IDEAS home Printed from https://ideas.repec.org/a/wei/journl/v5y2015i1p34-47.html
   My bibliography  Save this article

A Semi-Structural General Equilibrium Analysis of Moldova's Monetary Policy Transmission Mechanism

Author

Listed:
  • Ion Partachi

    (Academy of Economic Studies, Chisinau, Republic of Moldova)

  • Simion Mija

    (Academy of Economic Studies, Chisinau, Republic of Moldova)

Abstract

The aim of the research is to describe a macro-econometric model for the monetary policy transmission channels, in order to assess the particularities of low income countries, as Republic of Moldova. The general equilibrium model is kept simple, capturing main transmission channels, while the empirical results are generated using Bayesian estimations. The variables are treated as exogenous and the natural logarithm of first-order differences of seasonally adjusted series is used. Data with quarterly periodicity cover the period 1st quarter of 2002 - 2nd quarter of 2014. The objective of the paper is to quantify the effects of the demand and exchange rate shocks to inflation and to assess the properties of the model, by simulating responses to standard shocks. We discover that exchange rate shocks to inflation have a higher magnitude that demands shocks In Moldova, while demand shocks close faster.

Suggested Citation

  • Ion Partachi & Simion Mija, 2015. "A Semi-Structural General Equilibrium Analysis of Moldova's Monetary Policy Transmission Mechanism," Economic Research Guardian, Weissberg Publishing, vol. 5(1), pages 34-47, June.
  • Handle: RePEc:wei:journl:v:5:y:2015:i:1:p:34-47
    as

    Download full text from publisher

    File URL: http://www.ecrg.ro/files/p2015.5(1)8y3.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Richard H. Clarida & Jordi Gali, 1994. "Sources of real exchange rate fluctuations: how important are nominal shocks?," Proceedings, Federal Reserve Bank of Dallas, issue Apr.
    2. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
    3. Meese, Richard A & Rogoff, Kenneth, 1988. " Was It Real? The Exchange Rate-Interest Differential Relation over the Modern Floating-Rate Period," Journal of Finance, American Finance Association, vol. 43(4), pages 933-948, September.
    4. Bennett T. McCallum & Edward Nelson, 2005. "Targeting versus instrument rules for monetary policy," Review, Federal Reserve Bank of St. Louis, vol. 87(Sep), pages 597-612.
    5. Leith, C. & Wren-Lewis, S., 1999. "Interactions between Monetary Policy and Fiscal Fiscal Rules," Discussion Papers 9913, University of Exeter, Department of Economics.
    6. Bennett T. McCallum & Edward Nelson, 2005. "Targeting versus instrument rules for monetary policy," Review, Federal Reserve Bank of St. Louis, vol. 87(Sep), pages 597-612.
    7. Ion PARTACHI & Simion MIJA, 2013. "Monetary Policy Transmission Mechanism Using Econometric Models," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 61(4), pages 148-157, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Dimitrios Malliaropulos & Ekaterini Panopoulou & Theologos Pantelidis & Nikitas Pittis, 2013. "Decomposing the persistence of real exchange rates," Empirical Economics, Springer, vol. 44(3), pages 1217-1242, June.
    2. Mathias Hoffmann & Ronald MacDonald, 2003. "A Re-examination of the Link between Real Exchange Rates and Real Interest Rate Differentials," CESifo Working Paper Series 894, CESifo.
    3. van Amano, Robert A & Norden, Simon, 1998. "Exchange Rates and Oil Prices," Review of International Economics, Wiley Blackwell, vol. 6(4), pages 683-694, November.
    4. Rabanal, Pau & Rubio-Ramírez, Juan F., 2015. "Can international macroeconomic models explain low-frequency movements of real exchange rates?," Journal of International Economics, Elsevier, vol. 96(1), pages 199-211.
    5. Barbara Rossi, 2013. "Exchange Rate Predictability," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
    6. Shambaugh, Jay, 2008. "A new look at pass-through," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 560-591, June.
    7. Benigno, Gianluca, 2004. "Real exchange rate persistence and monetary policy rules," Journal of Monetary Economics, Elsevier, vol. 51(3), pages 473-502, April.
    8. Candian, Giacomo, 2019. "Information frictions and real exchange rate dynamics," Journal of International Economics, Elsevier, vol. 116(C), pages 189-205.
    9. Alexius, Annika, 2001. "How to Beat the Random Walk," Working Paper Series 175, Trade Union Institute for Economic Research.
    10. Taylor Mark P. & Sarno Lucio, 2001. "Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(3), pages 1-26, October.
    11. James Bullard & Eric Schaling, 2009. "Monetary Policy, Determinacy, and Learnability in a Two-Block World Economy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(8), pages 1585-1612, December.
    12. Mr. Kanda Naknoi & Mr. Allan D. Brunner, 2003. "Trade Costs, Market Integration, and Macroeconomic Volatility," IMF Working Papers 2003/054, International Monetary Fund.
    13. Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2004. "Fractional cointegration and real exchange rates," Review of Financial Economics, John Wiley & Sons, vol. 13(4), pages 327-340.
    14. Si Mohammed, Kamel & Chérif touil, Noreddine & Maliki, Samir, 2015. "An Empirical Test of Purchasing Power Parity of the Algerian Exchange Rate: Evidence from Panel Dynamic," MPRA Paper 75285, University Library of Munich, Germany.
    15. Charles Engel & Feng Zhu, 2019. "Exchange rate puzzles: evidence from rigidly fixed nominal exchange rate systems," BIS Working Papers 805, Bank for International Settlements.
    16. Sofiane H. Sekioua, 2004. "Real interest parity (RIP) over the 20th century: New evidence based on confidence intervals for the dominant root and half-lives of shocks," Money Macro and Finance (MMF) Research Group Conference 2004 91, Money Macro and Finance Research Group.
    17. Glenn Otto & Graham Voss, 2009. "Strict and Flexible Inflation Forecast Targets: An Empirical Investigation," Department Discussion Papers 0902, Department of Economics, University of Victoria.
    18. Yihui Lan, 2003. "The Long-Term Behaviour of Exchange Rates, Part III: The Explosion of Purchasing Power Parity," Economics Discussion / Working Papers 03-07, The University of Western Australia, Department of Economics.
    19. Michele Ca’ Zorzi & Jakub Muck & Michal Rubaszek, 2016. "Real Exchange Rate Forecasting and PPP: This Time the Random Walk Loses," Open Economies Review, Springer, vol. 27(3), pages 585-609, July.
    20. Wolfram Berger, 2008. "Monetary Policy Rules for a Small Open Economy," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 37(1), pages 1-30, February.

    More about this item

    Keywords

    General equilibrium model; Open economy; Calibration; Monetary policy; Moldova;
    All these keywords.

    JEL classification:

    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wei:journl:v:5:y:2015:i:1:p:34-47. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: . General contact details of provider: .

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mihai Mutascu (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.