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Empirical Analysis of Monetary Transmission in Tunisia: What do SVAR Models Tell Us?

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  • Hachicha, Ahmed
  • Bates, Samuel

Abstract

Monetary policy contributes to stabilize growth. Particularly in a reforming context for financial and economic activities, it is important to know how central bankers’ decisions through the short term interest rate of the money market are transmitted to the real variables: the GDP and the inflation. Few studies on monetary transmission mechanisms deal with the Maghreb countries. Structural VAR are used to investigate the importance of various monetary transmission channels at a macro scale from convenient impulse response functions. As a result, the Tunisian central bank should mainly target inflation, focussing the interest rate channel and the long-term interest rate as the principal transmission variable.

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Bibliographic Info

Paper provided by Paris Dauphine University in its series Economics Papers from University Paris Dauphine with number 123456789/269.

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Date of creation: Jan 2009
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Publication status: Published in Open Economics Journal, 2009, Vol. 2. pp. 1-9.Length: 8 pages
Handle: RePEc:dau:papers:123456789/269

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Keywords: Inflation; Output; Transmission channels; SVAR modelling; Impulse responses function;

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  1. Ben S. Bernanke & Mark Gertler, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 27-48, Fall.
  2. Georgy Ganev & Krisztina Molnar & Krzysztof Rybinski & Przemyslaw Wozniak, 2002. "Transmission Mechanism of Monetary Policy in Centraland Eastern Europe," CASE Network Reports 0052, CASE-Center for Social and Economic Research.
  3. Frederic S. Mishkin, 1995. "Symposium on the Monetary Transmission Mechanism," Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 3-10, Fall.
  4. Mehrotra, Aaron N., 2007. "Exchange and interest rate channels during a deflationary era--Evidence from Japan, Hong Kong and China," Journal of Comparative Economics, Elsevier, vol. 35(1), pages 188-210, March.
  5. John B. Taylor, 1995. "The monetary transmission mechanism: an empirical framework," Working Papers in Applied Economic Theory 95-07, Federal Reserve Bank of San Francisco.
  6. Eric M. Leeper & Jennifer E. Roush, 2003. "Putting "M" back in monetary policy," International Finance Discussion Papers 761, Board of Governors of the Federal Reserve System (U.S.).
  7. Kim, Soyoung & Roubini, Nouriel, 2000. "Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach," Journal of Monetary Economics, Elsevier, vol. 45(3), pages 561-586, June.
  8. Mojon, Benoît & Peersman, Gert, 2001. "A VAR description of the effects of monetary policy in the individual countries of the euro area," Working Paper Series 0092, European Central Bank.
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Cited by:
  1. Joao Ricardo Faria & Peter McAdam, 2013. "From Social Contract to Arab Spring: Macroeconomic Adjustment under Regime Change," School of Economics Discussion Papers 0813, School of Economics, University of Surrey.

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