Matching NBP interest rates to different versions of the Taylor rule
Tomasz Grabia
Faculty of Economics and Sociology, University of Lodzhttps://orcid.org/0000-0001-7053-6618
Résumé
The interest rate is the basic instrument of monetary policy, directly or indirectly affecting basic macroeconomic variables, such as inflation, unemployment and economic growth. The aim of the article is to compare the NBP reference rate with hypothetical rates calculated on the basis of different variants of the Taylor rule and to indicate which of those variants is best suited to the situation in Poland. The study period of 2000-2017 was adopted for the analysis. On its basis, it was found that in most cases the real interest rate of the central bank in Poland strongly coincided with rates that would have been set if one of the varieties of the Taylor rule had been in force. The best match coincided with the modified version of this rule, which was created after the economic crisis. That means that the NBP took into account both the deviations of inflation from the target and the GDP gap when making decisions regarding interest rates.
Mots-clés :
interest rate, inflation target, economic growth, Taylor ruleRéférences
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Blanchard, O. (2011). Makroekonomia. Warszawa: Oficyna a Wolters Kluwer business.
Constitution of the Republic of Poland from 2.04.1997 year, Journal of Laws, no 78, item 483.
Curdia, V., & Woodford, M. (2009a). Credit frictions and optimal monetary policy. BIS Working Paper, 278.
Curdia, V., & Woodford, M. (2009b). Credit Spreads and Monetary Policy. NBER Working Paper, 15289.
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European economic forecast. (Spring 2006). European Commission. Economic and Financial Affairs. Economic publications. European Economy. Forecasts. Retrieved from http://ec.europa.
eu/economy_finance/publications/european_economy/forecasts/index_en.htm.
European economic forecast. (Spring 2007). European Commission. Economic and Financial Affairs. Economic publications. European Economy. Forecasts. Retrieved from http://ec.europa.
eu/economy_finance/publications/european_economy/forecasts/index_en.htm.
European economic forecast. (Spring 2008). European Commission. Economic and Financial Affairs. Economic publications. European Economy. Forecasts. Retrieved from http://ec.europa.
eu/economy_finance/publications/european_economy/forecasts/index_en.htm.
European economic forecast. (Spring 2009). European Commission. Economic and Financial Affairs. Economic publications. European Economy. Forecasts. Retrieved from http://ec.europa.
eu/economy_finance/publications/european_economy/forecasts/index_en.htm.
European economic forecast. (Spring 2010). European Commission. Economic and Financial Affairs. Economic publications. European Economy. Forecasts. Retrieved from http://ec.europa.
eu/economy_finance/publications/european_economy/forecasts/index_en.htm.
European economic forecast. (Spring 2011). European Commission. Economic and Financial Affairs. Economic publications. European Economy. Forecasts. Retrieved from http://ec.europa.
eu/economy_finance/publications/european_economy/forecasts/index_en.htm.
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eu/economy_finance/publications/european_economy/forecasts/index_en.htm.
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eu/economy_finance/publications/european_economy/forecasts/index_en.htm.
European economic forecast. (Spring 2014). European Commission. Economic and Financial Affairs. Economic publications. European Economy. Forecasts. Retrieved from http://ec.europa.
eu/economy_finance/publications/european_economy/forecasts/index_en.htm.
European economic forecast. (Spring 2015). European Commission. Economic and Financial Affairs. Economic publications. European Economy. Forecasts. Retrieved from http://ec.europa.
eu/economy_finance/publications/european_economy/forecasts/index_en.htm.
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Giammarioli, N., & Valla, N. (2003). The Natural Real Rate of Interest in the Euro Area. Working Paper Series, 233, European Central Bank.
Grabia, T. (2015). Interest Rate Policy of Selected Central Banks in Central and Eastern Europe. Comparative Economic Research, 1.
McCallum, B.T. (2000). The present and Future of Monetary Policy Rules. NBER Working Paper
Series, 7916.
Monetary Policy Guidelines for 2016. (2015). Warszawa: Narodowy Bank Polski.
Podstawowe stopy procentowe NBP w latach 1998–2015. 2015. Narodowy Bank Polski. Retrieved from http://www.nbp.pl/home.aspx?f=/dzienne/stopy_archiwum.htm (access 1.09.2017).
Rzońca, A. (2014). Kryzys banków centralnych. Skutki stopy procentowej bliskiej zera. Warszawa: Wydawnictwo C.H. Beck.
Sprawozdanie z wykonania założeń polityki pieniężnej w 2000 roku. (2001). Warszawa: Narodowy Bank Polski.
Sprawozdanie z wykonania założeń polityki pieniężnej w 2001 roku. (2002). Warszawa: Narodowy Bank Polski.
Sprawozdanie z wykonania założeń polityki pieniężnej w 2002 roku. (2003). Warszawa: Narodowy Bank Polski.
Sprawozdanie z wykonania założeń polityki pieniężnej w 2003 roku. (2004). Warszawa: Narodowy Bank Polski.
Taylor, J.B. (1993). Discretion versus policy rules in practice. Carnegie-Rochester Conference Series on Public Policy, 39.
The Act on the National Bank of Poland of 29.08.1997 year. Journal of Laws from 2013 year, item 908 (consolidated version).
Woodford, M. (2010). Financial Intermediation and Macroeconomic Analysis. Journal of Economic Perspectives, 24(4).
Grabia, T. (2019). Matching NBP interest rates to different versions of the Taylor rule. Olsztyn Economic Journal, 14(2), 165–177. https://doi.org/10.31648/oej.3969
Tomasz Grabia
Faculty of Economics and Sociology, University of Lodz
https://orcid.org/0000-0001-7053-6618
Faculty of Economics and Sociology, University of Lodz
https://orcid.org/0000-0001-7053-6618
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