Description |
1 online resource (33 pages) : color illustrations |
Series |
IMF working paper ; WP/10/36 |
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IMF working paper ; WP/10/36.
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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 |
Summary |
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 |
Notes |
At head of title: Research Department |
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"February 2010." |
Bibliography |
Includes bibliographical references (pages 32-33) |
Notes |
Print version record |
Subject |
Monetary policy -- Mauritius -- Econometric models
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Transmission mechanism (Monetary policy) -- Mauritius -- Econometric models
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Monetary policy -- Econometric models
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Mauritius
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Form |
Electronic book
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Author |
International Monetary Fund. Research Department, issuing body.
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ISBN |
9781451997316 |
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1451997310 |
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1462358772 |
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9781462358779 |
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1452733902 |
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9781452733906 |
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128284542X |
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9781282845428 |
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9786612845420 |
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6612845422 |
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1451962789 |
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9781451962789 |
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