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Inflation and Monetary Pass-Through in Guinea

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  • Rodolphe Blavy
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    Abstract

    The paper analyzes the dynamics of inflation in Guinea during 1992-2003 applying cointegration and error-correction modeling to a bivariate model that includes consumer price and monetary variables. The empirical results, based on quarterly data, confirm the existence of a long-run relationship between money supply and consumer prices. This paper argues further that the pass-through has increased in recent years. Short-term dynamics are shown to accentuate the long-run impact. Impulse response analysis shows that a shock in the money stock will have an increasing impact over two years and will then stabilize at a higher level.

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    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=17817
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    Bibliographic Info

    Paper provided by International Monetary Fund in its series IMF Working Papers with number 04/223.

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    Length: 20
    Date of creation: 01 Dec 2004
    Date of revision:
    Handle: RePEc:imf:imfwpa:04/223

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    Related research

    Keywords: Consumer prices; Economic models; inflation; money supply; monetary policy; price level; money growth; money demand; money stock; monetary fund; rate of inflation; high inflation; price inflation; monetary financing; monetary aggregates; inflationary pressures; real money; inflation equation; money balances; monetary growth; money market; liquidity management; inflation money; resurgence of inflation; reduction in inflation; central bank; rates of inflation; inflation dynamics; actual rate of inflation; nominal interest rates; inflation growth; loose monetary policy; monetary expansion; inflationary expectations; average rate of inflation; monetary shock;

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    References

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    1. Jean-Claude Nachega, 2001. "A Cointegration Analysis of Broad Money Demand in Cameroon," IMF Working Papers 01/26, International Monetary Fund.
    2. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
    3. Stephen G. Cecchetti, 1997. "Measuring short-run inflation for central bankers," Review, Federal Reserve Bank of St. Louis, issue May, pages 143-155.
    4. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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    Cited by:
    1. Francis Y. Kumah, 2006. "The Role of Seasonality and Monetary Policy in Inflation Forecasting," IMF Working Papers 06/175, International Monetary Fund.
    2. Loening, Josef L. & Durevall, Dick & Ayalew Birru, Yohannes, 2009. "Inflation Dynamics and Food Prices in an Agricultural Economy: The Case of Ethiopia," Working Papers in Economics 347, University of Gothenburg, Department of Economics.
    3. Durevall, Dick & Loening, Josef L. & Birru, Yohannes A., 2010. "Inflation Dynamics and Food Prices in Ethiopia," Working Papers in Economics 478, University of Gothenburg, Department of Economics, revised 03 Jun 2013.
    4. Dick Durevall & Bo Sjö, 2012. "Working Paper 151 - The Dynamics of Inflation in Ethiopia and Kenya," Working Paper Series 400, African Development Bank.
    5. Kenji Moriyama, 2008. "Investigating Inflation Dynamics in Sudan," IMF Working Papers 08/189, International Monetary Fund.
    6. Koffie Ben Nassar, 2005. "Money Demand and Inflation in Madagascar," IMF Working Papers 05/236, International Monetary Fund.

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