Application of the Bayesian New Keynesian DSGE Model to Polish Macroeconomic Data




dynamic stochastic general equilibrium; New Keynesian DSGE model; Bayesian approach; technological, inflationary and monetary shocks; Polish macro-economy; Metropolis-Hastings


In the paper we estimate a simple New Keynesian Dynamic Stochastic General Equilibrium NK DSGE model on the basis of Polish macro data from the period 2000-2019. The model is specified similarly to Galí (2008) with the use of the Bayesian approach. The NK DSGE model combines the advantages of both structural models and time-series models and, therefore, shows a significant degree of alignment with empirical data. The Bayesian estimation is based on the prior distribution of the model input parameters, which are later compared with the posteriors. The results obtained allow for assessing the persistence of responses to technological, inflationary and monetary policy shocks. On the basis of the NK DSGE model, we formulate a perception of macroeconomic interactions, e.g. nominal interest rates’ association with inflation and the output gap. In other words, the NK DSGE model provides a better understanding of the relationship between interest rates, inflation and the output gap. This in turn makes it easier to understand the monetary policy response function.

Author Biographies

Janusz Sobieraj, Warsaw University of Technology, Poland

Janusz Sobieraj: Assistant Professor in the Department of Building Engineering, Faculty of Civil Engineering at the Warsaw University of Technology. He is a civil engineer with a degree from the Warsaw University of Technology, and holds a PhD in economic sciences in the field of management sciences from the Department of Computer Science and Management of the Wrocław University of Technology. He is an author of several books on construction management, strategic management, and industrial revolution 4.0. His research interests are primarily in the areas of construction management, entrepreneurship, applied economics, mobility factors, productivity, organisations and management, and technologies. ORCID:

Dominik Metelski, University of Granada, Spain

Dominik Metelski: Research Assistant in the Department of Spanish and International Economics at the University of Granada (Spain). He is an economist with a degree from the University of Warsaw, and holds a PhD in the field of economic sciences from the Department of International Economics of the University of Granada, under the Programme of Studies on Advanced Techniques in Financial and Commercial Planning, Management and Control. His research interests are primarily related to such topics as productivity, migration as well as issues in the areas of entrepreneurship, innovation, real options and financial markets with particular emphasis on companies’ valuations, portfolio management and financial options. ORCID:

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