http://www.bis.org/cbhub/list/series/sid_32/index.rss Research hub papers by series: National Bank of Poland Working papers en http://www.nbp.pl/publikacje/materialy_i_studia/192_en.pdf National Bank of Poland Working papers by Micha Brzoza-Brzezina , Paolo Gelain, Marcin Kolasa Monetary and macroprudential policy with multiperiod loans 2014-12-19T12:33:00Z This Working Paper should not be reported as representing the views of either Norges Bank or the Narodowy Bank Polski. The views expressed are those of the authors and do not necessarily reflect those of either Norges Bank or the Narodowy Bank Polski. We would like to thank Markus Brunnermeier, Carlos Garriga, Matteo Iacoviello, Michael Kiley, Christoer Kok, Caterina Mendicino, Gisle J. Natvik, Johannes Pfeifer, Roman Sustek, Andrea Tambalotti, Harald Uhlig and Gauthier Vermandel for useful discussions and suggestions. This paper also beneted from comments by the participants of the Computing in Economics and Finance conference in Oslo, Annual Meeting of the Society for Economic Dynamics in Toronto, Dynare conference in Paris, Central Bank Macroeconomic Modeling Workshop in Rome, International Macro-economics Workshop at the University of Rennes, WGEM meeting at the European Central Bank and the NBP Summer Workshop in Warsaw. Monetary and macroprudential policy with multiperiod loans 2014-12-19T12:33:00Z Full text http://www.nbp.pl/publikacje/materialy_i_studia/192_en.pdf Micha Brzoza-Brzezina Marcin Kolasa Paolo Gelain Micha Brzoza-Brzezina, Paolo Gelain, Marcin Kolasa 2000 National Bank of Poland Working papers E44 E51 E52 http://www.nbp.pl/publikacje/materialy_i_studia/191_en.pdf National Bank of Poland Working papers by Piotr Biaowolski , Tomasz Kuszewski, Bartosz Witkowski Dynamic factor models & Bayesian averaging of classical estimates in forecasting macroeconomic indicators with application of survey data 2014-11-20T12:33:00Z In this article we present four diversified approaches to forecasting main macroeconomic variables without a priori assumptions concerning causality. We include tendency survey data in both the Bayesian averaging of classical estimates (BACE) and the dynamic factor models (DFM) frameworks. With respect to the forecasting models based on BACE we propose two methods of regressors' selection: frequentist (FMA) and averaging (BMA). Our approaches are a priori atheoretical and we refrain from the theory-based selection of exogenous variables. For comparison between forecasts we apply ARIMA method as well. Our approach is comprehensive with respect to the datasets used. We apply data from the tendency surveys conducted at the Research Institute for Economic Development (RIED) at the Warsaw School of Economics (WSE), Poland, on sentiment in the manufacturing industry, trade and construction as well as among households. We additionally include data from foreign and domestic institutes that construct their own leading indicators. We also use the Purchasing Managers' Index (PMI) for Polish industry.In order to assess the quality of results we check in-sample and out-of- sample performance. The results show that, although the results does not significantly differ, the best results are observed in Bayesian models with frequentist approach. Dynamic factor models & Bayesian averaging of classical estimates in forecasting macroeconomic indicators with application of survey data 2014-11-20T12:33:00Z Full text http://www.nbp.pl/publikacje/materialy_i_studia/191_en.pdf Piotr Biaowolski Bartosz Witkowski Tomasz Kuszewski Piotr Biaowolski , Tomasz Kuszewski, Bartosz Witkowski 2014 National Bank of Poland Working papers C10 C38 C83 E32 E37 http://www.nbp.pl/publikacje/materialy_i_studia/190_en.pdf National Bank of Poland Working papers by Margarita Rubio Rented vs. owner-occupied housing and monetary policy 2014-11-14T17:32:59Z The aim of this paper is to show how housing tenure (rented vs. owner-occupied) affects monetary policy. In order to do that, I propose a dynamic stochastic general equilibrium model with housing, both owned and rented. First, I analyze how, in the model, preference parameters, fiscal incentives and institutional factors determine the rental market share and the residential debt-to-GDP ratio. Then, within this framework, I study how the transmission and optimality of monetary policy differ depending on these factors. From a positive perspective, impulse responses illustrate differences in the monetary transmission mechanism. In normative terms, results show that when the relative size of the rental market is larger, monetary policy is more stabilizing. An optimal monetary policy analysis also suggests that in this case, monetary policy should respond more aggressively to inflation and disregard output, since the financial accelerator effects are weaker. Rented vs. owner-occupied housing and monetary policy 2014-11-14T17:32:59Z Full text http://www.nbp.pl/publikacje/materialy_i_studia/190_en.pdf Margarita Rubio Margarita Rubio 2014 National Bank of Poland Working papers E21 E3 E51 E6 http://www.nbp.pl/publikacje/materialy_i_studia/189_en.pdf National Bank of Poland Working papers by Gonzalo Camba-Méndez , Konrad Kostrzewa , Anna Mospan, Dobromił Serwa Pricing sovereign credit risk of an emerging market 2014-10-22T17:32:59Z We analyze the market assessment of sovereign credit risk in an emerging market using a reduced-form model to price the credit default swap (CDS) spreads thus enabling us to derive values for the probability of default (PD) and loss given default (LGD) from the quotes of sovereign CDS contracts. We compare different specifications of the models allowing for both fixed and time varying LGD, and we use these values to analyze the sovereign credit risk of Polish debt throughout the period of a global financial crisis. Our results suggest the presence of a low LGD and a relatively high PD for Poland during a recent financial crisis. The highest PD is in the months following collapse of Lehman Brothers. The derived measures of sovereign risk are strongly linked with the level of public debt and with another measure of PD from a structural model. Correlations between our PD values and the CDS spreads heavily depend on the maturity of the sovereign CDS. Pricing sovereign credit risk of an emerging market 2014-10-22T17:32:59Z Full text http://www.nbp.pl/publikacje/materialy_i_studia/189_en.pdf Konrad Kostrzewa Anna Mospan Dobromił Serwa Gonzalo Camba-Mendez Gonzalo Camba-Méndez , Konrad Kostrzewa , Anna Mospan, Dobromił Serwa 2014 National Bank of Poland Working papers C11 C32 G01 G12 G15 http://www.nbp.pl/publikacje/materialy_i_studia/188_en.pdf National Bank of Poland Working papers by Piotr Ciżkowicz, Michał Kowalczuk, Andrzej Rzońca Heterogeneous determinants of local unemployment in Poland 2014-10-03T17:32:59Z We identify determinants of large disparities in local unemployment rates in Poland using panel data on NUTS-4 level (poviats). We find that the disparities are linked to local demographics, education and sectoral employment composition rather than to local demand factors. However, the impact of determinants is not homogenous across poviats. Where unemployment is low or income per capita is high, unemployment does not depend on the late working-aged share in the population but does depend relatively stronger on the share of early working-aged. Where unemployment is high or income per capita is low, unemployment does not depend on education attainment and is relatively less responsive to investment fluctuations. Where small farms are present, they are partial absorbers of workers laid off due to investment fluctuations. Heterogeneous determinants of local unemployment in Poland 2014-10-03T17:32:59Z Full text http://www.nbp.pl/publikacje/materialy_i_studia/188_en.pdf Michał Kowalczuk Piotr Ciżkowicz Andrzej Rzońca Piotr Ciżkowicz, Michał Kowalczuk, Andrzej Rzońca 2014 National Bank of Poland Working papers C23 J23 R23 http://www.nbp.pl/publikacje/materialy_i_studia/185_en.pdf National Bank of Poland Working papers by Gonzalo Camba-Méndez and Dobromil Serwa Market perception of sovereign credit risk in the euro area during the financial crisis 2014-09-15T17:32:59Z We study market perception of sovereign credit risk in the euro area during the financial crisis. In our analysis we use a parsimonious CDS pricing model to estimate market implied measures of the probability of default (PD) and of the loss given default (LGD). We find that separate identification of PD and LGD appears empirically tractable for a number of euro area countries. In our empirical results the estimated market implied LGDs stay comfortably below 40% in most of the samples. We also find that macroeconomic and institutional developments were only weakly correlated with the market perception of sovereign credit risk, whereas financial contagion appears to have exerted a non-negligible effect. Market perception of sovereign credit risk in the euro area during the financial crisis 2014-09-15T17:32:59Z Abstract http://www.nbp.pl/publikacje/materialy_i_studia/185_en.pdf Full text http://www.nbp.pl/publikacje/materialy_i_studia/185_en.pdf Dobromil Serwa Gonzalo Camba-Mendez Gonzalo Camba-Méndez and Dobromil Serwa 2014 National Bank of Poland Working papers C11 C32 G01 G12 G15 http://www.nbp.pl/publikacje/materialy_i_studia/184_en.pdf National Bank of Poland Working papers by Michal Brzoza-Brzezina, Marcin Kolasa and Krzysztof Makarski Monetary and macroprudential policy with foreign currency loans 2014-09-15T17:32:59Z In a number of countries a substantial proportion of mortgage loans is denominated in foreign currency. In this paper we demonstrate how their presence affects economic policy and agents' welfare. To this end we construct a small open economy model with financial frictions where housing loans can be denominated in domestic or foreign currency. We calibrate the model for Poland - a typical small open economy with a large share of foreign currency loans (FCL) - and use it to conduct a series of simulations. They show that FCLs negatively affect the transmission of monetary policy. In contrast, their impact on the effectiveness of macroprudential policy is much weaker but positive. We also demonstrate that FCLs increase welfare when domestic interest rate shocks prevail and decrease it when risk premium (exchange rate) shocks dominate. Under a realistic calibration of the stochastic environment FCLs are welfare reducing. Finally, we show that regulatory policies that correct the share of FCLs may cause a cyclical slowdown. Monetary and macroprudential policy with foreign currency loans 2014-09-15T17:32:59Z Abstract http://www.nbp.pl/publikacje/materialy_i_studia/184_en.pdf Full text http://www.nbp.pl/publikacje/materialy_i_studia/184_en.pdf Michal Brzoza-Brzezina Marcin Kolasa Krzysztof Makarski Michal Brzoza-Brzezina, Marcin Kolasa and Krzysztof Makarski 2014 National Bank of Poland Working papers E32 E44 E58 http://www.nbp.pl/publikacje/materialy_i_studia/187_en.pdf National Bank of Poland Working papers by Janusz Jablonowski and Christoph Müller A fiscal outlook for Poland: Update 2014 2014-09-15T17:32:59Z Poland faces one of the most rapidly ageing population in Europe. The old age dependency ratio is expected to triple until 2060. Against this background, our paper examines the sustainability of Polish public finances and its isolated subsystems. We consider the profound recent reforms including the transfer of 2nd pillar pension obligations to the general government in 2014. Furthermore, we extend our previous computations (Jablonowski et al., 2011) by using data from household budget surveys as well as large pension contributors' and tax payers' databases. Our results show that the pension reforms enacted since 2011 improve the longterm stability of public finances. A risk for fiscal sustainability represents, however, the public health care system which may be severely challenged by the ageing process and a continuing excess cost growth. We assess a number of health reforms including co-payments and a shift to tax financing which have the potential to stabilize the public health care system. A fiscal outlook for Poland: Update 2014 2014-09-15T17:32:59Z Abstract http://www.nbp.pl/publikacje/materialy_i_studia/187_en.pdf Full text http://www.nbp.pl/publikacje/materialy_i_studia/187_en.pdf Janusz Jablonowski Christoph Müller Janusz Jablonowski and Christoph Müller 2014 National Bank of Poland Working papers H3 H50 H55 H60 H68 J10 http://www.nbp.pl/publikacje/materialy_i_studia/186_en.pdf National Bank of Poland Working papers by Micha Gradzewicz, Jakub Growiec, Marcin Kolasa, Lukasz Postek and Pawel Strzelecki Poland's exceptional performance during the world economic crisis: New growth accounting evidence 2014-09-15T17:32:59Z Using a growth accounting exercise based on new estimates of flows of capital and labor services in the Polish economy during the period 1995-2013, we study the consequences of the recent global economic crisis for the observed pace and structure of economic growth in Poland - a converging open economy which itself did not contribute to the breakout of the crisis. We thus provide a supply-side explanation why Poland fared so well during the world economic crisis. According to our results, the exceptional performance of the Polish economy in 2008-10 was an effect of several favorable circumstances. In particular, and unlike other European countries, it recorded both a marked increase in capital deepening and an improvement in workforce composition. We also find that the recent recession has not exerted any significant impact on the efficiency with which economic resources are used for production in Poland. Poland's exceptional performance during the world economic crisis: New growth accounting evidence 2014-09-15T17:32:59Z Abstract http://www.nbp.pl/publikacje/materialy_i_studia/186_en.pdf Full text http://www.nbp.pl/publikacje/materialy_i_studia/186_en.pdf Michal Gradzewicz Marcin Kolasa Lukasz Postek Pawel Strzelecki Jakub Growiec Micha Gradzewicz, Jakub Growiec, Marcin Kolasa, Lukasz Postek and Pawel Strzelecki 2014 National Bank of Poland Working papers E2 O4 http://www.nbp.pl/publikacje/materialy_i_studia/183_en.pdf National Bank of Poland Working papers by Michał Brzoza-Brzezina, Jacek Kotłowski and Kamil Wierus Can interest rate spreads stabilize the euro area? 2014-09-04T17:34:00Z Since the creation of the euro area significant interest rate spreads have arisen between euro area countries, both for public and private debt. We check whether these spreads could be made to work towards the goal of providing more stability to the euro area. In particular we focus on reducing the imbalances that arose between the core and peripheral members of the euro area in the first decade of its existence. The idea is that stable positive spreads in peripheral countries could have decreased domestic demand, preventing the boom-bust cycles that plagued these economies. They could also prevent such developments in the future. We find that spreads on real interest rates of 0.6 to 5.5 percentage points would have been necessary to stabilize external positions of the four peripheral euro area member countries. Can interest rate spreads stabilize the euro area? 2014-09-04T17:34:00Z Full text http://www.nbp.pl/publikacje/materialy_i_studia/183_en.pdf Kamil Wierus Jacek Kotlowski Michal Brzoza-Brzezina Michał Brzoza-Brzezina, Jacek Kotłowski, Kamil Wierus 2000 National Bank of Poland Working papers E32 E43 E52 http://www.nbp.pl/publikacje/materialy_i_studia/171_en.pdf National Bank of Poland Working papers by Aurélien Leroy, Yannick Lucotte Heterogeneous monetary transmission process in the Eurozone: Does banking competition matter? 2014-07-08T17:38:59Z This paper examines the implications of banking competition for the interest rate channel in the Eurozone over the period 2003-2010. Using an Error Correction Model (ECM) approach to measure the long-run and short-run relationships between money market rates, bank interest rates, and our competition proxy, namely, the Lerner index. We find that competition (i) reduces the bank lending interest rates, (ii) increases the long-term interest pass-through and (iii) speeds up the adjustment towards the long-run equilibrium in the short-run. Therefore, increased competition would improve the effectiveness of monetary policy transmission through the interest rate channel, and from this point of view should be fostered in the Eurozone. Because the 2007-2009 financial crisis has undoubtedly led to a modification of the monetary policy and an increase of the heterogeneity in the Eurozone, we control and extend our results by considering many other aspects than the market structures that can affect the interest rate pass-through. Even if we observe that other factors (economic heterogeneity, systemic risk, banking stability, and capitalization) matter for monetary policy transmission, bank competition remains a key determinant of the pass-through. Heterogeneous monetary transmission process in the Eurozone: Does banking competition matter? 2014-07-08T17:38:59Z Abstract http://www.nbp.pl/publikacje/materialy_i_studia/171_en.pdf Full text http://www.nbp.pl/publikacje/materialy_i_studia/171_en.pdf Aurélien Leroy Yannick Lucotte Aurélien Leroy, Yannick Lucotte 2014 National Bank of Poland Working papers C23 D4 E43 E52 G21 L10 http://www.nbp.pl/publikacje/materialy_i_studia/177_en.pdf National Bank of Poland Working papers by Christopher F Baum, Margarita Karpava, Dorothea Schäfer, Andreas Stephan Credit rating agency downgrades and the Eurozone sovereign debt crises 2014-07-08T17:38:59Z This paper studies the impact of credit rating agency (CRA) downgrade announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011 2012. The employed GA.TI.CH models show that CRA downgrade announcements negatively affected the value of the Euro currency and also increased its volatility. Downgrading increased the yields of French, Italian and Spanish bonds but. lowered the German bond's yields, although Germany's rating status was never touched by CRA. There is no evidence for Granger causality from bond yields to rating announcements. We infer from these findings that CRA announcements significantly influenced crisis-time capital allocation in the Eurozone. Their downgradings caused investors to rebalance their portfolios across member countries, out of ailing states' debt into more stable borrowers' securities. Credit rating agency downgrades and the Eurozone sovereign debt crises 2014-07-08T17:38:59Z Abstract http://www.nbp.pl/publikacje/materialy_i_studia/177_en.pdf Full text http://www.nbp.pl/publikacje/materialy_i_studia/177_en.pdf Dorothea Schäfer Christopher F Baum Margarita Karpava Andreas Stephan Christopher F Baum, Margarita Karpava, Dorothea Schäfer, Andreas Stephan 2014 National Bank of Poland Working papers E42 E43 E44 F31 F42 F65 G01 G12 G14 G24 http://www.nbp.pl/publikacje/materialy_i_studia/181_en.pdf National Bank of Poland Working papers by Dariusz Gatarek, Juliusz Jablecki Estimating the risk of joint defaults: an application to central bank collateralized lending operations 2014-07-08T17:38:59Z Central bank lending to commercial banks is typically collateralized which reduces central bank's credit risk exposure to "double default events" when the counterparty and the issuer of the underlying collateral asset both default in a short period of time. This paper presents a simple model for correlated defaults which are the key drivers of residual credit risk in central bank's repo portfolios. In the model default times of counterparties and collateral issuers are determined by idiosyncratic and systematic factors, whereby a name defaults if it is struck by either factor for the first time. The novelty of our approach lies in representing systematic factors as increasing sequences of random variables. Such a setting allows to build a rich dependence structure that is free of the flaws inherent in the Gaussian copula-based approaches currently regarded as state of the art solutions for central banks. Estimating the risk of joint defaults: an application to central bank collateralized lending operations 2014-07-08T17:38:59Z Abstract http://www.nbp.pl/publikacje/materialy_i_studia/181_en.pdf Full text http://www.nbp.pl/publikacje/materialy_i_studia/181_en.pdf Dariusz Gatarek Juliusz Jablecki Dariusz Gatarek, Juliusz Jablecki 2014 National Bank of Poland Working papers G12 G13 http://www.nbp.pl/publikacje/materialy_i_studia/180_en.pdf National Bank of Poland Working papers by Mariusz Kapuscinski, Tomasz Lyziak, Jan Przystupa, Ewa Stanislawska, Anna Sznajderska, Ewa Wróbel Monetary policy transmission mechanism in Poland. What do we know in 2013? 2014-07-08T17:38:59Z Monetary policy transmission mechanism in Poland. What do we know in 2013? 2014-07-08T17:38:59Z Full text http://www.nbp.pl/publikacje/materialy_i_studia/180_en.pdf Ewa Stanisawska Jan Przystupa Anna Sznajderska Ewa Wróbel Mariusz Kapuscinski Tomasz Lyziak Mariusz Kapuscinski, Tomasz Lyziak, Jan Przystupa, Ewa Stanislawska, Anna Sznajderska, Ewa Wróbel 2014 National Bank of Poland Working papers http://www.nbp.pl/publikacje/materialy_i_studia/178_en.pdf National Bank of Poland Working papers by Tomasz yziak Inflation expectations in Poland, 2001-2013, Measurement and macroeconomic testing 2014-07-08T17:38:59Z This paper presents survey-based direct measures of inflation expectations of consumers, enterprises and financial sector analysts in Poland. It then goes on to provide the results of testing those features of inflation expectations that seem the most important from the point of view of monetary policy and its transmission mechanism. The study is the revised version of the NBP Working Paper no. 115 [ Lyziak (2012)]. It uses new measures of consumer inflation expectations and covers the updated sample (2001-2013). Characteristics of inflation expectations in Poland are diversified across the analysed groups of economic agents. Inflation expectations of financial sector analysts and enterprises outperform those of consumers in terms of their accuracy and information content, although consumer inflation expectations are also to some extent forward-looking. Inflation expectations in Poland, 2001-2013, Measurement and macroeconomic testing 2014-07-08T17:38:59Z Abstract http://www.nbp.pl/publikacje/materialy_i_studia/178_en.pdf Full text http://www.nbp.pl/publikacje/materialy_i_studia/178_en.pdf Tomasz Lyziak Tomasz Lyziak 2014 National Bank of Poland Working papers http://www.nbp.pl/publikacje/materialy_i_studia/176_en.pdf National Bank of Poland Working papers by Taneli Mäkinen, Björn Ohl Information acquisition and learning from prices over the business cycle 2014-07-08T17:38:59Z We study firms' incentives to acquire costly information in booms and recessions to understand the role of endogenous information in explaining business cycles. We find that when the economy has been in a recession in the previous period, and firms enter the current period with a pessimistic belief, the incentive to acquire information is stronger than when the economy has been in a boom and firms share an optimistic belief. The cyclicality of the aggregate learning outcome is moderated by the price system, which transmits information from informed to uninformed firms, thus dampening information demand. Though learning from equilibrium prices acts to stabilize fluctuations by discouraging information acquisition, it can be welfare-enhancing to make information prohibitively costly to obtain. Information acquisition and learning from prices over the business cycle 2014-07-08T17:38:59Z Abstract http://www.nbp.pl/publikacje/materialy_i_studia/176_en.pdf Full text http://www.nbp.pl/publikacje/materialy_i_studia/176_en.pdf Taneli Mäkinen Björn Ohl Taneli Mäkinen, Björn Ohl 2014 National Bank of Poland Working papers D51 D83 E32 http://www.nbp.pl/publikacje/materialy_i_studia/179_en.pdf National Bank of Poland Working papers by Ewa Stanislawska Interest rate pass-through in Poland. Evidence from individual bank data 2014-07-08T17:38:59Z The paper employs on individual bank data with aim to analyse interest rate pass-through from money market rates to banks' deposits and lending rates. In the first step, the speed and completeness of interest rate adjustment is assessed. As the sample covers period prior to and after the outburst of the financial crisis, some comparisons of interest rate transmission process in these periods are made. In the second step, the influence of individual banks characteristics, like size, strength of deposit base, quality of credit portfolio, etc., on the features of interest rate transmission is examined. It seems that t heir impact i s not strong, as they affect rather the speed of adjustment than its scale in the long term. Interest rate pass-through in Poland. Evidence from individual bank data 2014-07-08T17:38:59Z Abstract http://www.nbp.pl/publikacje/materialy_i_studia/179_en.pdf Full text http://www.nbp.pl/publikacje/materialy_i_studia/179_en.pdf Ewa Stanisawska Ewa Stanislawska 2014 National Bank of Poland Working papers E43 E52 G21 http://www.nbp.pl/publikacje/materialy_i_studia/174_en.pdf National Bank of Poland Working papers by Grazyna Baldowska, Robert Leszczynski, Barbara Myszkowska Convergence and differentiation processes in local markets and structural changes (comparison of 16 markets in Poland) 2014-07-08T17:38:59Z The housing market (primary, secondary or rental) is very often analyzed as a whole, big market in a selected country. Our analysis focuses on the fundamental determinants of this market in 16 biggest cities in Poland, which are the capital cities of the 16 voivodeships. We also clustered the cities to show groups of cities which's housing market behaves in a similar fashion. We confirm that the situation on housing market is driven by fundamental factors and the best way for a further econometric analysis is to divide the whole market into two groups of cities with a number of inhabitants below and over 400 thousand people. Convergence and differentiation processes in local markets and structural changes (comparison of 16 markets in Poland) 2014-07-08T17:38:59Z Abstract http://www.nbp.pl/publikacje/materialy_i_studia/174_en.pdf Full text http://www.nbp.pl/publikacje/materialy_i_studia/174_en.pdf Barbara Myszkowska Grazyna Baldowska Robert Leszczynski Grazyna Baldowska, Robert Leszczynski, Barbara Myszkowska 2014 National Bank of Poland Working papers E21 R21 R31 http://www.nbp.pl/publikacje/materialy_i_studia/175_en.pdf National Bank of Poland Working papers by Katarzyna Growiec, Jakub Growiec The impact of bridging and bonding social capital on individual earnings: Evidence for an inverted U 2014-07-08T17:38:59Z Based on data on a cross section of individuals surveyed in the 1999-2002 wave of World and European Values Surveys, we investigate the extent to which bridging and bonding social capital as well as social trust interdependently affect individuals' earnings. Our analysis provides robust evidence that the impact of bridging social capital on earnings is inverted-U shaped whereas the impact of bonding social capital is unambiguously negative and approximately linear. It is carefully ascertained that neither of these results is driven by regressor endogeneity or omitted variables bias. We also identify significant interaction effects between social capital, trust, and employment status. The impact of bridging and bonding social capital on individual earnings: Evidence for an inverted U 2014-07-08T17:38:59Z Abstract http://www.nbp.pl/publikacje/materialy_i_studia/175_en.pdf Full text http://www.nbp.pl/publikacje/materialy_i_studia/175_en.pdf Katarzyna Growiec Jakub Growiec Katarzyna Growiec, Jakub Growiec 2014 National Bank of Poland Working papers J24 J31 Z13 http://www.nbp.pl/publikacje/materialy_i_studia/172_en.pdf National Bank of Poland Working papers by Malgorzata Pawlowska, Dobromil Serwa, Slawomir Zajaczkowski International transmission of liquidity shocks between parent banks and their affiliates: the host country perspective 2014-07-08T17:38:59Z In this study we analyze how funding liquidity shocks affecting large international banks were transmitted to Polish subsidiaries and branches of these banks in recent years. We investigate differences in the effects of liquidity shocks on banks owned by both Polish and foreign institutions. All Polish banks reacted to liquidity shocks after Lehman Brothers failure; however, only Polish subsidiaries and branches of foreign parent banks adjusted their funding after liquidity shocks had taken place during the sovereign debt crisis of the Eurozone. Mortgage lending in foreign currencies was also affected by liquidity shocks during the crisis. Our results suggest that the intragroup links between banking institutions can serve both as an important channel for international transmission of liquidity shocks and as a stabilizing mechanism during liquidity crises. International transmission of liquidity shocks between parent banks and their affiliates: the host country perspective 2014-07-08T17:38:59Z Abstract http://www.nbp.pl/publikacje/materialy_i_studia/172_en.pdf Full text http://www.nbp.pl/publikacje/materialy_i_studia/172_en.pdf Slawomir Zajaczkowski Malgorzata Pawlowska Dobromil Serwa Malgorzata Pawlowska, Dobromil Serwa, Slawomir Zajaczkowski 2014 National Bank of Poland Working papers E44 F34 G32 http://www.nbp.pl/publikacje/materialy_i_studia/173_en.pdf National Bank of Poland Working papers by Andrzej Cieslik, Jan Jakub Michalek The propensity to exports and the membership in the Economic and Monetary Union of Central and Eastern European Countries: the micro-econometric firm level analysis 2014-07-08T17:38:59Z There are many studies aiming at estimation of aggregate trade effects of the euro adoption by the old EU countries, which are based on the gravity model. In contrast to the existing literature we investigate whether the adoption of the common currency increases the export activity of individual firms. In particular, we refer to the new strand in the trade theory, based on the Melitz (2003) model, in which propensity to export depends on productivity and costs of exporting. There are many empirical studies, based on firm level data, showing the relevance of the Melitz (2003) model. Most of those studies demonstrate that export performance positively depends on firms' characteristics, but they do not take into account the impact of the common currency on the cost of exporting. There are only few studies analyzing implications of euro adoption for firms' exports of "old EU" members. In our empirical paper we use the firm level data basis set up by the EBRD and the World Bank. Using the probit model we analyze whether the accession of Slovenia and Slovakia to the Eurozone did increase the firms' propensity to export in those countries. The propensity to exports and the membership in the Economic and Monetary Union of Central and Eastern European Countries: the micro-econometric firm level analysis 2014-07-08T17:38:59Z Abstract http://www.nbp.pl/publikacje/materialy_i_studia/173_en.pdf Full text http://www.nbp.pl/publikacje/materialy_i_studia/173_en.pdf Jan Jakub Michalek Andrzej Cieslik Andrzej Cieslik, Jan Jakub Michalek 2014 National Bank of Poland Working papers F12 F14 F33 http://www.nbp.pl/publikacje/materialy_i_studia/170_en.pdf National Bank of Poland Working papers by Andrzej Kocięcki, Marcin Kolasa Global identification of linearized DSGE models 2014-02-24T12:33:59Z This paper introduces a time domain framework to analyze global identification of stochastically nonsingular DSGE models. A formal identification condition is established that relies on the restrictions linking the observationally equivalent minimal state space representations and on the inherent constraints imposed by them on deep model parameters. We next develop an algorithm that checks global identification by searching for observationally equivalent model parametrizations. The algorithm is efficient as the identification conditions it employs shrink considerably the space of candidate deep parameter points and does not require solving the model at each of these points. We also derive two complementary necessary conditions for global identification. Their usefulness and the working of the algorithm are illustrated with an example. Global identification of linearized DSGE models 2014-02-24T12:33:59Z Full text http://www.nbp.pl/publikacje/materialy_i_studia/170_en.pdf Andrzej Kocięcki Marcin Kolasa Andrzej Kocięcki, Marcin Kolasa 2013 National Bank of Poland Working papers C13 C51 E32 http://www.nbp.pl/publikacje/materialy_i_studia/169_en.pdf National Bank of Poland Working papers by Micha Adam, Piotr Babua, Micha Markun Dependence and contagion between asset prices in Poland and abroad. A copula approach 2013-12-17T17:58:59Z Dependence and contagion between asset prices in Poland and abroad. A copula approach 2013-12-17T17:58:59Z Full text http://www.nbp.pl/publikacje/materialy_i_studia/169_en.pdf Micha Markun Micha Adam Piotr Babua Micha Adam, Piotr Babua, Micha Markun 2013 National Bank of Poland Working papers http://www.nbp.pl/publikacje/materialy_i_studia/167_en.pdf National Bank of Poland Working papers by Marcin Humanicki, Robert Kelm, Krzysztof Olszewski Foreign Direct Investment and Foreign Portfolio Investment in the contemporary globalized world: should they be still treated separately? 2013-12-17T12:58:59Z Foreign Direct Investment and Foreign Portfolio Investment in the contemporary globalized world: should they be still treated separately? 2013-12-17T12:58:59Z Full text http://www.nbp.pl/publikacje/materialy_i_studia/167_en.pdf Krzysztof Olszewski Robert Kelm Marcin Humanicki Marcin Humanicki, Robert Kelm, Krzysztof Olszewski 2013 National Bank of Poland Working papers http://www.nbp.pl/publikacje/materialy_i_studia/168_en.pdf National Bank of Poland Working papers by Alfred A. Haug, Tomasz Jdrzejowicz, Anna Sznajderska Combining monetary and fiscal policy in an SVAR for a small open economy 2013-12-17T12:58:59Z Combining monetary and fiscal policy in an SVAR for a small open economy 2013-12-17T12:58:59Z Full text http://www.nbp.pl/publikacje/materialy_i_studia/168_en.pdf Alfred A. Haug Anna Sznajderska Tomasz Jdrzejowicz Alfred A. Haug, Tomasz Jdrzejowicz, Anna Sznajderska 2013 National Bank of Poland Working papers