NATIONAL BANK OF POLAND WORKING PAPER No. 64 · Warsaw 2009 An update of the macroeconometric model...
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Warsaw 2009 An update of the macroeconometric model of the Polish economy NECMOD Katarzyna Budnik, Michał Greszta, Michał Hulej, Oskar Krzesicki, Róża Lewińska, Karol Murawski, Michał Rot, Bartosz Rybaczyk NATIONAL BANK OF POLAND WORKING PAPER No. 64
Transcript of NATIONAL BANK OF POLAND WORKING PAPER No. 64 · Warsaw 2009 An update of the macroeconometric model...
Warsaw 2009
An update of the macroeconometric model of the Polish economy NECMOD
Katarzyna Budnik, Michał Greszta, Michał Hulej, Oskar Krzesicki,
Róża Lewińska, Karol Murawski, Michał Rot, Bartosz Rybaczyk
NATIONAL BANK OF POLANDWORKING PAPER
No. 64
Design:Oliwka s.c.
Layout and print:NBP Printshop
Published by:National Bank of Poland Education and Publishing Department 00-919 Warszawa, 11/21 Świętokrzyska Street phone: +48 22 653 23 35, fax +48 22 653 13 21
© Copyright by the National Bank of Poland, 2009
http://www.nbp.pl
We are obliged to W. Charemza, T. Jędrzejowicz, G. Mierzejewska, M. Rubaszek, A. Wronka This paper represents the views of the authors and not necessarily those of the NBP.
WORKING PAPER No. 64 �
Contents
Abstract ............................................................................................................................7
Non-technical summary ....................................................................................................8
1 Introduction ...................................................................................................................9
2 Data and seasonal adjustment .................................................................................... 11
2.1 Problems with aggregated series ...............................................................................................11
2.2 Iterative procedure ....................................................................................................................12
2.3 Joint seasonal adjustment method ............................................................................................12
2.4 Technical details of the algorithm .............................................................................................13
� Structure of the model ................................................................................................ 15
3.1 Production sector ......................................................................................................................15
3.2 Households sector ....................................................................................................................19
3.3 Labour supply .......................................................................................................................... 23
3.4 Labour market ......................................................................................................................... 26
3.5 External sector ......................................................................................................................... 28
3.6 Aggregate demand and supply ................................................................................................ 33
3.7 Costs and prices ....................................................................................................................... 35
3.8 Fiscal sector ............................................................................................................................. 38
3.9 The monetary authority and interest rates ................................................................................41
3.10 Long-term properties ............................................................................................................. 43
4 Impulse response analysis ............................................................................................45
4.1 Monetary impulse .................................................................................................................... 45
4.2 Exchange rate impulse ............................................................................................................. 45
4.3 Government consumption impulse .......................................................................................... 46
4.4 GDP slowdown in the euro area ............................................................................................... 46
4.5 Migration ................................................................................................................................. 47
4.6 Inflow of structural investment funds ...................................................................................... 48
4.7 Inflow of Common Agricultural Policy funds ............................................................................ 48
4.8 House price impulse ................................................................................................................. 49
5 Risks analysis ...............................................................................................................56
5.1 Procedure ................................................................................................................................. 56
5.2 Determining the uncertainty of exogenous variables ................................................................ 57
Contents
N a t i o n a l B a n k o f P o l a n d4
5.2.1 Shocked time series ........................................................................................................... 57
5.2.2 Data sources ...................................................................................................................... 58
5.2.3 Estimating/evaluating uncertainty of shocked exogenous variables ..................................... 58
5.3 Simulation of paths of exogenous variables ............................................................................. 60
5.3.1 Data generating process (DGP) ...........................................................................................61
5.3.2 DGP – Autocorrelations and cross-correlations ................................................................... 62
5.4 Illustrative results ..................................................................................................................... 63
6 Concluding remarks .....................................................................................................64
References ......................................................................................................................65
Appendix: NECMOD variables .........................................................................................66
Contents
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List of Figures
1. Brent oil price with market expectations from futures contracts . . . . . . . . . . . . . . . . 58
2. Historical uncertainty concerning crude oil price forecasts . . . . . . . . . . . . . . . . . . . . 59
�. Future uncertatinty concerning crude oil price forecast . . . . . . . . . . . . . . . . . . . . . . . 60
List of Figures
N a t i o n a l B a n k o f P o l a n d6
List of Tables
1. Constraints binding groups of variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
2. Monetary impulse . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
�. Exchange rate impulse . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
4. Government consumption impulse . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
5. GDP slowdown in the euro area . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
6. Migration impulse response function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
7. Investment funds impulse responce function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5�
8. CAP funds impulse response function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
9. House prices impulse . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
10. Exemplary oil price paths . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
11. Fan charts based on past forecast errors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6�
12. Final fan charts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6�
List of Tables
Abstract
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Abstract
Non-technical summary
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Introduction
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Introduction
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Data and seasonal adjustment
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-.2
-.1
.0
.1
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
CPI inflation (pp)
CPI inflation
-.3
-.2
-.1
.0
.1
.2
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
GDP (pp) Priv. cons. (pp)GFCF (pp) Inv. in housing sec. (pp)
GDP and its components (y-o-y)
-.6
-.4
-.2
.0
.2
.4
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Exports (pp) Imports (pp)
Trade volumes (y-o-y)
-1.2
-0.8
-0.4
0.0
0.4
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
REER (%) Equilibrium REER (%)
Exchange rates
-.3
-.2
-.1
.0
.1
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Real wages (pp) Emp. (pp)Unit labour cost (pp)
Labour market (1)
-.05
.00
.05
.10
.15
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Unemp. (pp) Particip. rate (pp)
Labour market (2)
-.2
-.1
.0
.1
.2
-1 0 1 2 3 4 5 6 7 8 9 10111213141516171819
Current account balance (% of GDP) Govern. balance (% of GDP)
External and fiscal equilibrium
-0.4
0.0
0.4
0.8
1.2
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
3M interest rate (pp)
Interest rate
-.8
-.4
.0
.4
.8
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
CPI inflation (pp)
CPI inflation
-.8
-.4
.0
.4
.8
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
GDP (pp) Priv. cons. (pp)GFCF (pp) Inv. in housing sec. (pp)
GDP and its components (y-o-y)
-3-2-10123
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Exports (pp) Imports (pp)
Trade volumes (y-o-y)
-12
-8
-4
0
4
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
REER (%) Equilibrium REER (%)
Exchange rates
-1.2
-0.8
-0.4
0.0
0.4
0.8
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Real wages (pp) Emp. (pp)Unit labour cost (pp)
Labour market (1)
-.1
.0
.1
.2
.3
.4
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Unemp. (pp) Particip. rate (pp)
Labour market (2)
-.6
-.4
-.2
.0
.2
.4
-1 0 1 2 3 4 5 6 7 8 9 10111213141516171819
Current account balance (% of GDP) Govern. balance (% of GDP)
External and fiscal equilibrium
-.8-.6-.4-.2.0.2.4
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
3M interest rate (pp)
Interest rate
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-.2
-.1
.0
.1
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
CPI inflation (pp)
CPI inflation
-.3
-.2
-.1
.0
.1
.2
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
GDP (pp) Priv. cons. (pp)GFCF (pp) Inv. in housing sec. (pp)
GDP and its components (y-o-y)
-.6
-.4
-.2
.0
.2
.4
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Exports (pp) Imports (pp)
Trade volumes (y-o-y)
-1.2
-0.8
-0.4
0.0
0.4
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
REER (%) Equilibrium REER (%)
Exchange rates
-.3
-.2
-.1
.0
.1
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Real wages (pp) Emp. (pp)Unit labour cost (pp)
Labour market (1)
-.05
.00
.05
.10
.15
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Unemp. (pp) Particip. rate (pp)
Labour market (2)
-.2
-.1
.0
.1
.2
-1 0 1 2 3 4 5 6 7 8 9 10111213141516171819
Current account balance (% of GDP) Govern. balance (% of GDP)
External and fiscal equilibrium
-0.4
0.0
0.4
0.8
1.2
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
3M interest rate (pp)
Interest rate
-.8
-.4
.0
.4
.8
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
CPI inflation (pp)
CPI inflation
-.8
-.4
.0
.4
.8
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
GDP (pp) Priv. cons. (pp)GFCF (pp) Inv. in housing sec. (pp)
GDP and its components (y-o-y)
-3-2-10123
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Exports (pp) Imports (pp)
Trade volumes (y-o-y)
-12
-8
-4
0
4
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
REER (%) Equilibrium REER (%)
Exchange rates
-1.2
-0.8
-0.4
0.0
0.4
0.8
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Real wages (pp) Emp. (pp)Unit labour cost (pp)
Labour market (1)
-.1
.0
.1
.2
.3
.4
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Unemp. (pp) Particip. rate (pp)
Labour market (2)
-.6
-.4
-.2
.0
.2
.4
-1 0 1 2 3 4 5 6 7 8 9 10111213141516171819
Current account balance (% of GDP) Govern. balance (% of GDP)
External and fiscal equilibrium
-.8-.6-.4-.2.0.2.4
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
3M interest rate (pp)
Interest rate
-.06
-.04
-.02
.00
.02
.04
.06
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
CPI inflation (pp)
CPI inflation
-.8
-.4
.0
.4
.8
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
GDP (pp) Priv. cons. (pp)GFCF (pp) Inv. in housing sec. (pp)
GDP and its components (y-o-y)
-2
-1
0
1
2
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Exports (pp) Imports (pp)
Trade volumes (y-o-y)
-.4
.0
.4
.8
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
REER (%) Equilibrium REER (%)
Exchange rates
-1.2
-0.8
-0.4
0.0
0.4
0.8
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Real wages (pp) Emp. (pp)Unit labour cost (pp)
Labour market (1)
-.02
.00
.02
.04
.06
.08
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Unemp. (pp) Particip. rate (pp)
Labour market (2)
-.05
.00
.05
.10
.15
.20
-1 0 1 2 3 4 5 6 7 8 9 10111213141516171819
Current account balance (% of GDP) Govern. balance (% of GDP)
External and fiscal equilibrium
-.06
-.04
-.02
.00
.02
.04
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
3M interest rate (pp)
Interest rate
-.3-.2-.1.0.1.2.3
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
CPI inflation (pp)
CPI inflation
-.8-.6-.4-.2.0.2.4
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
GDP (pp) Priv. cons. (pp)GFCF (pp) Inv. in housing sec. (pp)
GDP and its components (y-o-y)
-3
-2
-1
0
1
2
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Exports (pp) Imports (pp)
Trade volumes (y-o-y)
-0.8
-0.4
0.0
0.4
0.8
1.2
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
REER (%) Equilibrium REER (%)
Exchange rates
-.4-.3-.2-.1.0.1.2
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Real wages (pp) Emp. (pp)Unit labour cost (pp)
Labour market (1)
-0.5
0.0
0.5
1.0
1.5
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Unemp. (pp) Particip. rate (pp)
Labour market (2)
-.4
-.2
.0
.2
.4
.6
.8
-1 0 1 2 3 4 5 6 7 8 9 10111213141516171819
Current account balance (% of GDP) Govern. balance (% of GDP)
External and fiscal equilibrium
-.6
-.4
-.2
.0
.2
.4
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
3M interest rate (pp)
Interest rate
Impulse response analysis
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4
-.08
-.04
.00
.04
.08
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
CPI inflation (pp)
CPI inflation
-1012345
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
GDP (pp) Priv. cons. (pp)GFCF (pp) Inv. in housing sec. (pp)
GDP and its components (y-o-y)
-.2
.0
.2
.4
.6
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Exports (pp) Imports (pp)
Trade volumes (y-o-y)
-.5-.4-.3-.2-.1.0.1
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
REER (%) Equilibrium REER (%)
Exchange rates
-.08
-.04
.00
.04
.08
.12
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Real wages (pp) Emp. (pp)Unit labour cost (pp)
Labour market (1)
-.3
-.2
-.1
.0
.1
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Unemp. (pp) Particip. rate (pp)
Labour market (2)
-.4
-.3
-.2
-.1
.0
.1
.2
-1 0 1 2 3 4 5 6 7 8 9 10111213141516171819
Current account balance (% of GDP) Govern. balance (% of GDP)
External and fiscal equilibrium
-.08
-.04
.00
.04
.08
.12
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
3M interest rate (pp)
Interest rate
Risk analysis
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US
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25
50
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/bbl
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"Centr" "Min" "Max"
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09q2
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US
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08q4
09q1
09q2
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10q3
10q4
11q1
11q2
11q3
11q4
US
D/b
bl.
0
25
50
75
100
125
150
08q4
09q1
09q2
09q3
09q4
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/bbl
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25
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09q1
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10q3
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11q2
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US
D/b
bl.
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-2
-1
0
1
2
3
4
5
6
06q1 06q3 07q1 07q3 08q1 08q3 09q1 09q3 10q1 10q3 11q1 11q4
per cent
-2
-1
0
1
2
3
4
5
6
-4
-3
-2
-1
0
1
2
3
4
5
6
7
8
06q1 06q3 07q1 07q3 08q1 08q3 09q1 09q3 10q1 10q3 11q1 11q4
per cent
-4
-3
-2
-1
0
1
2
3
4
5
6
7
8
-2
-1
0
1
2
3
4
5
6
06q1 06q3 07q1 07q3 08q1 08q3 09q1 09q3 10q1 10q3 11q1 11q4
per cent
-2
-1
0
1
2
3
4
5
6
-4
-3
-2
-1
0
1
2
3
4
5
6
7
8
06q1 06q3 07q1 07q3 08q1 08q3 09q1 09q3 10q1 10q3 11q1 11q4
per cent
-4
-3
-2
-1
0
1
2
3
4
5
6
7
8
Concluding remarks
N a t i o n a l B a n k o f P o l a n d64
6
6
Concluding remarks
References
WORKING PAPER No. 64 65
References
Appendix: NECMOD variables
N a t i o n a l B a n k o f P o l a n d66
Appendix: NECMOD variables
Appendix: NECMOD variables
WORKING PAPER No. 64 67
Appendix: NECMOD variables
N a t i o n a l B a n k o f P o l a n d68
Appendix: NECMOD variables
WORKING PAPER No. 64 69
Appendix: NECMOD variables
N a t i o n a l B a n k o f P o l a n d70
Appendix: NECMOD variables
WORKING PAPER No. 64 71
Appendix: NECMOD variables
N a t i o n a l B a n k o f P o l a n d72
Appendix: NECMOD variables
WORKING PAPER No. 64 7�
Appendix: NECMOD variables
N a t i o n a l B a n k o f P o l a n d74
