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E-book
Author Tsangarides, Charalambos G., author.

Title Monetary policy transmission in Mauritius using a VAR analysis / prepared by Charalambos Tsangarides
Published [Washington D.C.] : International Monetary Fund, 2010

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