Description

• Title:
  Changes in nominal rigidities in Poland – a regime switching DSGE perspective
• Creator:
  Baranowski, Paweł;
  Kuchta, Zbigniew
• Contributor:
  National Bank of Poland;
  Faculty of Economics and Sociology, University of Lodz
• Description:
  We estimate a dynamic stochastic general equilibrium model that allows for regimes Markov switching (MS-DSGE). Existing MS-DSGE papers for the United States focus on changes in monetary policy or shocks volatility, contributing the debate on the Great Moderation and/or Volcker disinflation. However, Poland which here serves as an example of a transition country, faced a wider range of structural changes, including long disinflation, EU accession or tax changes. The model identifies high and low rigidity regimes, with the timing consistent with menu cost explanation of nominal rigidities. Estimated timing of the regimes captures the European Union accession and indirect tax changes. The Bayesian model comparison results suggest that model with switching in both analyzed rigidities is strongly favored by the data in comparison with switching only in prices or in wages. Moreover, we find significant evidence in support of independent Markov chains.
• Object availability:
  free access
• Rights:
  Uznanie autorstwa-Użycie niekomercyjne-Bez utworów zależnych 3.0 Polska;
  http://creativecommons.org/licenses/by-nc-nd/3.0/pl
• Date:
  2015.12.22;
  2015.12
• Type:
  Article
• Language:
  English
• Format:
  application/pdf
• Publisher:
  Faculty of Economics and Sociology of the University of Lodz
• Relation:
  Lodz Economics Working Papers;6/2015
• Subject:
  nominal rigidities;
  Markov-switching DSGE models;
  Bayesian model comparison;
  regime switching;
  C11;
  E31;
  E32;
  J30;
  P22
• Identifier: http://hdl.handle.net/11089/15920
• Data provider:
  Repozytorium Uniwersytetu Łódzkiego
• Can I use it?:
  check license
• Type:
  image