Fonction de reaction de la banque centrale et credibilite de la politique monétaire: Cas de la BEAC

KAMGNA, Severin Yves and NGUENANG, Christian and TALABONG, Hervé and OULD, Isselmou (2009): Fonction de reaction de la banque centrale et credibilite de la politique monétaire: Cas de la BEAC.

Abstract

In this paper, using monetary policy rules, we build a model which describes the fixing of the interest rate by the Bank of Central African's States (BEAC). First, with a GMM adapted for a forward looking rule, we propose a reaction function for this central bank. The result shows that from 1986 to 2006, the formulation of the monetary policy strongly depends on the past interest rate. The rule describes well the interest rate fixation process by the BEAC which tends to be guide mainly by price stability than growth objectives. Secondly, we estimate a simple rule using an error correction model. In this case, the results were better but confirm those issued by the GMM method.

• Item Type: MPRA Paper
• English Title: Central Bank reaction fonction and monetary policy credibility: The case of BEAC
• Language: French
• Keywords: Taylor rules, Bank, Central Bank, Fonction de reaction, Banque centrale, CEMAC, BEAC, GMM, Monetary policy rules,
• Subjects: E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E58 - Central Banks and Their Policies; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy; E - Macroeconomics and Monetary Economics > E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook > E63 - Comparative or Joint Analysis of Fiscal and Monetary Policy ; Stabilization ; Treasury Policy; G - Financial Economics > G2 - Financial Institutions and Services > G28 - Government Policy and Regulation; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C33 - Panel Data Models ; Spatio-temporal Models; E - Macroeconomics and Monetary Economics > E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook > E61 - Policy Objectives ; Policy Designs and Consistency ; Policy Coordination; G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages

References

[1] Barro R.J., Gordon D.B.(1983) : "Rules, discretion and Reputation, in a model of monetary policy", Journal of Monetary Economics, 12, pp. 101-120.

[2] Cadoret I., Benjammin C., Martin F.,Herrard N., Tanguy S.(2004) : Econométrie appliquée, Méthodes, Applications, Corrigés, deboeck .

[3] Clarida, R., Gali, J., et M. Gertler(1997) : "Monetary Policy Rules and Macroeconomic Stability : Evidence and some Theory" , manuscript, New York University.

[4] Clarida, R., Gali, J., et M. Gertler(1997) : "Monetary policy rules in practice : some international evidence" , European Economic Review, 42, p. 1033-1067.

[5] De lucia C., Lucas J.M.(2007) : "Y a-t-il un océan entre la Fed et la BCE?", Conjoncture, Etudes Economiques, BNP Paribas.

[6] Drumetz, F. et A. Verdelhan (1997) : "Règle de Taylor : Présentation, Applications et Limites" , Bulletin de la Banque de France, Banque de France, No 45.

[7] Desquilbert J.B, Villieu P. (1997) : "La délégation de la politique monétaire à une banque centrale indépendante peut-elle être contre-productive ? Une illustration en économie ouverte ", Document de Recherche, Laboratoire d’Economie d’Orléans, N0. 15-96/4/MM.

[8] Estrella et Mishkin (1997) : Monnaie, Banque et marché financier,Economica.

[9] Frank Martin (2000) : "Structure par termes des taux d’intérêts, règles monétaires et identification des chocs d’activité", Document de Recherche, Université de Rennes.

[10] Gerlach-Kristen P.(2003) : " Interest rate reaction functions and the Taylor rule in the euro area ", BCE, Working paper, n°258.

[11] Huang A., Margaritis D., Mayes D.(2001) : " Monetary policy rules in practice : Evidence from New Zealand ", Bank of Finland discussion papers n°18,

[12] Huchet M.(2003) : " Fonctions de réaction des banques centrales européennes et convergence " L’Actualité économique, vol. 79, n°3, pp. 297-326.

[13] Hurlin C.(2005) : Méthode des Moments, Documents et Supports 2006-2007, Université d’Orléans.

[14] Johansen S.(1991) : "Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Models" , Econometrica,No 59 : 1551-1580.

[15] Judd J.P., Rudebush, G.D.(1998) : "Taylor’s rule and the Fed : 1970-1997" , FRB of San Francisco Economic Review , No.3 p. 3-16.

[16] Kamgna S.Y., Ndambedia H. (2008) : "Excess liquidity and monetary policy effectiveness : The case of CEMAC countries", MPRA Paper No. 9599

[17] Kamgna (2008) : "Présentation du comité de politique monétaire de la Banque des Etats de l’Afrique Centrale" , Document de travail interne, BEAC.

[18] Kyland F., Prescott E.(1977) : "Rules Rather Than Discretion : the Inconsistency of Optimal Plans" , Journal of Political Economy, vol. 85, pp. 473-491

[19] Mc Callum Benett(1997) : "Issues in the design of monetary rules" , NBER Working Paper, No 6016.

[20] Mésonnier J.S, Renne J.P (2004) : "Règle de Taylor et politique monétaire dans la zone euro" , Bulletin de la Banque de France, No 45.

[21] Okot N.(2008) : "Can a rule based monetary policy work in a small liberalised economy ? The case of Uganda", Bank of Uganda Working Paper, BOUWP 10/08.

[22] Orphanides A. (2003) : "Historical Monetary Policy Analysis and the Taylor Rule",Journal of Monetary Economics,pp. 983-1022.

[23] Orphanides A.(2007) : " Taylor Rules ", Board of Governors of the Federal Reserve System

[24] Pollin J.P (2005) : "Théorie de la politique monétaire, esquisse d’une réfondation" ,Revue économique, vol. 56, N°3, p. 507-540.

[25] Sibi F. (2002) : "Règle de Taylor et application à la zone-euro", Thèse de doctorat, Université Paris I Panthéon Sorbonne et CNRS, Paris

[26] Siri A.(2007) : Elargissement monétaire en Afrique de l’Ouest : la règle monetaire optimale pour la future banque centrale de la CEDEAO, Thèse de Doctorat, Centre d’Etude, de Documentation et de Recherches Economiques et Sociales, Université de Ouagadougou.

[27] Svensson L. (1997) : "Inflation forecast targetting : Implementation and monetary inflation targets", European Economic Review No 41,pp. 1111-1146.

[28] Svensson L. (1999) : "Inflation targetting as monetary policy rule", Journal of Monetary Economics No 43,pp. 607-654.

[29] Svensson L. (2002) : "What is wrong with Taylor rules ? Using judgment in monetary policy through targetting rules",NBER Working Paper No 9421.

[30] Svensson L. (2003) : "Implementing optimal policy trough inflation targetting" NBER Working Paper No 6545.

[31] Taylor J.B.(1993) : "Discretion versus policy rules in practice", Carnegie-Rochester Conference Series on Public Policy, 39, pp. 195-294.

[32] Taylor J.B.(1998) : "The robustness and efficiency of monetary policy rules as guidelines for interest rate setting by the European central bank" , Notes d’Information et Statistiques, Seminar Paper, No 69.

[33] Tenou Kossi (2002) : "La règle de Taylor : un exemple de règle de politique monétaire appliquée à la BCEAO" , Notes d’Information et Statistiques, BCEAO, No 523.

[34] Verdelhan, A. (1999) : "Taux de Taylor et Taux de Marché de la zone euro" , Bulletin de la Banque de France, no.61.