Monetary policy transmission mechanism in Botswana: A time-varying parameter VAR approach

 

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dc.contributor.advisor Makanza, Christine
dc.contributor.author Ratsebe, Thobo
dc.date.accessioned 2021-09-15T11:33:16Z
dc.date.available 2021-09-15T11:33:16Z
dc.date.issued 2021_
dc.identifier.citation Ratsebe, T. 2021. Monetary policy transmission mechanism in Botswana: A time-varying parameter VAR approach. . ,Faculty of Commerce ,School of Economics. http://hdl.handle.net/11427/33910 en_ZA
dc.identifier.uri http://hdl.handle.net/11427/33910
dc.description.abstract This study examines the evolution of Botswana's monetary policy transmission mechanism by employing a time-varying parameter model. Botswana provides a good context for assessing the transmission of monetary policy over time, following structural and macroeconomic reforms since 1989. The time-varying parameter vector autoregressive (TVP-VAR) model with stochastic volatility is employed for quarterly time series data from 1994Q1 to 2018Q4. The study evaluates how the responses of real non-mining output and price levels to the Bank Rate, exchange rate, and credit shocks changed over time. The paper contributes to the literature by capturing the timevarying nature of the underlying structure of the monetary policy and the economy of Botswana. The empirical results indicate that real output, inflation, and exchange rate responses to monetary policy shocks changed over time under the study period, confirming the time-varying nature of monetary policy transmission for Botswana.
dc.subject Economics
dc.title Monetary policy transmission mechanism in Botswana: A time-varying parameter VAR approach
dc.type Master Thesis
dc.date.updated 2021-09-15T08:11:16Z
dc.language.rfc3066 eng
dc.publisher.faculty Faculty of Commerce
dc.publisher.department School of Economics
dc.type.qualificationlevel Masters
dc.type.qualificationlevel MCom
dc.identifier.apacitation Ratsebe, T. (2021). <i>Monetary policy transmission mechanism in Botswana: A time-varying parameter VAR approach</i>. (). ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/33910 en_ZA
dc.identifier.chicagocitation Ratsebe, Thobo. <i>"Monetary policy transmission mechanism in Botswana: A time-varying parameter VAR approach."</i> ., ,Faculty of Commerce ,School of Economics, 2021. http://hdl.handle.net/11427/33910 en_ZA
dc.identifier.vancouvercitation Ratsebe T. Monetary policy transmission mechanism in Botswana: A time-varying parameter VAR approach. []. ,Faculty of Commerce ,School of Economics, 2021 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/33910 en_ZA
dc.identifier.ris TY - Master Thesis AU - Ratsebe, Thobo AB - This study examines the evolution of Botswana's monetary policy transmission mechanism by employing a time-varying parameter model. Botswana provides a good context for assessing the transmission of monetary policy over time, following structural and macroeconomic reforms since 1989. The time-varying parameter vector autoregressive (TVP-VAR) model with stochastic volatility is employed for quarterly time series data from 1994Q1 to 2018Q4. The study evaluates how the responses of real non-mining output and price levels to the Bank Rate, exchange rate, and credit shocks changed over time. The paper contributes to the literature by capturing the timevarying nature of the underlying structure of the monetary policy and the economy of Botswana. The empirical results indicate that real output, inflation, and exchange rate responses to monetary policy shocks changed over time under the study period, confirming the time-varying nature of monetary policy transmission for Botswana. DA - 2021_ DB - OpenUCT DP - University of Cape Town KW - Economics LK - https://open.uct.ac.za PY - 2021 T1 - Monetary policy transmission mechanism in Botswana: A time-varying parameter VAR approach TI - Monetary policy transmission mechanism in Botswana: A time-varying parameter VAR approach UR - http://hdl.handle.net/11427/33910 ER - en_ZA


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