Tomasz Łyziak’s research while affiliated with Narodowy Bank Polski and other places

Inflation perceived by consumers may differ from official statistics due to different baskets of goods and services both variables refer to. Consumers may be substantially influenced by prices of frequent purchases. Such an effect was noted in some European countries at the time of the launch of the euro. This study tests the relationship between price changes of different baskets of goods and services and consumer inflation perception in Poland. A relatively fast increase in prices of frequently purchased products characterised the period of Polish accession to the European Union, which offers a good basis for analysing its impact on inflation perception. Comparative Economic Studies (2009) 51, 100–117. doi:10.1057/ces.2008.21

This paper applies an empirical framework, combining the use of ordered probit approach, novel real-time data set and decision-making meetings of monetary authority as a unit of observation, to estimate highly systematic reaction patterns between policy rate decisions of the National Bank of Poland and incoming economic data for the period 1999 -2007. The paper measures the empirical significance of rate discreteness and demonstrates that both the discrete-choice approach and real-time "policy-meeting" data do matter in the econometric identification of Polish monetary policy. The study detects structural breaks in policy, which switched its focus from current to expected inflation and from exchange rate to real activity. The response to inflationary expectation is shown to be highly asymmetrical depending on whether the expectation is above or below the inflation target. The policy rate appears to be driven by key economic indicators without evidence for intentional interest-rate smoothing by central bank. The estimated rules explain correctly 95 percent of observed policy actions and surpass the market anticipation, made one day prior to a policy meeting, both in and out of sample.-Warsaw for help with getting statistical data; Joao Santos Silva for useful suggestions and explanations; TechnoNICOL for providing a computer; Timo Mitze, Alexis Belianin, Michał Brzoza-Brzezina, Dariusz Filar, Andrzej Sławiński and other participants at XIII th Spring Meeting of Young Economists and Research Seminars at International College of Economics & Finance and National Bank of Poland for useful comments.

The importance of credit in the monetary transmission mechanism has recently attained a lot of attention due to a growing understanding that credit market imperfections can have an impact on the monetary policy effectiveness. In this study, using Vector Error Correction Models (VECMs) and Structural Vector Autoregressions (S-VARs), we go in-depth of the role of credit in the Polish monetary policy transmission. Papers on the role of credit in the money transmission mechanism (MTM) in Poland show that the credit channel operates. It seems however, that factors through which it affects the aggregate demand might have changed over time. The most recent study on the bank-level data suggests that the degree of bank liquidity has an impact on its efficiency: the most liquid banks do not reduce their loan supply for firms after monetary policy tightening. Previous works suggested that bank size and capital as well as variables connected with risk taking might have played a role in the credit channel operation. The results presented in this study suggest that the monetary policy impact on loan supply is, if anything, weak. One of the reasons is that Polish banks hold large amounts of highly liquid assets in their portfolios. Banks are therefore able to implement buffer-stock behaviour: in response to a tighter monetary policy, they can reduce their stocks of most liquid assets and insulate loan portfolios. To shed some light on the behaviour of the corporate sector we show how interest rate shocks affect the indebtedness of various types of firms (private, individual . i.e. small privately owned entities employing up to nine persons, state-owned). Since the balance sheet channel (one of the concepts within the broad credit channel theory) stresses the impact of monetary policy on the borrowers. balance sheets, we examine the relationship between loans and financial standing of firms. We find some support for the hypothesis that firms. balance sheets are an important factor in the loan supply function. We also analyse the reactions of various types of loans, i.e. investment, revolving and export credit, as well as real estate and securities loans to monetary policy shocks. Our results suggest that after a monetary tightening the response of investment loans differs from the response of other types of loans.

In this study we analyse transparency and credibility of the National Bank of Poland's monetary policy under the inflation-targeting regime in the period 1998–2004. To verify NBP transparency we analyse the transparency of the monetary policy framework and the predictability of policy decisions. With respect to the former, we present some indicators suggested in the literature, while with respect to the latter we analyse the formation of interest rate expectations by commercial bank analysts. As far as NBP credibility is concerned, we evaluate the way in which inflation expectations of consumers and commercial bank analysts are formed and how they are related to the inflation target.

Qualitative data on inflation perceptions and expectations, as obtained from surveys, can be quantified into numerical indicators of the perceived and expected rates of price change. This paper presents the results of different versions of probability and regression methods, implemented in order to estimate Polish consumer inflation perceptions and predictions, based on monthly consumer surveys. The paper also discusses the limited usefulness of quantitative questions, which occur to be excessively difficult for a significant part of respondents, whose numerical declarations are inconsistent with opinions expressed in a qualitative manner

Qualitative survey data on inflation expectations can be quantified with the use of probability or regression methods. This paper presents the results of probability methods implemented to estimate numerical measures of Polish consumer inflation expectations. Inflation expectations constitute a subject of particular interest to central banks, especially those pursuing a monetary policy based on a strategy of inflation targeting. One of commonly emphasised features of this strategy is that it has proved to be useful in anchoring inflation expectations. The paper proposes a manner in which the achievement of this goal may be assessed ex-post. It is argued that to make such an assessment it is not sufficient to examine changes in the level of inflation expectations relative to inflation target, but it is necessary to analyse in detail the formation of inflation expectations, in particular the degree to which requirements of rational expectations hypothesis, namely: unbiasedness and macroeconomic efficency, are fulfilled. The examination of consumer expectations in Poland leads to the conclusion that even if the adoption of inflation targeting in Poland in 1998 and the commitment of monetary authorities to reach price stability reflected in a fast disinflation process decreased the level of inflation expectations, it has not sufficiently increased their rationality yet. On the other hand, there appear some signs of consumer inflation expectations in Poland becoming slightly more forwardlooking in the most recent period.

The paper presents an update of the structural macroeconometric model of the Polish economy NECMOD. The updated version of the model is, similarly as its predecessor, used at the National Bank of Poland for forecasting and policy simulation exercises. NECMOD is a hybrid, medium-scale and partially forward-looking quarterly model with its structure rooted in the economic theory. Great emphasis has been put on modelling of the supply side of the economy and mechanisms that introduce high persistency of shocks. The present version of NECMOD was estimated on the data covering a period from 1995 to 2008. Its main advantage, as compared to the previous version, is a more detailed and coherent approach to the modelling of the external sector block. Now, secular changes in the exchange rate and foreign trade dynamics are explained jointly with reference to the taste-for-variety theory. Moreover, the current version of the model better reflects interdependencies between domestic and external sector, i.e. via exchange rate - wealth channel.

Inflation expectations constitute a subject of particular contemporary interest to central banks, especially those pursuing a monetary policy based on a strategy of direct inflation targeting. Macroeconomic theory indicates that the transmission of monetary policy impulses and their impact on the real and nominal sectors of the economy bear a close relationship to properties of inflation expectations. Qualitative data on inflation expectations, as obtained from surveys, can be quantified with the use of probability or regression methods. This paper presents the results of two versions of the probability method, implemented in order to estimate numerical measures of Polish consumer inflation expectations, based on the monthly Ipsos-Demoskop survey. In addition, the unbiasedness and macroeconomic efficiency of Polish consumer inflation expectations are tested, as are the way in which these are formed. The pattern of responses to the survey question and quantified measures of Polish consumer inflation expectations are also compared with the respective findings for the euro area. JEL Classification: C42; D12; D84; E58.

1 Makroekonomiczne ramy analizy mechanizmu transmisji 1. Ekonomiści od dawna dyskutują na temat sposobów, w jaki polityka pieniężna wpływa na gospodarkę. Kontrowersje pojawiające się w toku tej dyskusji spowodowały, iż w literaturze pojawiły się podejścia do analizy mechanizmu transmisji impulsów polityki pieniężnej, które nie wymagają specyfikowania konkretnej postaci zależności między zmiennymi reprezentują-cymi politykę pieniężną (najczęściej jest to stopa procentowa banku centralnego) a zagrego-wanymi charakterystykami całej gospodarki (wśród których wyróżnia się szczególnie produkt krajowy brutto i inflację). Jednak dobór zmiennych wykorzystywanych w takich badaniach oraz interpretacja i dyskusja uzyskanych wyników wymagają nadal przyjęcia pewnych ma-kroekonomicznych ram analizy. Ramy te były przedmiotem wielu kontrowersji w historii myśli ekonomicznej. Wprawdzie o makroekonomii w dzisiejszym tego słowa znaczeniu mówi się dopiero od dwudziestego wieku 6 , ale już w pracach merkantylistów znaleźć można próby wyjaśnienia przyczyn inflacji i poziomu aktywności gospodarczej. Dyskusje ekonomistów na ten temat prowadzone od początku XVIII wieku do lat dziewięćdziesiątych XX wieku można krótko scharakteryzować jako dyskurs między poglądami "merkantylistycznymi" i "klasycz-nymi" 7 . 2.W II połowie lat dziewięćdziesiątych minionego wieku w światowej (acz zdominowanej przez wykształconych w USA ekonomistów i prace empiryczne dotyczące gospodarki amery-kańskiej) literaturze makroekonomicznej zaczęło się wyłaniać w miarę powszechnie akcep-towane makroekonomiczne podejście do analiz polityki pieniężnej 8 . Początkowo konstrukcja 1 Narodowy Bank Polski, Biuro Badań Makroekonomicznych (Ryszard.Kokoszczynski@mail.nbp.pl) 2 Narodowy Bank Polski, Biuro Badań Makroekonomicznych (Tomasz.Lyziak@mail.nbp.pl) 3 Narodowy Bank Polski, Departament Systemu Finansowego (Malgorzata.Pawlowska@mail.nbp.pl) 4 Narodowy Bank Polski, Biuro Badań Makroekonomicznych (Jan.Przystupa@mail.nbp.pl) 5 Narodowy Bank Polski, Biuro Badań Makroekonomicznych (Ewa.Wrobel@mail.nbp.pl) Autorzy dziękują W. Charemzie, D. Mayesowi, W. Orłowskiemu oraz kolegom z NBP za liczne uwagi do tek-stu. Odpowiedzialność za wszystkie pozostałe błędy spada na autorów. 6 Termin "makroekonomia" pojawia się w literaturze w tekście artykułu w roku 1945, a w tytule – w roku 1946; wcześniej mówiło się raczej o ekonomii monetarnej i teorii cyklu koniunkturalnego rozumianych jako w dużym stopniu niezależne nurty badań, por. Baumol (2000), Blanchard (1999). 7 Patrz Humphrey (1998), Wojtyna (2000), Woodford (1999). 8 Nurt ten bywa rozmaicie nazywany – Goodfriend i King mówią o nowej syntezie neoklasycznej, wielu innych autorów uważa go jednak za kolejną fazę rozwoju nowej ekonomii keynesistowskiej; patrz Clarida i in. (1999), Gali (2002), Goodfriend, King (1997) i Woodford (2002).

streszczenie W referacie zwrócono uwagę na trzy grupy czynników strukturalnych mających wpływ na funkcjonowanie mechanizmu transmisji impulsów polityki pieniężnej i jego poszczególnych kanałów. Pierwsza grupa, szczególnie ważna w przypadku krajów o krótszej historii gospodarki rynkowej i mniej dojrzałych jej instytucjach, związana jest z najbardziej generalnym rozumieniem struktury gospodarczej, a więc ze skalą monetyzacji gospodarki. Druga grupa czynników strukturalnych zawiera w sobie bardziej szczegółowe uwarunkowania samego mechanizmu transmisji monetarnej, tj. strukturę popytu krajowego (PKB), stopień otwartości gospodarki oraz strukturę źródeł finansowania przedsiębiorstw i gospodarstw domowych. Trzecia grupa czynników strukturalnych odnosi się z kolei do charakterystyk systemu bankowego: jego struktury własnościowej, stopnia koncentracji, a także struktury bilansów banków. Przeprowadzony w referacie przegląd wybranych czynników strukturalnych warunkujących efektywność propagacji impulsów pieniężnych w Polsce uzasadnia konkluzje uzyskiwane z badań ilościowych, które sugerują, że mechanizm transmisji impulsów polityki pieniężnej w Polsce jest względnie słaby i cechuje się stosunkowo długimi opóźnieniami. # Referat jest wyrazem naszych osobistych poglądów. Dziękujemy za życzliwe uwagi naszym współpracownikom z NBP, biorąc jednocześnie pełną odpowiedzialność za wszelkie pozostawione w tekście usterki.