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Monetary Policy Model of Tajikstan: A Structural Vector Autoregression Approach

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  • M.Yusuf Tashrifov
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    Abstract

    Using the Structural Vector Autoregression (SVAR) method this paper analyses the effects of monetary policy on Tajikistan’s economy for the period 1996 to 2003. A number of restrictions are imposed and the contemporaneous and long-run restrictions model are used to identify the dynamic response of inflation and output to the monetary and exchange rate innovations. As a result these shocks are used to generate the structural impulse response and forecast error variance decomposition functions for assessing the dynamic impacts of monetary and exchange rate policies on country’s real sector variables.

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    File URL: https://crawford.anu.edu.au/degrees/idec/working_papers/IDEC05-9.pdf
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    Bibliographic Info

    Paper provided by International and Development Economics in its series International and Development Economics Working Papers with number idec05-9.

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    Length: 58 pages
    Date of creation: 2005
    Date of revision:
    Handle: RePEc:idc:wpaper:idec05-9

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    1. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbance," Working papers 497, Massachusetts Institute of Technology (MIT), Department of Economics.
    2. Cooley, Thomas F. & Leroy, Stephen F., 1985. "Atheoretical macroeconometrics: A critique," Journal of Monetary Economics, Elsevier, vol. 16(3), pages 283-308, November.
    3. Ben Bernanke, 1990. "The Federal Funds Rate and the Channels of Monetary Transnission," NBER Working Papers 3487, National Bureau of Economic Research, Inc.
    4. Matthew D. Shapiro & Mark W. Watson, 1989. "Sources of Business Cycle Fluctuations," NBER Working Papers 2589, National Bureau of Economic Research, Inc.
    5. Bernanke, Ben S., 1986. "Alternative explanations of the money-income correlation," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 49-99, January.
    6. Christopher Sims & Tao Zha, 2002. "Macroeconomic switching," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
    7. Cushman, David O. & Zha, Tao, 1997. "Identifying monetary policy in a small open economy under flexible exchange rates," Journal of Monetary Economics, Elsevier, vol. 39(3), pages 433-448, August.
    8. Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 1994. "Identification and the effects of monetary policy shocks," Working Paper Series, Macroeconomic Issues 94-7, Federal Reserve Bank of Chicago.
    9. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    10. Blanchard, Olivier Jean, 1989. "A Traditional Interpretation of Macroeconomic Fluctuations," American Economic Review, American Economic Association, vol. 79(5), pages 1146-64, December.
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