Transmisja polityki pieniężnej na rynek pracy : wyniki dla polskiej gospodarki
Przemysław Włodarczyk
Katedra Makroekonomii, Wydział Ekonomiczno-Socjologiczny, Uniwersytet ŁódzkiAbstrakt
W artykule zweryfikowano hipotezę wskazującą na istnienie w krótkim okresie związku między charakterem prowadzonej polityki pieniężnej a sytuacją na rynku pracy, co jest postulowane przez przedstawicieli nurtu Keynesowskiego oraz monetarystycznego w teorii ekonomii. Analizy są prowadzone w ujęciu małej gospodarki otwartej, z wykorzystaniem danych dla gospodarki polskiej w okresie 2000:1-2016:5. W badaniu uwzględniono wysoką zmienność procesów ekonomicznych w gospodarkach rozwijających się oraz ich naturalne fluktuacje będące wynikiem cyklu koniunkturalnego, z zastosowaniem Bayesowskiego strukturalnego modelu autoregresji wektorowej z mechanizmem Markov switching. Uzyskane wyniki potwierdzają istnienie zależności między prowadzoną polityką pieniężną a rozmiarami produkcji, inflacją oraz poziomem realnego efektywnego kursu walutowego. Nie ma jednak dowodów na występowanie statystycznie istotnej reakcji zatrudnienia na zmiany polityki pieniężnej. W tym zakresie wyniki są zatem zgodne z ujęciem postulowanym przez przedstawicieli nurtu monetarystycznego w teorii ekonomii, a nie tradycyjną Keynesowską (nowokeynesowską) wizją zagadnienia.
Słowa kluczowe:
transmisja polityki pieniężnej, rynek pracy, produkcja, inflacja, Bayesowski strukturalny model autoregresji wektorowej z mechanizmem Markov switchingBibliografia
Altig D., Christiano L.J., Eichenbaum M., Linde J. 2011. Firm-specific capital, nominal rigidities and the business cycle. Review of Economic Dynamics, 14: 224-247.
Anzuini A., Levy A. 2007. Monetary policy shocks in the new EU members: a VAR approach. Applied Economics, 39(9): 1147-1161.
Arestis P., Sawyer M. 1998. New labour, new monetarism. Soundings, 9: 24-41.
Arestis P., Sawyer M. 2011. A new paradigm for macroeconomic policy. International Journal of Public Policy, 7(1-3): 22-39.
Arestis P., Sawyer M. 2012. The 'new economics' and policies for financial stability. International Review of Applied Economics, 26(2): 147-160.
Arseneau D.M., Hugh S.K. 2008. Optimal fiscal and monetary policy with costly wage bargaining. Journal of Monetary Economics, 55(8): 1401-1414.
Bernanke B.S., Blinder A.S. 1992. The Federal Funds Rate and the Channels of Monetary Transmission. The American Economic Review, 82(4): 901-921.
Bernanke B.S., Mihov I. 1998. Measuring Monetary Policy. Quarterly Journal of Economics, 113(3): 869-902.
Blanchard O.J., Gali J. 2010. Labor Markets and Monetary Policy: A New Keynesian Model with Unemployment. American Economic Journal: Macroeconomics, 2(2): 1-30.
Blanchard O.J., Quah D. 1989. The Dynamic Effects of Aggregate Demand and Supply Disturbances. The American Economic Review, 79(4): 655- 673.
Boschen J.F., Mills L.O. 1995. Tests of Long-Run Neutrality Using Permanent Monetary and Real Shocks. Journal of Monetary Economics, 35(1): 25-44.
Boyarchenko N., HaddadV., PlosserM.C. 2016. The Federal Reserve and Market Confidence. Federal Reserve Bank of New York Staff Reports 773.
Bullard J., Keating J.W. 1995. The Long-Run Relationship between Inflation and Output in Postwar Economies. Journal of Monetary Economics, 36(3): 477- 496.
Christiano L.J., Eichenbaum M., Evans C.L. 1999. Monetary Policy Shocks: What Have We Learned and to What End? In: Handbook of Macroeconomics. Vol. 1. Eds. J.B. Taylor, M. Woodford. North-Holland, Amsterdam.
Christiano L.J., Eichenbaum M., Evans C.L. 2005. Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy. Journal of Political Economy, 113(1): 1-45.
Christiano L.J., Trabandt M., Walentin K. 2011. DSGE Models for Monetary Policy Analysis. In: Handbooks in Economics. Monetary Economics. Vol. 3A. Eds. B.M. Friedman, M. Woodford. North-Holland, Amsterdam, San Diego, CA.
Darvas Z. 2013. Monetary transmission in three central European economies: evidence from time-varying coefficient vector autoregressions. Empirica, 40(2): 363-390.
Elbourne A., De HAAN J. 2009. Modeling Monetary Policy Transmission in Acceding Countries: Vector Autoregression Versus Structural Vector Autoregression. Emerging Markets Finance and Trade, 45(2): 4-20.
Faust J. 1998. The robustness of identified VAR conclusions about money. Carnegie-Rochester Series on Public Policy, 49: 207-244.
Fisher I. 1922. The Purchasing Power of Money. The McMillan Co., New York.
Forder J. 2014. Macroeconomics and the Phillips Curve Myth. Oxford University Press, Oxford.
Gali J. 2011a. Monetary Policy and Unemployment. In: Handbooks in Economics. Monetary Economics. Vol. 3A. Eds. B.M. Friedman, M. Woodford. North-Holland, Amsterdam, San Diego, CA.
Gali J. 2011b. The Return of Wage Phillips Curve. Journal of the European Economic Association, 9(3): 436- 461.
Górajski M., Ulrichs M. 2016. Optymalne wrażliwe na ryzyko strategie polityki pieniężnej dla Polski. Bank i Kredyt, 47(1): 1-32.
Hubrich K., Tetlow R.J. 2015. Financial stress and economic dynamics: The transmission of crises. Journal of Monetary Economics, 70: 100-115.
Jarociński M. 2010. Responses to Monetary Policy Shocks in the East and the West of Europe: A Comparison. Journal of Applied Econometrics, 25(5): 833-868.
Kapuściński M., Łyziak T., Przystupa J., Stanisławska E., Sznajderska A., Wróbel E. 2014. Mechanizm transmisji polityki pieniężnej w Polsce. Co wiemy w 2013 roku? Materiały i Studia NBP, 306.
Kapuścińskim., Kocięcki A., Kowalczyk H., Łyziak T., Przystupa J., Stanisławska E., Sznajderska A., Wróbel E. 2016. Mechanizm transmisji polityki pieniężnej w Polsce. Co wiemy w 2015 roku? Materiały i Studia NBP, 323.
Keynes J.M. 1964. The General Theory of Employment, Interest and Money. Harcourt, Brace, Jovanovich, San Diego.
Kim S., Roubini N. 2000. Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach. Journal of Monetary Economics, 45(3): 561- 586.
King R.G., Watson M.W. 1997. Testing Long-Run Neutrality. Federal Reserve Bank of Richmond Economic Quarterly, 83(3): 69-101.
Lucas R.E. Jr. 1972. Expectations and the Neutrality of Money. Journal of Economic Theory, 4(2): 102-124.
McCallum B.T., Nelson E. 2011. Money and Inflation: Some Critical Issues. In: Handbooks in Economics. Monetary Economics. Vol. 3A. Eds. B.M. Friedman, M. Woodford. North-Holland, Amsterdam, San Diego, CA.
McCandless G.T. JR., Weber W.E. 1995. Some Monetary Facts. Federal Reserve Bank of Minneapolis Quarterly Review, 19(3): 2-11.
Nalban V. 2016. Sentiment-Driven Asymmetries in Romanian Monetary Policy Transmission. Eastern European Economics, 54: 251-270.
Palley T.I. 2011. Quantitative easing: a Keynesian critique. Investigación económica, 70(277): 69-86.
Peersman G, Smets F. 2001. The monetary transmission mechanism in the euro area: more evidence from VAR analysis. European Central Bank Working Paper Series, 91.
Phillips A.W. 1958. The relation between unemployment and the rate of change of money wage in the United Kingdom, 1861-1957. Econometrica, 25(100): 283-299.
Sargent T.J., Wallace N. 1975. Rational Expectations, the Optimal Monetary Instrument, and the Optimal Monetary Supply Rule. Journal of Political Economy, 83(2): 241-254.
Sargent T.J., Wallace N. 1976. Rational Expectations and the Theory of Economic Policy. Journal of Monetary Economics, 2(2): 169 -183.
Sims C.A. 1972. Money, Income and Causality. American Economic Review, 62(4): 540-552.
Sims C.A. 1980. Comparison of Interwar and Postwar Business Cycles. American Economic Review, 70(2): 250-257.
Sims C.A. 1986. Are Forecasting Models Usable for Policy Analysis? Federal Reserve Bank of Minneapolis Quarterly Review, 10(1): 2- 16.
Sims C.A., Wagonner D.F., Zha T. 2008. Methods for inference in large multiple-equation Markov-switching models. Journal of Econometrics, 146: 255-274.
Sims C.A., Zha T. 2006. Does Monetary Policy Generate Recessions? Macroeconomic Dynamics, 10: 231-272.
Taylor J.B. 1996. How Should Monetary Policy Respond to Shocks While Maintaining Long-Run Price Stability? - Conceptual Issues. Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City.
Thomas C. 2008. Search and matching frictions and optimal monetary policy. Journal of Monetary Economics, 55(5): 936-956.
Uhlig H. 2005. What are the effects of monetary policy on output? Results from an agnostic identification procedure. Journal of Monetary Economics, 52: 381-419.
Vonnak B. 2006. The Hungarian monetary transmission mechanism: an assessment. In: Monetary transmission in Hungary. Ed. B. Vonnak. Magyar Nemzeti Bank, Budapest.
Włodarczyk P. 2017. A change in volatility or an asymmetry: monetary transmission mechanism in the small open European economies during the crisis. Work in progress.
Wróbel E., Pawłowska M. 2002. Monetary transmission in Poland: some evidence on interest rate and credit channels. Materials and Studies, National Bank of Poland, Paper No. 24.
Anzuini A., Levy A. 2007. Monetary policy shocks in the new EU members: a VAR approach. Applied Economics, 39(9): 1147-1161.
Arestis P., Sawyer M. 1998. New labour, new monetarism. Soundings, 9: 24-41.
Arestis P., Sawyer M. 2011. A new paradigm for macroeconomic policy. International Journal of Public Policy, 7(1-3): 22-39.
Arestis P., Sawyer M. 2012. The 'new economics' and policies for financial stability. International Review of Applied Economics, 26(2): 147-160.
Arseneau D.M., Hugh S.K. 2008. Optimal fiscal and monetary policy with costly wage bargaining. Journal of Monetary Economics, 55(8): 1401-1414.
Bernanke B.S., Blinder A.S. 1992. The Federal Funds Rate and the Channels of Monetary Transmission. The American Economic Review, 82(4): 901-921.
Bernanke B.S., Mihov I. 1998. Measuring Monetary Policy. Quarterly Journal of Economics, 113(3): 869-902.
Blanchard O.J., Gali J. 2010. Labor Markets and Monetary Policy: A New Keynesian Model with Unemployment. American Economic Journal: Macroeconomics, 2(2): 1-30.
Blanchard O.J., Quah D. 1989. The Dynamic Effects of Aggregate Demand and Supply Disturbances. The American Economic Review, 79(4): 655- 673.
Boschen J.F., Mills L.O. 1995. Tests of Long-Run Neutrality Using Permanent Monetary and Real Shocks. Journal of Monetary Economics, 35(1): 25-44.
Boyarchenko N., HaddadV., PlosserM.C. 2016. The Federal Reserve and Market Confidence. Federal Reserve Bank of New York Staff Reports 773.
Bullard J., Keating J.W. 1995. The Long-Run Relationship between Inflation and Output in Postwar Economies. Journal of Monetary Economics, 36(3): 477- 496.
Christiano L.J., Eichenbaum M., Evans C.L. 1999. Monetary Policy Shocks: What Have We Learned and to What End? In: Handbook of Macroeconomics. Vol. 1. Eds. J.B. Taylor, M. Woodford. North-Holland, Amsterdam.
Christiano L.J., Eichenbaum M., Evans C.L. 2005. Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy. Journal of Political Economy, 113(1): 1-45.
Christiano L.J., Trabandt M., Walentin K. 2011. DSGE Models for Monetary Policy Analysis. In: Handbooks in Economics. Monetary Economics. Vol. 3A. Eds. B.M. Friedman, M. Woodford. North-Holland, Amsterdam, San Diego, CA.
Darvas Z. 2013. Monetary transmission in three central European economies: evidence from time-varying coefficient vector autoregressions. Empirica, 40(2): 363-390.
Elbourne A., De HAAN J. 2009. Modeling Monetary Policy Transmission in Acceding Countries: Vector Autoregression Versus Structural Vector Autoregression. Emerging Markets Finance and Trade, 45(2): 4-20.
Faust J. 1998. The robustness of identified VAR conclusions about money. Carnegie-Rochester Series on Public Policy, 49: 207-244.
Fisher I. 1922. The Purchasing Power of Money. The McMillan Co., New York.
Forder J. 2014. Macroeconomics and the Phillips Curve Myth. Oxford University Press, Oxford.
Gali J. 2011a. Monetary Policy and Unemployment. In: Handbooks in Economics. Monetary Economics. Vol. 3A. Eds. B.M. Friedman, M. Woodford. North-Holland, Amsterdam, San Diego, CA.
Gali J. 2011b. The Return of Wage Phillips Curve. Journal of the European Economic Association, 9(3): 436- 461.
Górajski M., Ulrichs M. 2016. Optymalne wrażliwe na ryzyko strategie polityki pieniężnej dla Polski. Bank i Kredyt, 47(1): 1-32.
Hubrich K., Tetlow R.J. 2015. Financial stress and economic dynamics: The transmission of crises. Journal of Monetary Economics, 70: 100-115.
Jarociński M. 2010. Responses to Monetary Policy Shocks in the East and the West of Europe: A Comparison. Journal of Applied Econometrics, 25(5): 833-868.
Kapuściński M., Łyziak T., Przystupa J., Stanisławska E., Sznajderska A., Wróbel E. 2014. Mechanizm transmisji polityki pieniężnej w Polsce. Co wiemy w 2013 roku? Materiały i Studia NBP, 306.
Kapuścińskim., Kocięcki A., Kowalczyk H., Łyziak T., Przystupa J., Stanisławska E., Sznajderska A., Wróbel E. 2016. Mechanizm transmisji polityki pieniężnej w Polsce. Co wiemy w 2015 roku? Materiały i Studia NBP, 323.
Keynes J.M. 1964. The General Theory of Employment, Interest and Money. Harcourt, Brace, Jovanovich, San Diego.
Kim S., Roubini N. 2000. Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach. Journal of Monetary Economics, 45(3): 561- 586.
King R.G., Watson M.W. 1997. Testing Long-Run Neutrality. Federal Reserve Bank of Richmond Economic Quarterly, 83(3): 69-101.
Lucas R.E. Jr. 1972. Expectations and the Neutrality of Money. Journal of Economic Theory, 4(2): 102-124.
McCallum B.T., Nelson E. 2011. Money and Inflation: Some Critical Issues. In: Handbooks in Economics. Monetary Economics. Vol. 3A. Eds. B.M. Friedman, M. Woodford. North-Holland, Amsterdam, San Diego, CA.
McCandless G.T. JR., Weber W.E. 1995. Some Monetary Facts. Federal Reserve Bank of Minneapolis Quarterly Review, 19(3): 2-11.
Nalban V. 2016. Sentiment-Driven Asymmetries in Romanian Monetary Policy Transmission. Eastern European Economics, 54: 251-270.
Palley T.I. 2011. Quantitative easing: a Keynesian critique. Investigación económica, 70(277): 69-86.
Peersman G, Smets F. 2001. The monetary transmission mechanism in the euro area: more evidence from VAR analysis. European Central Bank Working Paper Series, 91.
Phillips A.W. 1958. The relation between unemployment and the rate of change of money wage in the United Kingdom, 1861-1957. Econometrica, 25(100): 283-299.
Sargent T.J., Wallace N. 1975. Rational Expectations, the Optimal Monetary Instrument, and the Optimal Monetary Supply Rule. Journal of Political Economy, 83(2): 241-254.
Sargent T.J., Wallace N. 1976. Rational Expectations and the Theory of Economic Policy. Journal of Monetary Economics, 2(2): 169 -183.
Sims C.A. 1972. Money, Income and Causality. American Economic Review, 62(4): 540-552.
Sims C.A. 1980. Comparison of Interwar and Postwar Business Cycles. American Economic Review, 70(2): 250-257.
Sims C.A. 1986. Are Forecasting Models Usable for Policy Analysis? Federal Reserve Bank of Minneapolis Quarterly Review, 10(1): 2- 16.
Sims C.A., Wagonner D.F., Zha T. 2008. Methods for inference in large multiple-equation Markov-switching models. Journal of Econometrics, 146: 255-274.
Sims C.A., Zha T. 2006. Does Monetary Policy Generate Recessions? Macroeconomic Dynamics, 10: 231-272.
Taylor J.B. 1996. How Should Monetary Policy Respond to Shocks While Maintaining Long-Run Price Stability? - Conceptual Issues. Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City.
Thomas C. 2008. Search and matching frictions and optimal monetary policy. Journal of Monetary Economics, 55(5): 936-956.
Uhlig H. 2005. What are the effects of monetary policy on output? Results from an agnostic identification procedure. Journal of Monetary Economics, 52: 381-419.
Vonnak B. 2006. The Hungarian monetary transmission mechanism: an assessment. In: Monetary transmission in Hungary. Ed. B. Vonnak. Magyar Nemzeti Bank, Budapest.
Włodarczyk P. 2017. A change in volatility or an asymmetry: monetary transmission mechanism in the small open European economies during the crisis. Work in progress.
Wróbel E., Pawłowska M. 2002. Monetary transmission in Poland: some evidence on interest rate and credit channels. Materials and Studies, National Bank of Poland, Paper No. 24.
Włodarczyk, P. (2017). Transmisja polityki pieniężnej na rynek pracy : wyniki dla polskiej gospodarki. Olsztyn Economic Journal, 12(3), 321–335. https://doi.org/10.31648/oej.2814
Przemysław Włodarczyk
Katedra Makroekonomii, Wydział Ekonomiczno-Socjologiczny, Uniwersytet Łódzki
Katedra Makroekonomii, Wydział Ekonomiczno-Socjologiczny, Uniwersytet Łódzki
Licencja
Każdy Autor składa oświadczenie, że praca nie była wcześniej publikowana (pod tym samym lub innym tytułem, nie stanowi również części innej publikacji) oraz nie narusza praw autorskich innych osób. Jednocześnie Autor przenosi na wydawcę wyłączne prawo wydania i rozpowszechniania tego utworu drukiem w formie zwartej publikacji czasopisma oraz w formie publikacji elektronicznej.
Czasopismo udostępnione jest na licencji Creative Commons CC-BY-NC-ND
