Ocena efektu Harbergera-Laursena-Metzlera w polskim sektorze rolno-żywnościowym

Słowa kluczowe

terms of trade rachunek obrotów bieżących wektorowa autoregresja polski sektor rolno-żywnościowy

Key words

terms of trade current account vector autoregression Polish agro-food sector

JEL Classification

F19 N50 Q17

Streszczenie

W opracowaniu podjęto problem oszacowania efektu Harbergera-Laursena-Metzlera w odniesieniu do polskiego sektora rolno-żywnościowego. Analiza obejmuje lata 2002-2017. W badaniu zastosowano metodykę wektorowej autoregresji (VAR). Wyniki studium ukazały, że trwałe pogorszenie terms of trade wpływa na poprawę bilansu handlowego polskiego sektora rolno-żywnościowego. Natomiast nie zidentyfikowano skutków krótkookresowych szoków terms of trade. Dodatkowo, badanie umożliwiło zidentyfikowanie wartości dodanej brutto (GVA) jako najbardziej egzogenicznej składowej systemu VAR. Najbardziej endogenicznym czynnikiem w modelu okazało się saldo obrotów bieżących. Długookresowe zmiany terms of trade są czynnikiem bardziej egzogenicznym niż saldo obrotów bieżących.

Abstract

The aim of the study was to asses the Harberger-Laursen-Metzler effect in Polish agro-food sector. The analysis covers period of 2002-2017. There was applied the vector autoregression (VAR) methodology. The outcome of the research revealed that permanent deterioration in terms of trade contributed to the current account of Polish agribusiness sector improvement. The temporary effect of terms of trade shocks was not indentified. Additionally, the research enabled recognition of gross value added (GVA) as the most exogenous factor of the VAR system. On the other hand most endogenous factor of the model is the current account. The variable permanent terms of trade is more exogenous factor than the current account.

Cytowania

1. Agenor Pierre-Richard, Aizenman Joshua 2000: Savings and the Terms of Trade Under Borrowing Constraints, NBER Working Paper No. 7743, Cambridge, MA.
2. Charemza Wojciech, Deadman Derek 1992: New Directions in Econometric Practice, Edward Elgar Publishing, Aldershot.
3. Charemza Wojciech, Deadman Derek 1997: Nowa ekonometria, PWE, Warszawa.
4. Chowdhury Abdur 2003: Do asymmetric terms of trade shocks affect private savings in a transition economy?, Discussion Papers No. 3, Bank of Finland Institute for Economies in Transition, Helsinki.
5. Duncan Roberto 2003: The Harberger-Laursen-Metzler Effect Revisited: An Indirect-Utility-Function Approach, Central Bank of Chile Working Papers, No. 250, Santiago.
6. Edwards Sebastian 1989: Temporary Terms of Trade Disturbances, the Real Exchange Rate and the Current Account, ,,Economica”, London School of Economics and Political Science, 56, s. 343-357.
7. Eicher Theo Stefan, Schubert Stefan Franz, Turnovsky Stephen 2008: Dynamic Effects of Terms of Trade Shocks: The Impact on Debt and Growth, „Journal of International Money and Finance”, 27(6), s. 876-896.
8. Harberger Arnold 1950: Currency Depreciation, Income and the Balance of Trade, „Journal of Political Economy”, 58, s. 47-60.
9. Hodrick Robert, Prescott Edward 1997: Postwar U.S. Business Cycles: An Empirical Investigation, „Journal of Money, Credit and Banking”, 29, 1, s. 1-6.
10. Johansen Soren 1988: Statistical Analysis of Cointegration Vectors, „Journal of Economic Dynamics and Control”, 12 , s. 231-254.
11. Kent Christopher, Cashin Paul 2003: The Response of the Current Account to Terms of Trade Shocks: Persistence Matters, IMF Working Paper, No. 143.
12. Kusideł Ewa 2000: Modele wektorowo-autoregresyjne VAR. Metodologia i zastosowania, Absolwent, Łódź.
13. Kwiatkowski Denis, Phillips Peter, Schmidt Peter, Shin Yongheol 1992: Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root. Journal of Econometrics, 54, s. 159-178.
14. Laursen Svend, Metzler Lloyd 1950: Flexible Exchange Rates and the Theory of Employment, „Review of Economics and Statistics”, 32, 4, s. 281-299.
15. Lütkepohl Helmut 1991: Introduction to Multiple Time Series Analysis, Springer-Verlag, Berlin-Heidelberg.
16. Mendoza Enrique 1995: The terms of trade, the real exchange rate and economic fluctuations, „International Economic Review”, 36, 1, s. 101-137
17. Obstfeld Maurice 1981: Aggregate Spending and the Terns of Trade: Is There a Laursen-Metzler Effect?, Working Paper No. 686, NBER, Cambridge MA.
18. Osińska Magdalena 2006: Ekonometria finansowa, PWE, Warszawa.
19. Otto Glenn 2003: The Effect of Terms of Trade Shocks on the Trade Balance: Is There a Harberger-Laursen-Metzler Effect?, „Journal of International Money and Finance”, 22, 2, s. 155-184.
20. Persson Torsten, Svensson Lars 1985: Current Account Dynamics and the Terms of Trade: Harberger-Laursen-Metzler Two Generations Later, „Journal of Political Economy”, 93, s. 43-65.
21. Reinhart Carmen, Ostry Jonathan 1991: Private Saving and Terms of Trade Shocks, IMF Working Paper WP/91/100.
22. Rinne Horst, Specht Katja 2002: Zeitreihen. Statistische Modellierung, Schätzung und Prognose, Verlag Franz Vahlen, München.
23. Sachs Jeffrey 1981: The Current Account and Macroeconomic Adjustment in the 1970’s, „Brooking Papers on Economic Activity”, 1, s. 201-268.
24. Svensson Lars, Razin Assaf 1983: The Terms-of-Trade and the Current Account: The Harberger-Laursen-Metzler Effect, „Journal of Political Economy”, 91, 97-125.
25. Turnovsky Stephen 1997: International Macroeconomic Dynamics, MIT Press, Cambridge.
26. Uzawa Hirofumi 1968: Time preference, the consumption function, and optimum asset holdings, [w] James Walk, ed., Value, capital, and growth: Papers in honour of Sir John Hicks, Aldine, Chicago, IL, s. 485-504.
27. Wang Peijie 2009: The Economics of Foreign Exchange and Global Finance, Springer, Berlin.