Are Structural VARs with Long-Run Restrictions Useful for Developing Monetary Policy Strategy in Egypt?
Abstract
On the basis of SVAR models of monetary policy in Egypt for the period December 1976–May 2006, our paper explores a new empirical assessment for the interest rate channel in correcting trouble in the Egyptian economy by imposing contemporaneous and long run restrictions. It appears that after a monetary policy expansion, output is stable in the first period, rises temporarily reaching the baseline at t = 40, and the global monetary aggregate rises but not significantly. In addition, the price level rises with great difficulties in response to a negative interest rate shock to the global liquidity aggregate. The excess of money supply has a transitory effect on the Egyptian output but it causes inflation pressures.SVAR Blanchard and Quah (1989) estimation reveals contradictory results to the previous findings. Last but certainly not least, this means that the effect of bank lending and the interest rate channels on the economy are limited in time.The paper shows that the transmission of monetary policy through the interest rate channel has become weak in the short run but more important in the long run. Nonetheless, the bank lending channel through the commercial bank lending is not a potent monetary transmission mechanism.Download Info
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic Info
Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal Review of Pacific Basin Financial Markets and Policies.
Volume (Year): 12 (2009)
Issue (Month): 03 ()
Pages: 509-527
Contact details of provider:
Web page: http://www.worldscinet.com/rpbfmp/rpbfmp.shtml
Order Information:
Email:
Related research
Keywords: Monetary policy; bank lending channel; interest rate channel; Egyptian economy; SVAR models; contemporaneous restrictions; long run restrictions;Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
- G3 - Financial Economics - - Corporate Finance and Governance
References
No references listed on IDEASYou can help add them by filling out this form.
Citations
Lists
This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.Statistics
Access and download statisticsCorrections
When requesting a correction, please mention this item's handle: RePEc:wsi:rpbfmp:v:12:y:2009:i:03:p:509-527For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.