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Market disequilibria and inflation in Uzbekistan, 1994-2000

  • Ranaweera, Thilak
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    The author develops, and applies a macroeconomic framework to ascertain the influence of domestic disequilibria, and external shocks on inflation dynamics in Uzbekistan. Using quarterly data for the period 1994:01 to 2000:03, he estimates several"long-run"relationships for the goods, money, and foreign exchange markets of Uzbekistan, which are characterized by multiple exchange rates, import restrictions, and other domestic administrative controls. The empirical estimates, which use error correction mechanisms for different markets, show that domestic monetary, and output developments, and changes in the official exchange rate, compared with the parallel market rate, have had a significant influence on the short-run behavior of the foreign exchange market in Uzbekistan. Furthermore, disequilibria in the product, and money markets are the major forces driving short-run inflation dynamics in Uzbekistan. It should be noted that the study has been constrained by both the quantity, and the quality of quarterly data available for the Uzbekistan economy.

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    Paper provided by The World Bank in its series Policy Research Working Paper Series with number 3144.

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    Date of creation: 31 Oct 2003
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    Handle: RePEc:wbk:wbrwps:3144
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    1. Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
    2. Jeromin Zettelmeyer, 1999. "The Uzbek Growth Puzzle," IMF Staff Papers, Palgrave Macmillan, vol. 46(3), pages 3.
    3. Guy Meredith & Bankim Chadha & Paul R. Masson, 1991. "Models of Inflation and the Costs of Disinflation," IMF Working Papers 91/97, International Monetary Fund.
    4. Stanley Fischer & Ratna Sahay, 2000. "The Transition Economies After Ten Years," IMF Working Papers 00/30, International Monetary Fund.
    5. Stanley Fischer & Ratna Sahay, 2000. "The Transition Economies After Ten Years," NBER Working Papers 7664, National Bureau of Economic Research, Inc.
    6. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    7. Jeromin Zettelmeyer & Günther Taube, 1998. "Output Decline and Recovery in Uzbekistan; Past Performance and Future Prospects," IMF Working Papers 98/132, International Monetary Fund.
    8. Robert J. Hodrick & Edward Prescott, 1981. "Post-War U.S. Business Cycles: An Empirical Investigation," Discussion Papers 451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    9. King, R.G. & Rebelo, S.T., 1989. "Low Frequency Filtering And Real Business Cycles," RCER Working Papers 205, University of Rochester - Center for Economic Research (RCER).
    10. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    11. Cogley, Timothy & Nason, James M., 1995. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research," Journal of Economic Dynamics and Control, Elsevier, vol. 19(1-2), pages 253-278.
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