Anna Sznajderska’s research while affiliated with SGH Warsaw School of Economics and other places

In this paper we investigate whether the reaction function of the National Bank of Poland (NBP) is asymmetric according to the level of inflation gap and the level of output gap. Moreover, we test whether these asymmetries might possibly stem from nonlinearities in the Phillips curve. Threshold models are applied and two cases of unknown and known threshold values are investigated. Our results show that the Polish central bank responds more strongly to the level inflation when the level of inflation is relatively high. We find very weak evidence that the level of inflation reacts more strongly to the output gap when the output gap is relatively high. Thus, the asymmetries in the monetary policy rule seem to indicate asymmetric preferences of the central bank.

Over the past 23 years the financial sectors in both Poland and the Czech Republic have changed beyond recognition. The process of transformation was a tough and challenging task in both countries. There were significant differences in the initial conditions, as well as approaches to the transformation process, in Poland and the Czech Republic. It seems that according to the classification of Knell and Srholec (2005), the two countries represent different types of capitalism. In this article we try to demonstrate that the organization and development level of the financial systems in these seemingly similar countries are different as well. The primary objective of the study is to compare the path of development and today’s performance of the financial systems in Poland and in the Czech Republic.

The paper provides an overview of the literature on the role of monetary aggregates for conducting monetary policy and attempts to assess the role of these aggregates in the Polish monetary policy. We compare theoretical and empirical arguments which justify or undermine the need for usage of monetary aggregates by central banks, as well as arguments indicating related problems. We describe the most important areas of the discussion on the role of money in monetary policy. We present studies on the information content of money and the use of that information in the Polish central bank's monetary policy between 1998 and 2011.

Asymmetric effects in a monetary policy rule could appear due to asymmetric preferences of the central bank or/and due to nonlinearities in the economic system. It might be suspected that monetary authorities are more aggressive to the inflation rate when it is above its target level than when it is below. It also seems probable that monetary authorities have different preferences and react more strongly when the level of economic activity is low than when it is high. In this paper we investigate whether the reaction function of the National Bank of Poland (NBP) is asymmetric according to the level of inflation gap and the level of output gap. Moreover, we test whether these asymmetries might possibly stem from the nonlinearities in the Phillips curve. Threshold models are applied and two cases of unknown and known threshold value are investigated.

In the light of the results of empirical studies presented in the Report and the literature available45 it may be concluded that the form of the monetary policy transmission mechanism in Poland is consistent with structural features of the Polish economy and coincides with those characteristic of more developed European economies, e.g. the euro area. Although the financial intermediation system is less developed than in the euro area, Poland, like the new EU Member States is characterised by a lower degree of rigidity and more frequent price adjustments (as a result of a relatively higher and more volatile inflation), due to which there exist no grounds for stating that the transmission mechanism is weaker in these countries than in the euro area countries. The characteristics of the monetary policy transmission mechanism in Poland, which changed considerably in the transition period along with the development of the financial system and changes in the monetary policy, displayed symptoms of stabilisation in 2004/2005-2007. Poland’s accession to the European Union, resulting in a major reduction of macroeconomic uncertainty, was one of the factors that contributed to this process. The monetary policy transmission mechanism was, however, disturbed by the financial crisis. Its impact on the transmission mechanism remains strong, which is demonstrated notably by the analysis of the effectiveness of transmission mechanism channels.

This paper empirically examines the potential asymmetries in the interest rate pass-through in Poland. We investigate the chosen retail interest rates in commercial banks on deposits and loans denominated in the Polish currency. It is considered whether their adjustment to changes in interbank rates is asymmetric in the long term as well as in the short term. We test for asymmetric cointegration using threshold autoregressive models and momentum-threshold autoregressive models. Next, if it is possible applying the threshold error correction models, we search for asymmetries associated with the direction of change in the money market rate, the level of the economic activity, the level of liquidity in the banking sector, the central bank’s credibility and the economic agents’ expectations. Finally, we test whether using the asymmetric models improves the quality of forecasts of retail bank interest rates.