| Description |
1 online resource (63 pages) : color illustrations |
| Series |
IMF working paper ; WP/13/61 |
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IMF working paper ; WP/13/61.
|
| Contents |
Cover; Contents; I. Introduction; II. Kenya: Inflation Developments and Monetary Policy 2007-2011; III. The Model; A. Price Indices and Relative Prices; B. Trends in Relative Prices; C. Output and Real Interest Rates; D. Philips Curves; E. Exchange rate (UIP); F. Monetary policy rule; G. Foreign Block; IV. Applying the model for policy analysis in Kenya; A. Calibration and Data; B. Impulse Response Analysis; C. Filtering Kenyan Data Through the Model; D. A Model-Based Interpretation of Recent History; 1. The 2007-2009 Period; 2. The 2010-2011 Period |
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V. Applying the model for macro forecasting in KenyaA. In-sample forecasting properties; B. Out-of-sample forecasting; VI. Discussion; VII. Conclusion; VIII. References; IX. Appendixes; Appendix I. Deriving Phillips Curves from Micro-Foundations; Appendix II. Data Series; Appendix III. Solving and Using the Model; 1. Solving and Simulating the Model; 2. Kalman filter & Smoother; X. Tables; Table 1. Calibration; Table 2. Calibration (continued); Table 3. Calibration (continued); Table 4. In-sample model forecasts (MF) vs. random walk (RW), RMSE ratios; XI. Figures |
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Figure 12. Shock Decomposition, Non-Food InflationFigure 13. Shock Decomposition, Food Inflation; Figure 14. Shock Decomposition, Headline Inflation; Figure 15. Shock Decomposition, Nominal Depreciation; Figure 16. Real Marginal Costs Decomposition -- Food Price Inflation; Figure 17. Central Bank Rate -- Repo Rates; Figure 18. Impulse Response Functions, 2007-2008 Global Food Crisis; Figure 19. Conditioned historical simulations, Selected Variables; Figure 20. Model Forecast versus Actual Data |
| Summary |
"We develop a semi-structural new-Keynesian open-economy model, with separate food and non-food inflation dynamics, for forecasting and monetary policy analysis in low-income countries and apply it to Kenya. We use the model to run several policy-relevant exercises. First, we filter international and Kenyan data (on output, inflation and its components, exchange rates and interest rates) to recover a model-based decomposition of most variables into trends (or potential values) and temporary movements (or gaps) - including for the international and domestic relative price of food. Second, we use the filtration exercise to recover the sequence of domestic and foreign macroeconomic shocks that account for business cycle dynamics in Kenya over the last few years, with a special emphasis on the various factors (international food prices, monetary policy) driving inflation. Third, we perform an out-of-sample forecast to identify where the economy - and therefore policy - was likely headed given the inflationary pressures at the end of our sample (2011Q2). We find that while imported food price shocks have been an important source of inflation, both in 2008 and more recently, accommodating monetary policy has also played a role, most notably through its effect on the nominal exchange rate. The model correctly predicted that a policy tightening was required, although the actual interest rate increase was larger. We discuss implications for the use of model-based policy analysis in low income countries"--Abstract |
| Notes |
Title from PDF title page (IMF Web site, viewed Mar. 13, 2013) |
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"Research Department." |
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"March 2013"--Page 2 of pdf |
| Bibliography |
Includes bibliographical references (pages 30-31) |
| Subject |
Monetary policy -- Kenya
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Food prices -- Kenya -- Econometric models
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Inflation (Finance) -- Kenya -- Econometric models
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Economic history -- Forecasting
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Food prices -- Econometric models
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Inflation (Finance) -- Econometric models
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Monetary policy
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| SUBJECT |
Kenya -- Economic conditions -- Forecasting
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| Subject |
Kenya
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| Form |
Electronic book
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| Author |
Andrle, Michal.
|
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International Monetary Fund. Research Department.
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| ISBN |
9781475520118 |
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1475520115 |
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9781475537444 |
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1475537441 |
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