The paper provides a novel Bayesian methodological framework to estimate structural VAR (SVAR) models with recursive identification schemes that allows for the inclusion of over-identifying restrictions. The proposed framework enables the researcher to (i) elicit the prior on the non-zero...

In this article we present the balance of payments equilibrium exchange rate model and its empirical application to the Polish zloty. Results of the estimation indicate that in 1995-99 the zloty was not misaligned, while in 2000-2001 it was overvalued by about 10-15 percent, and, after...

The paper presents an extended version of the fundamental equilibrium exchange rate model (FEER), which introduces potential output into foreign trade equations. We show that with this specification and under some plausible assumptions the equilibrium exchange rate is consistent with the...

In May 2004 Poland joined the European Union and is thereby committed to introduce the euro in the forthcoming years. The balance of costs and benefits of the euro adoption depends on the decision of the Polish and European authorities concerning the level of central parity in the ERM II, and...

This paper investigates the channels through which the global crisis of 2008-2009 spread to economic activity of an emerging, fast growing economy with sound macroeconomic fundamentals. On the basis of Polish firm-level data we find that a number of individual firm characteristics account for a...

DSGE models have recently become one of the most frequently used tools in policy analysis. Nevertheless, their forecasting proprieties are still unexplored. In this article we address this problem by examining the quality of forecasts from a small size DSGE model, a trivariate VAR model and the...

We propose the unified approach to construct the non–informative prior for time–series econometric models that are invariant under some group of transformations. We show that this invariance property characterizes some of the most popular models hence the applicability of the proposed...