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Book Cover
Author Bordon, Anna Rose, author

Title The transmission mechanism in Armenia : new evidence from a regime switching VAR analysis / prepared by Anna Rose Bordon and Anke Weber
Published [Washington, D.C.] : International Monetary Fund, [2010]
Online access available from:
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Description 1 online resource (31 pages) : illustrations (some color)
Series IMF working paper ; WP/10/270
IMF working paper ; WP/10/270
Contents Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Background; A. Related Literature; 1. Stylized Representation of the Transmission Mechanism; B. Recent Developments in Armenia and their Effect on the MTM; 1. Effects of Recent Pre-Crisis Developments on the MTM; 2. Effects of Recent Crisis and Post-crisis Developments on the MTM; III. Monetary Transmission in Armenia; A. Evidence from a Standard VAR Analysis; 3. Multivariate and Bivariate Block Granger Causality Tests; 2. Impulse Responses for the Standard VAR Model; B. Evidence from a Markov Switching VAR Analysis
4. Estimation Results for MSVAR3. Regime Probabilities for MSVAR; C. Evidence from a Markov Switching VAR with a Threshold Variable; 5. Estimation Results for Threshold MSVAR; 4. Regime Probabilities for Threshold MSVAR; 5. Threshold MSVAR: Response to a Repo Shock; 6. Threshold MSVAR: Response to a Money Shock; 7. Threshold MSVAR: Response to a NEER Shock; IV. Summary and Conclusions; References; Footnotes
Summary The introduction of inflation targeting in 2006, together with important economic developments such as dedollarization, marked the beginning of a new macroeconomic framework in Armenia, which is likely to have changed the effectiveness of monetary policy. This paper is the first attempt to analyze whether the transmission mechanism in Armenia has been subject to a structural break by employing a Markov-Switching VAR framework. Results support the existence of such a structural break around the time inflation targeting was introduced and reduced levels of dollarization were observed. Results from introducing a threshold variable into this framework furthermore show that reduced levels of dollarization are an important determinant of the effectiveness of monetary policy
Bibliography Includes bibliographical references
Notes Print version record
Subject Monetary policy -- Armenia -- Mathematical models.
Transmission mechanism (Monetary policy) -- Armenia -- Mathematical models.
Form Electronic book
Author Weber, Anke, 1981- author
International Monetary Fund. Middle East and Central Asia Department, issuing body
ISBN 1283563452