Estimating a small open-economy model for Egypt : spillovers, inflation dynamics, and implications for monetary policy /
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| Author / Creator: | Arbatli, Elif, author. |
|---|---|
| Imprint: | [Washington, D.C.] : International Monetary Fund, ©2011. |
| Description: | 1 online resource (40 pages) : illustrations |
| Language: | English |
| Series: | IMF working paper ; WP/11/108 IMF working paper ; WP/11/108. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12499331 |
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| 100 | 1 | |a Arbatli, Elif, |e author. |0 http://id.loc.gov/authorities/names/no2006001108 | |
| 245 | 1 | 0 | |a Estimating a small open-economy model for Egypt : |b spillovers, inflation dynamics, and implications for monetary policy / |c Elif C. Arbatli and Kenji Moriyama. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2011. | ||
| 300 | |a 1 online resource (40 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper ; |v WP/11/108 | |
| 520 | |a This paper estimates a small open economy model for Egypt to analyze inflation, output dynamics and monetary policy during 2005-2010. The interest rate channel is found to be relatively weak in Egypt, complicating the use of interest rates as the immediate target of monetary policy. However, the paper also finds a significant level of persistence in the policy rate, making monetary policy pro-cyclical. More active use of interest rate policy, measures to improve domestic debt markets and a gradual move towards inflation targeting can help support a successful disinflation strategy for Egypt. | ||
| 504 | |a Includes bibliographical references. | ||
| 505 | 0 | |a Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Macroeconomic Developments and Monetary Policy in Egypt; 1. Expected Inflation and Actual Inflation; 2. Effective Exchange Rate and Exchange Rate vis-à-vis U.S. Dollar, 1991-2010; 3. TB Rate and Interbank Rate, 2000-10; III. Description of the Model; IV. The Data, The Selection of Priors, and the Parameter Estimates for Egypt; A. The Data and Estimation Method; B. The Selection of Priors and Identification; 1. Priors and Estimates for Key Variables; 2. Calibrated Parameters; 3a. Root Mean Squared Errors. | |
| 505 | 8 | |a 3b. Variance DecompositionC. Estimated Parameters; 4. Estimated Parameters of the Selected Variables in the GPM+ for Egypt; V. Output Gap, Inflation and Interest Rate Dynamics, Impulse Responses and Variance Decomposition; A. Estimated Dynamics of Main Variables: Output Gap, Inflation, and Nominal Interest Rate Implied by the Estimated Taylor Rule; 4. Output Gap Estimated by the GPM+; 5. Estimated Output Gap and its Decomposition by the GPM+; 6. Estimated Phillips Curve and Inflation Decomposition by GPM+; 7. Estimated Taylor Rule and Policy Rate Decomposition by GPM+ | |
| 505 | 8 | |a 8. Pass-through Rate of the Exchange Rate to Inflation9. Relative Size of the Standard Deviation of Real Interest Rate to Real Exchange Rate with Different Transmission Level; B. Impulse Responses; 10. Impulse Responses to Foreign Output Gap Shock; 11. Impulse Responses to Foreign Real Interest Rate; 12. Impulse Responses to Nominal Interest Rate; 13. Impulse Responses of Main Variables to Temporary Demand Shock; 14. Impulse Responses of Main Variables to Persistent Demand Shock; C. Variance Decomposition; VI. Applications of the GPM+: Monetary Policy Implications; A. Optimal Monetary Policy. | |
| 505 | 8 | |a 5. Estimated and Optimal Taylor RuleB. Policy Scenario Simulations; 15. Simulated Responses of Main Variables with Capital Inflows Derived from the Estimated GPM; 16. Simulated Responses of Main Variables with Inflation Targeting from the Estimated GPM; 17. Simulated Responses of Main Variables to Supply Shocks Derived from the Estimated GPM; 18. Simulated Responses to Capital Inflows and Delaying Tightening Derived from the Estimated GPM (Part I); 19. Simulated Responses to Supply Shocks and Delaying Tightening Derived from the Estimated GPM (Part II). | |
| 505 | 8 | |a VII. Conclusions and Policy ImplicationsI. Complete Model Equations For GPM+; II. Data Sources; III. Estimation Method; IV. Shocks Added to the Estimated GPM+ in the Simulations; References; Footnotes. | |
| 650 | 0 | |a Monetary policy |z Egypt |x Econometric models. | |
| 650 | 0 | |a Inflation (Finance) |z Egypt |x Econometric models. | |
| 650 | 0 | |a Interest rates |z Egypt |x Econometric models. | |
| 650 | 6 | |a Politique monétaire |z Égypte |x Modèles économétriques. | |
| 650 | 6 | |a Inflation |z Égypte |x Modèles économétriques. | |
| 650 | 6 | |a Taux d'intérêt |z Égypte |x Modèles économétriques. | |
| 650 | 7 | |a Inflation (Finance) |x Econometric models. |2 fast |0 (OCoLC)fst00972453 | |
| 650 | 7 | |a Interest rates |x Econometric models. |2 fast |0 (OCoLC)fst00976180 | |
| 650 | 7 | |a Monetary policy |x Econometric models. |2 fast |0 (OCoLC)fst01025234 | |
| 651 | 7 | |a Egypt. |2 fast |0 (OCoLC)fst01208755 | |
| 655 | 4 | |a Electronic books. | |
| 700 | 1 | |a Moriyama, Kenji, |e author. |0 http://id.loc.gov/authorities/names/no2004096377 | |
| 710 | 2 | |a International Monetary Fund. |b Middle East and Central Asia Department, |e issuing body. |0 http://id.loc.gov/authorities/names/no2004029012 | |
| 776 | 0 | 8 | |i Print version: |a Fund, International Monetary. |t Estimating a Small Open-Economy Model for Egypt: Spillovers, Inflation Dynamics, and Implications for Monetary Policy. |d Washington : International Monetary Fund, ©2011 |z 9781455261376 |
| 830 | 0 | |a IMF working paper ; |v WP/11/108. |0 http://id.loc.gov/authorities/names/no89010263 | |
| 856 | 4 | 0 | |u http://elibrary.imf.org/view/journals/001/2011/108/001.2011.issue-108-en.xml |y INTERNATIONAL MONETARY FUND |
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