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Monetary Policy Model of Tajikstan: A Structural Vector Autoregression Approach

  • M.Yusuf Tashrifov
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    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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    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
    Contact details of provider: Postal: Crawford Building, Lennox Crossing, Building #132, Canberra ACT 2601
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    Web page: https://crawford.anu.edu.au/research/papers/
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    1. Lutkepohl, Helmut, 1990. "Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models," The Review of Economics and Statistics, MIT Press, vol. 72(1), pages 116-25, February.
    2. Matthew Shapiro & Mark Watson, 1988. "Sources of Business Cycles Fluctuations," NBER Chapters, in: NBER Macroeconomics Annual 1988, Volume 3, pages 111-156 National Bureau of Economic Research, Inc.
    3. 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.
    4. 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.
    5. David O. Cushman & Tao Zha, 1995. "Identifying monetary policy in a small open economy under flexible exchange rates," FRB Atlanta Working Paper No. 95-7, Federal Reserve Bank of Atlanta.
    6. Ben S. Bernanke & Alan S. Blinder, 1989. "The federal funds rate and the channels of monetary transmission," Working Papers 89-10, Federal Reserve Bank of Philadelphia.
    7. Christopher Sims & Tao Zha, 2002. "Macroeconomic switching," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
    8. Cooley, Thomas F. & Leroy, Stephen F., 1985. "Atheoretical macroeconometrics: A critique," Journal of Monetary Economics, Elsevier, vol. 16(3), pages 283-308, November.
    9. Blanchard, Olivier Jean, 1989. "A Traditional Interpretation of Macroeconomic Fluctuations," American Economic Review, American Economic Association, vol. 79(5), pages 1146-64, December.
    10. 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.
    11. Christopher A. Sims, 1986. "Are forecasting models usable for policy analysis?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 2-16.
    12. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
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