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The asymmetric effects of Tunisian monetary policy: a threshold vector autoregressive approach

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  • Nahed Zghidi

Abstract

This paper deals with the presence of asymmetric effects of monetary policy on real activity in Tunisia, using a threshold vector autoregressive model. Two kinds of asymmetry are investigated: asymmetry related to the phase of the business cycle and asymmetry related to the direction of the monetary policy action. The generalised impulse response functions from the estimated non-linear model prove that monetary shocks have asymmetric effects on the economic aggregates, depending on different initial states of the economy. Little evidence is found of any asymmetry related to the direction of the policy action.

Suggested Citation

  • Nahed Zghidi, 2012. "The asymmetric effects of Tunisian monetary policy: a threshold vector autoregressive approach," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 4(4), pages 363-373.
    • Handle: RePEc:ids:ijecbr:v:4:y:2012:i:4:p:363-373
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    Cited by:

    1. Dahem, Ahlem & Siala Guermazi, Fatma, 2016. "Exchange rate Pass-through and Monetary Policy in Transition Economy: Evidence from Tunisia with disaggregated VAR Analysis," MPRA Paper 74179, University Library of Munich, Germany.
    2. Ahlem Dahem1 & Fatma Siala Guermazi, 2016. "Exchange Rate Pass-through and Monetary Policy in Transition Economy: Evidence from Tunisia with a Disaggregated VAR Analysis," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(4), pages 50-63.
    3. Guizani, Brahim, 2015. "Effectiveness of Monetary Policy In Economies in Democratic Transition: Evidence from Tunisia," MPRA Paper 63205, University Library of Munich, Germany.

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