Estimating a small open-economy model for Egypt : spillovers, inflation dynamics, and implications for monetary policy /

Estimating a small open-economy model for Egypt : spillovers, inflation dynamics, and implications for monetary policy /

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Bibliographic Details
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:
Monetary policy -- Egypt -- Econometric models.
Inflation (Finance) -- Egypt -- Econometric models.
Interest rates -- Egypt -- Econometric models.
Inflation (Finance) -- Econometric models.
Interest rates -- Econometric models.
Monetary policy -- Econometric models.
Egypt.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/12499331
Hidden Bibliographic Details
Other authors / contributors:Moriyama, Kenji, author.
International Monetary Fund. Middle East and Central Asia Department, issuing body.
ISBN:1283556324
9781283556323
9781462309221
1462309224
9781455261376
1455261378
Notes:Includes bibliographical references.
Summary: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.
Other form:Print version: Fund, International Monetary. Estimating a Small Open-Economy Model for Egypt: Spillovers, Inflation Dynamics, and Implications for Monetary Policy. Washington : International Monetary Fund, ©2011 9781455261376
Table of Contents:
  • 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.
  • 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+
  • 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.
  • 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).
  • 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.

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