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Estimating A Model Of Inflation In Tajikistan

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  • Zavkidjon Zavkiev

Abstract

This paper attempts to estimate a model of inflation in Tajikistan using the Johanson cointegration approach and single equation error correction model. It also develops a methodology for creating monthly real output series. The paper investigates both the short run dynamic behaviour of inflation and the long run relationship of prices with their determinants. There is evidence that in the long run prices are determined by exchange rate, money, real output and interest rates, and in the short run by past values of money growth and inflation, and current and past values of output growth and interest rate changes. The speed of adjustment of prices to their long run equilibria is determined. The results suggest controlling excessive money growth and stabilizing excessive exchange rate fluctuations should be the key ingredients of monetary policy in controlling inflation of the country.

Suggested Citation

  • Zavkidjon Zavkiev, 2005. "Estimating A Model Of Inflation In Tajikistan," CAMA Working Papers 2005-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Handle: RePEc:een:camaaa:2005-26
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    File URL: https://cama.crawford.anu.edu.au/sites/default/files/publication/cama_crawford_anu_edu_au/2017-02/26_zavkiev_2005.pdf
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    References listed on IDEAS

    as
    1. Carl E. Walsh, 2003. "Monetary Theory and Policy, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262232316, February.
    2. Bansal, Ravi & Coleman, Wilbur John, II, 1996. "A Monetary Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles," Journal of Political Economy, University of Chicago Press, vol. 104(6), pages 1135-1171, December.
    3. Weil, Philippe, 1989. "The equity premium puzzle and the risk-free rate puzzle," Journal of Monetary Economics, Elsevier, vol. 24(3), pages 401-421, November.
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    5. Giovannini, Alberto & Labadie, Pamela, 1991. "Asset Prices and Interest Rates in Cash-in-Advance Models," Journal of Political Economy, University of Chicago Press, vol. 99(6), pages 1215-1251, December.
    6. Lagos, Ricardo, 2010. "Asset prices and liquidity in an exchange economy," Journal of Monetary Economics, Elsevier, vol. 57(8), pages 913-930, November.
    7. Schmitt-Grohe, Stephanie & Uribe, Martin, 2004. "Solving dynamic general equilibrium models using a second-order approximation to the policy function," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 755-775, January.
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    More about this item

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • O53 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Asia including Middle East

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