Prognozowanie składników PKB na podstawie indykatorów miesięcznych: analiza kointegracyjna
Forecasting Components of GDP on the Basis of Monthly Indicators: Cointegration Analysis

Summary/Abstract: The dynamics of economic processes in Poland has been noticeably rising after joining the EU and it has been substantially increasing the level of uncertainty in the monetary policy. As there are still different views among the members of the Monetary Policy Council on the size of the output gap, the central bank interest rate policy arises serious controversies over the optimal responses of the monetary authorities to the inflationary tensions. From such a perspective a frequency increase of the data used in the decision making process and, consequently, estimation of the monthly GDP should be perceived as a prerequisite for any optimization rule in the monetary policy. In the paper the most important part of the GDP and its components estimation procedure is discussed. According to the main assumption it is justified to estimate unobservable monthly macro-aggregates basing on the relationships derived from quarterly models. Serious problems in the GDP estimation procedure are connected with (i) selection of proper indicators which are observable with quarterly and monthly frequencies and with (ii) establishing a criterion allowing for selection of appropriate models. It is assumed that the solution of the above mentioned problems boils down to the sequence of the cointegration and specification tests which may be performed within the Johansen cointegration procedure. The results of the cointegration analysis are presented. They support the existence of long term relationships between the considered macroaggregates and the selected indicators and justify monthly estimation of GDP and its components.

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