Are Central Banks In CEE Countries Concerned About The Burden Of Public Debt?

Are Central Banks In CEE Countries Concerned About The Burden Of Public Debt?

The aim of this study is to analyze the monetary policy rules in the Czech Republic, Hungary and Poland, with public debt as an additional explanatory variable. We estimate linear rules by the GMM estimation and non-linear rules, using the Markov-switching model. Our findings suggest that in the Cze...

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Bibliographic Details
Main Author: Joanna Mackiewicz-Łyziak
Format: Article
Language:English
Published: Lodz University Press 2017-03-01
Series:Comparative Economic Research
Subjects:
monetary policy
general government debt
taylor rule
regime switching
Online Access:https://czasopisma.uni.lodz.pl/CER/article/view/1715
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spelling doaj-b58e9c4be8ec46dd9f757e4a93e74d262021-09-02T12:23:17ZengLodz University PressComparative Economic Research1508-20082082-67372017-03-01201355110.1515/cer-2017-00031715Are Central Banks In CEE Countries Concerned About The Burden Of Public Debt?Joanna Mackiewicz-Łyziak0Warsaw University, Faculty of Economic SciencesThe aim of this study is to analyze the monetary policy rules in the Czech Republic, Hungary and Poland, with public debt as an additional explanatory variable. We estimate linear rules by the GMM estimation and non-linear rules, using the Markov-switching model. Our findings suggest that in the Czech Republic and Poland the monetary authorities respond to growing public debt by lowering interest rates, while in Hungary the opposite may be observed. Moreover, we distinguish between passive and active monetary policy regimes and find that the degree of interest rate smoothing is lower and the response of the central banks to inflation and/or output gap is stronger in an active regime. In the passive regime, the output gap seems to be statistically insignificant.https://czasopisma.uni.lodz.pl/CER/article/view/1715monetary policygeneral government debttaylor ruleregime switching
collection DOAJ
language English
format Article
sources DOAJ
author Joanna Mackiewicz-Łyziak
spellingShingle Joanna Mackiewicz-Łyziak
Are Central Banks In CEE Countries Concerned About The Burden Of Public Debt?
Comparative Economic Research
monetary policy
general government debt
taylor rule
regime switching
author_facet Joanna Mackiewicz-Łyziak
author_sort Joanna Mackiewicz-Łyziak
title Are Central Banks In CEE Countries Concerned About The Burden Of Public Debt?
title_short Are Central Banks In CEE Countries Concerned About The Burden Of Public Debt?
title_full Are Central Banks In CEE Countries Concerned About The Burden Of Public Debt?
title_fullStr Are Central Banks In CEE Countries Concerned About The Burden Of Public Debt?
title_full_unstemmed Are Central Banks In CEE Countries Concerned About The Burden Of Public Debt?
title_sort are central banks in cee countries concerned about the burden of public debt?
publisher Lodz University Press
series Comparative Economic Research
issn 1508-2008
2082-6737
publishDate 2017-03-01
description The aim of this study is to analyze the monetary policy rules in the Czech Republic, Hungary and Poland, with public debt as an additional explanatory variable. We estimate linear rules by the GMM estimation and non-linear rules, using the Markov-switching model. Our findings suggest that in the Czech Republic and Poland the monetary authorities respond to growing public debt by lowering interest rates, while in Hungary the opposite may be observed. Moreover, we distinguish between passive and active monetary policy regimes and find that the degree of interest rate smoothing is lower and the response of the central banks to inflation and/or output gap is stronger in an active regime. In the passive regime, the output gap seems to be statistically insignificant.
topic monetary policy
general government debt
taylor rule
regime switching
url https://czasopisma.uni.lodz.pl/CER/article/view/1715
work_keys_str_mv AT joannamackiewiczłyziak arecentralbanksinceecountriesconcernedabouttheburdenofpublicdebt
_version_ 1721175533464584192

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