Speaker
Description
This study presents an end-to-end R-based workflow for estimating Poland’s natural rate of interest within a Bayesian vector error-correction setting. The empirical objective is to recover an equilibrium real interest rate and the associated monetary policy stance gap, whereas the methodological contribution lies in demonstrating how advanced macroeconometric inference can be structured, diagnosed, and reported within the R ecosystem. The framework integrates quarterly macro-financial data preparation, Z-score standardization, Bayesian lag-length and cointegration-rank selection, posterior simulation, uncertainty quantification, and historical decomposition. Model selection is conducted using rolling log predictive scores, MAP-type posterior model probabilities, and Savage-Dickey density ratios. Estimation is implemented primarily with bvartools, while zoo and xts are used for time-indexed data handling, dplyr and purrr for pipeline structuring, ggplot2 and gt for analytical reporting, and coda for posterior diagnostics. A central implementation feature is draw-by-draw normalization of the cointegration vector on the ex ante real policy rate, combined with equal-tailed 68% credible intervals and stability filtering. The resulting natural-rate estimates are benchmarked against a Gonzalo-Granger permanent-component decomposition. The empirical results indicate relative stability of the equilibrium real rate outside major shock episodes, a marked widening of uncertainty during 2020–2021, and a higher post-pandemic equilibrium level than in the pre-COVID sample. Particular emphasis is placed on implementation choices, posterior diagnostics, robustness design, and the capacity of R to support high-level Bayesian macro-financial analysis in policy-oriented research.
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ChatGPT was used to assist with translation between English and Polish, as well as for linguistic editing of the presentation and abstract, including corrections of spelling, grammar, and phrasing.
Additional Material or Paper
The initial version of the study was developed in the form of a scientific article and is currently under submission.
| Keywords: Please list up to 5 keywords to help us find the right session for your contribution. | natural rate of interest, Bayesian VECM, cointegration, monetary policy stance, historical decomposition |
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| Virtual Option | This submission is for onsite presentation primarily, but I would also like it to be considered for pre-recorded virtual presentation if I don't get an onsite slot |
| Video Recording | Video sharing is fine |
| The author(s) agree(s) to take responsibility and be accountable for the contents of the submission and is/are authorized to present it. | Confirm |