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Monetary Policy Transmission in Mauritius Using a VAR Analysis, Charalambos Tsangarides

Abstract
Applying commonly used vector autoregression (VAR) techniques, this paper investigates the transmission mechanism of monetary policy on output and prices for Mauritius, using data for 1999-2009. The results show that (i) an unexpected monetary policy tightening-an increase in the Bank of Mauritius policy interest rate-leads to a decline in prices and output but the effect on output is weaker; (ii) an unexpected decrease in the money supply or an unexpected increase in the nominal effective exchange rate result in a decrease in prices; and (iii) variations of the policy variables account for small a percentage of the fluctuations in output and prices. Taken together, these results suggest a rather weak monetary policy transmission mechanism. Finally, we find some differences in the transmission mechanism depending on whether core or headline consumer price index is used in the estimations
Table Of Contents
Contents; I. Introduction; II. Background and Stylized Facts; A. Monetary Policy Framework in Mauritius; B. Stylized Facts and Recent Developments; III. Empirical Approach; A. The VAR Model Setup; B. Identification; IV. Estimation Results; A. Modeling the Data; B. Benchmark Model; C. Alternative Model; V. Conclusion and Policy Implications; Appendix A: VAR Modeling and Diagnostics; Appendix B: Additional Impulse Responses and Variance Decompositions; References
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (35 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9786612845420

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