The Transmission Mechanism in Armenia; New Evidence from a Regime Switching VAR Analysis
The introduction of inflation targeting in 2006, together with important economic developments such as dedollarization, marked the beginning of a new macroeconomic framework in Armenia, which is likely to have changed the effectiveness of monetary policy. This paper is the first attempt to analyze whether the transmission mechanism in Armenia has been subject to a structural break by employing a Markov-Switching VAR framework. Results support the existence of such a structural break around the time inflation targeting was introduced and reduced levels of dollarization were observed. Results from introducing a threshold variable into this framework furthermore show that reduced levels of dollarization are an important determinant of the effectiveness of monetary policy.
|Date of creation:||01 Nov 2010|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (202) 623-7000
Fax: (202) 623-4661
Web page: http://www.imf.org/external/pubind.htm
More information through EDIRC
|Order Information:||Web: http://www.imf.org/external/pubs/pubs/ord_info.htm|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Luis Carranza & José E. Galdón-Sánchez & Javier Gómez Biscarri, 2004.
"Exchange Rate and Inflation Dynamics in Dollarized Economies,"
Faculty Working Papers
10/04, School of Economics and Business Administration, University of Navarra.
- Carranza, Luis & Galdon-Sanchez, Jose E. & Gomez-Biscarri, Javier, 2009. "Exchange rate and inflation dynamics in dollarized economies," Journal of Development Economics, Elsevier, vol. 89(1), pages 98-108, May.
- Rania A. Al-Mashat & Andreas Billmeier, 2007.
"The Monetary Transmission Mechanism in Egypt,"
IMF Working Papers
07/285, International Monetary Fund.
- Adrián Armas & Francisco Grippa, 2005.
"Targeting Inflation in a Dollarized Economy: The Peruvian Experience,"
Research Department Publications
4423, Inter-American Development Bank, Research Department.
- Adrián Armas & Francisco Grippa, 2005. "Targeting Inflation in a Dollarized Economy: The Peruvian Experience," IDB Publications (Working Papers) 6827, Inter-American Development Bank.
- Ehrmann, Michael & Ellison, Martin & Valla, Natacha, 2003.
"Regime-dependent impulse response functions in a Markov-switching vector autoregression model,"
Elsevier, vol. 78(3), pages 295-299, March.
- Ehrmann , Michael & Ellison, Martin & Valla, Natacha, 2001. "Regime-dependent impulse response functions in a Markov-switching vector autoregression model," Research Discussion Papers 11/2001, Bank of Finland.
- Tom Doan, . "RATS program to replicate Ehrmann-Ellison-Valla(2003) regime dependent impulse response," Statistical Software Components RTZ00177, Boston College Department of Economics.
- Carmen M. Reinhart & Kenneth S. Rogoff & Miguel A. Savastano, 2014.
"Addicted to Dollars,"
Annals of Economics and Finance,
Society for AEF, vol. 15(1), pages 1-50, May.
- Carmen M. Reinhart & Kenneth S. Rogoff & Miguel A. Savastano, 2003. "Addicted to Dollars," CEMA Working Papers 594, China Economics and Management Academy, Central University of Finance and Economics.
- Carmen M. Reinhart & Kenneth S. Rogoff & Miguel A. Savastano, 2003. "Addicted to Dollars," NBER Working Papers 10015, National Bureau of Economic Research, Inc.
- Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
- Ippei Fujiwara, 2004.
"Evaluating Monetary Policy When Nominal Interest Rates Are Almost Zero,"
Econometric Society 2004 Far Eastern Meetings
620, Econometric Society.
- Fujiwara, Ippei, 2006. "Evaluating monetary policy when nominal interest rates are almost zero," Journal of the Japanese and International Economies, Elsevier, vol. 20(3), pages 434-453, September.
- International Monetary Fund, 2007. "Modalities of Moving to Inflation Targeting in Armenia and Georgia," IMF Working Papers 07/133, International Monetary Fund.
When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:10/270. 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: (Jim Beardow)or (Hassan Zaidi)
If references are entirely missing, you can add them using this form.