IDEAS home Printed from https://ideas.repec.org/p/nbp/nbpmis/64.html
   My bibliography  Save this paper

An update of the macroeconometric model of the Polish economy NECMOD

Author

Abstract

The paper presents an update of the structural macroeconometric model of the Polish economy NECMOD. The updated version of the model is, similarly as its predecessor, used at the National Bank of Poland for forecasting and policy simulation exercises. NECMOD is a hybrid, medium-scale and partially forward-looking quarterly model with its structure rooted in the economic theory. Great emphasis has been put on modelling of the supply side of the economy and mechanisms that introduce high persistency of shocks. The present version of NECMOD was estimated on the data covering a period from 1995 to 2008. Its main advantage, as compared to the previous version, is a more detailed and coherent approach to the modelling of the external sector block. Now, secular changes in the exchange rate and foreign trade dynamics are explained jointly with reference to the taste-for-variety theory. Moreover, the current version of the model better reflects interdependencies between domestic and external sector, i.e. via exchange rate - wealth channel.

Suggested Citation

  • Katarzyna Budnik & Michal Greszta & Michal Hulej & Oskar Krzesicki & Roza Lewinska & Karol Murawski & Michal Rot & Bartosz Rybaczyk, 2009. "An update of the macroeconometric model of the Polish economy NECMOD," NBP Working Papers 64, Narodowy Bank Polski.
    • Handle: RePEc:nbp:nbpmis:64
    as

    Download full text from publisher

    File URL: https://static.nbp.pl/publikacje/materialy-i-studia/64_en.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Michal Rubaszek, 2009. "Economic convergence and the fundamental equilibrium exchange rate in Poland," Bank i Kredyt, Narodowy Bank Polski, vol. 40(1), pages 7-22.
    2. Katarzyna Budnik & Michal Greszta & Michal Hulej & Marcin Kolasa & Karol Murawski & Michal Rot & Bartosz Rybaczyk & Magdalena Tarnicka, 2009. "The new macroeconometric model of the Polish economy," NBP Working Papers 62, Narodowy Bank Polski.
    3. Ray Fair, 2003. "Optimal Control and Stochastic Simulation of Large Nonlinear Models with Rational Expectations," Computational Economics, Springer;Society for Computational Economics, vol. 21(3), pages 245-256, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Michal Andrle & Mr. Roberto Garcia-Saltos & Giang Ho, 2014. "A Model-Based Analysis of Spillovers: The Case of Poland and the Euro Area," IMF Working Papers 2014/186, International Monetary Fund.
    2. Robert Kelm, 2016. "Eksport, import i kurs złotego: 2000−2014," Bank i Kredyt, Narodowy Bank Polski, vol. 47(6), pages 585-620.
    3. Krzysztof Olszewski & Hanna Augustyniak & Jacek Laszek & Robert Leszczynski & Joanna Waszczuk, 2016. "On the dynamics of the primary housing market and the forecasting of house prices," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Combining micro and macro data for financial stability analysis, volume 41, Bank for International Settlements.
    4. Ozana Nadoveza Jelić & Rafael Ravnik, 2021. "Introducing Policy Analysis Croatian MAcroecoNometric Model (PACMAN)," Surveys 41, The Croatian National Bank, Croatia.
    5. Robert Kelm & Izabela Sobiech Pellegrini, 2023. "Import inflacji i sprzężenie płacowo-cenowe w Polsce," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 3, pages 48-70.
    6. Marcin Borsuk, 2019. "Forecasting the Net Interest Margin and Loan Loss Provision Ratio of Banks in Various Economic Scenarios: Evidence from Poland," Russian Journal of Money and Finance, Bank of Russia, vol. 78(1), pages 89-106, March.
    7. Katarzyna Budnik, 2012. "Do those who stay work less? On the impact of emigration on the measured TFP in Poland," NBP Working Papers 113, Narodowy Bank Polski.
    8. Egorov D.A. (Егоров, Д.А.) & Perevyshina E.A. (Перевышина, Е.А.), 2016. "Modelling of Inflationary Processes in Russia [Моделирование Инфляционных Процессов В России]," Working Papers 2138, Russian Presidential Academy of National Economy and Public Administration.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Dudek, Sławomir & Pachucki, Dawid & Zachłod-Jelec, Magdalena & Zając, Tomasz & Kolski, Paweł & Fudała-Poradzińska, Iwona & Danielski, Kamil, 2012. "eMPF Econometric Model of Public Finance," MF Working Papers 14, Ministry of Finance in Poland, revised 12 Jun 2012.
    2. Andrea Salazar-Díaz & Aarón Levi Garavito-Acosta & Sergio Restrepo Ángel & Leidy Viviana Arcila-Agudelo, 2023. "Real Equilibrium Exchange Rate in Colombia: Thousands of VEC Models Approach," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 99, pages 33-78, July-Dece.
    3. Luisa Corrado & Sean Holly, 2006. "The Linearisation and Optimal Control of Large Non-Linear Rational Expectations Models by Persistent Excitation," Computational Economics, Springer;Society for Computational Economics, vol. 28(2), pages 139-153, September.
    4. Kamila Kuziemska-Pawlak & Jakub Mućk, 2022. "Global Value Chains and Equilibrium Exchange Rate: Evidence from Central European Economies," NBP Working Papers 354, Narodowy Bank Polski.
    5. Piotr Wdowiński, 2011. "Model monetarny kursu równowagi złoty/euro: analiza kointegracyjna," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 3, pages 67-86.
    6. Magdalena Osinska & Karolina Kluth, 2010. "Convergence of Greek Economy with the EU and Some Comparisons with Polish Experience," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 139-156.
    7. Piotr Roszkowski & Kamila Sławińska & Andrzej Torój, 2014. "BEER tastes better in a panel of neighbours. On equilibrium exchange rates in CEE countries," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 34, pages 209-226.
    8. Fair, Ray C., 2014. "How might a central bank report uncertainty?," Economics Discussion Papers 2014-25, Kiel Institute for the World Economy (IfW Kiel).
    9. Mihaela SIMIONESCU, 2013. "The Assessment Of Parameter Uncertainty In A Vector Error Correction Model For Romania," Romanian Journal of Economics, Institute of National Economy, vol. 37(2(46)), pages 124-134, December.
    10. Marcin Borsuk, 2019. "Forecasting the Net Interest Margin and Loan Loss Provision Ratio of Banks in Various Economic Scenarios: Evidence from Poland," Russian Journal of Money and Finance, Bank of Russia, vol. 78(1), pages 89-106, March.
    11. Charemza, Wojciech & Makarova, Svetlana & Prytula, Yaroslav & Raskina, Julia & Vymyatnina, Yulia, 2009. "A small forward-looking inter-country model (Belarus, Russia and Ukraine)," Economic Modelling, Elsevier, vol. 26(6), pages 1172-1183, November.
    12. Lucian Claudiu ANGHEL & Laurentiu-Mihai TREAPAT, 2015. "Main Economic Policies in order to Manage an Optimum Accession of Romania to the Euro Zone," Management Dynamics in the Knowledge Economy, College of Management, National University of Political Studies and Public Administration, vol. 3(1), pages 151-169, March.
    13. Katarzyna Budnik, 2012. "Do those who stay work less? On the impact of emigration on the measured TFP in Poland," NBP Working Papers 113, Narodowy Bank Polski.
    14. Michal Adam & Witold Kozinski & Janusz Zielinski, 2013. "To what extent can central banks influence exchange rates with foreign exchange interventions? The case of Poland," BIS Papers chapters, in: Bank for International Settlements (ed.), Sovereign risk: a world without risk-free assets?, volume 73, pages 279-291, Bank for International Settlements.
    15. Ray C. Fair, 2012. "How Should the Fed Report Uncertainty"," Cowles Foundation Discussion Papers 1864, Cowles Foundation for Research in Economics, Yale University.
    16. Kendrick, David A., 2005. "Stochastic control for economic models: past, present and the paths ahead," Journal of Economic Dynamics and Control, Elsevier, vol. 29(1-2), pages 3-30, January.
    17. Ebrahim Hadian; & Najmeh Sajedianfard, 2018. "Monetary Fundamental-Based Exchange Rate Model in Iran: Applying a MS-TVTP Approach," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 22(2), pages 557-578, Spring.
    18. Ray C. Fair, "undated". "How Might a Central Bank Report Uncertainty"," Cowles Foundation Discussion Papers 1943, Cowles Foundation for Research in Economics, Yale University.
    19. Jan Hagemejer & Zbigniew Żółkiewski, 2013. "Short-run impact of the implementation of EU climate and energy package for Poland: computable general equilibrium model simulations," Bank i Kredyt, Narodowy Bank Polski, vol. 44(3), pages 237-260.
    20. Michał Hulej & Grzegorz Grabek, 2015. "Output gap measure based on survey data," NBP Working Papers 200, Narodowy Bank Polski.

    More about this item

    Keywords

    Polish economy; macroeconometric model; macroeconomic model;
    All these keywords.

    JEL classification:

    • E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nbp:nbpmis:64. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jakub Growiec (email available below). General contact details of provider: https://edirc.repec.org/data/nbpgvpl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.