Bayesian Structural VAR Approach to Tunisian Monetary Policy Framework

Mestiri, Sami (2019): Bayesian Structural VAR Approach to Tunisian Monetary Policy Framework.

Abstract

In this paper we use the Bayesian Structural VAR framework to identify the major shock monetary policy shocks in Tunisia over the 1997-2015 and to provide information concerning the evolution of the economy response to these shocks. Compared with previous studies of this country, the main finding is the statistically significant effect of interest rate on the variables of the real economy. The article shows also that Bayesian Structural VAR model can explains the 2011 recession.

• Item Type: MPRA Paper
• Language: English
• Keywords: Bayesian analysis; Structural Vector Autoregression; Monetary Policy; Tunisia.
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C54 - Quantitative Policy Modeling; 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 > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E58 - Central Banks and Their Policies

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