, pp. 470-481.
- Hu, L., Phillips, P. C. B. (2004), "Dynamics of the Federal Funds Target Rate: a Nonstationary Discrete Choice Approach." Journal of Applied Econometrics, October 2004, Vol. 19, No. 7, pp. 851-867.
Přejít k původnímu zdroji...
- Jespersen, J. (2011). Macroeconomic Methodology: A Post-Keynesian Perspective. Cheltenham: Edward Elgar Publishing, Ltd., 2011.
- Kukal, J., Van Quang, T. (2011), "Modeling the CNB's Monetary Policy Interest Rate by Artificial Neural Networks." (in Czech). Politická ekonomie, Vol. 59, No. 6, pp. 810-829.
- Mandel, M., Kosmata, V. (2000), "The Czech Embarrassment of Inflation Targeting in Transition." Prague Economic Papers, Vol. 9, No. 3, pp. 230-241.
Přejít k původnímu zdroji...
- Maria-Dolores, R. (2005), "Monetary Policy Rules in Accession Countries to EU: Is the Taylor Rule a Pattern?" Economics Bulletin, Vol. 5, No. 5, pp. 1-16.
- Mehra, Y. P. (1999), "A Forward-Looking Monetary Policy Reaction Function. FRB of Richmond Economic Quarterly, Vol. 85, No. 2, pp. 33-53.
- Mohanty, M. S., Klau, M. (2004), "Monetary Policy Rules in Emerging Market Economies: Issues and Evidence." BIS Working Paper, 2004, No. 149.
Přejít k původnímu zdroji...
- Newey, W. K., West, K. D. (1987), "A Simple Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix." Econometrica, Vol. 55, No. 3, pp. 703-708.
Přejít k původnímu zdroji...
- Paez-Farrell, J. (2007), "Understanding Monetary Policy in Central European Countries Using TaylorType Rules: The Case of the Visegrad Four." Economics Bulletin, Vol. 5, No. 3, pp. 1-11.
- Senbet, D. (2010), "Estimating Monetary Policy Reaction Function: A Factor-Augmented Sector Autoregressive (FAVAR) Approach." Journal of Money, Investment and Banking, 2010, Vol. 19, pp. 85-113.
- Svensson, L. E. O. (1998), "Open-Economy Inflation Targeting." NBER Working Paper Series 6545, May 1998.
Přejít k původnímu zdroji...
- Svensson, L. E. O. (1999), "Inflation Targeting as a Monetary Policy Rule." Journal of Monetary Economics, Vol. 43, No. 3, pp. 607-654.
Přejít k původnímu zdroji...
- Škop, J. (2012). Central Bank Reaction Functions in CEE. Societe Generale, Cross Asset Research, March 2011, pp. 10-14.
- Taylor, J. B. (1993), "Discretion versus Policy Rules in Practice." Carnegie-Rochester Conference Series in Public Policy, Vol. 39, December 1993, pp. 195-214.
Přejít k původnímu zdroji...
- Taylor, J. B. (2001), "The Role of the Exchange Rate in Monetary-Policy Rules." American Economic Review, Papers and Proceedings, Vol. 91, No. 2, pp. 263-267.
Přejít k původnímu zdroji...
- Vašíček, B. (2011), "Is Monetary Policy in the New EU Member States Asymmetric?" CNB Working Paper, 2011, No. 5.
- Verbeek, M. (2004), A Guide to Modern Econometrics. Chichester, UK: John Wiley and Sons, Ltd., 2004.
Tento článek je publikován v režimu tzv. otevřeného přístupu k vědeckým informacím (Open Access), který je distribuován pod licencí Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY NC ND 4.0), která umožňuje nekomerční distribuci, reprodukci a změny, pokud je původní dílo řádně ocitováno. Není povolena distribuce, reprodukce nebo změna, která není v souladu s podmínkami této licence.